$begingroup$ I'm undecided That which you indicate by "cross" effects - the one correlation is they each are capabilities of your transform in underlying ($Delta S$) Vega and Theta are sensetivities to volatility and time, respectively, so their contribution might be: Stack Trade community is made of 183 Q&A communities https://shanesyzde.bloggosite.com/41032778/indicators-on-pnl-you-should-know