What is Hedging P&L?

The hedging P&L of a delta-hedged option is the change of value of the option together with its hedge and its financing. For a long option hedged at volatility $\sigma$ it is, to second order over each interval, the cash gamma times the difference between the squared return and the variance the hedge assumed:

where $\sigma^2_{\mathrm{real},t}dt=(dS_t/S_t)^2$ is the instantaneous realised variance.