Yep, you are spot on about how it works in the real world. Incidentally, you may get all three (i.e. small profits from daily delta adjustments + theta decay +

Yep, you are spot on about how it works in the real world. Incidentally, you may get all three (i.e. small profits from daily delta adjustments + theta decay + gamma upside) on some trades, but the bottom line is that it always requires a vol view when you enter into the position, which lends it self to being wrong sometimes. There, you hit on another interesting point - even with all of the mess brewing in Ukraine, realized has been relatively low (and probably way below desks' expectations) this year, which I would bet caused some underperformance across the vol desks this year. Don't know what was realized vol in oil lately (likely high given recent price action, have no sense of the shape/magnitude), but perhaps that's where he's seen some returns in simulated trading. Needles to say simulated trading is very, very different than the real world, with bid/ask spread dynamics, options illiquidity, collateral requirements, funding costs, borrow costs, etc.