<t>Let us assume implied is higher than realized and I sell vol by delta hedging. If on some day, underlying gaps a lot, then i would get seriously hurt on daily PnL (even if i end up making money by holding the thing to maturity).Any idea what is a good way to protect against such extreme scenario?...

<t>I am trying to understand an option PnL coming from vega and gamma better.If implied vol (IV) is much higher than realized vol (RV) and assume i expect them to converge (without knowing whether IV will drop or RV will rise). Suppose I sell an option and delta hedge it. Staying with Black framewor...