$begingroup$ I'm unsure Everything you signify by "cross" results - the one correlation is they each are capabilities in the improve in underlying ($Delta S$) $begingroup$ The pnl calculation is completed in 2 methods. By definition, you value your portfolio as of currently, you value your portfolio as of yesterday, https://angelozhlpt.bloguerosa.com/33083746/indicators-on-pnl-you-should-know