PDN is only delta neutral when it is setup and upon rebalancing, hence "pseudo". I mentioned that in a number of my articles because it is something important for one to realize.

If the price volatility is such that it causes more IL than the yield gained during the rebalancing, then it will lead to a loss during that epoch.

I think you may find my Experiment 6 on "How Price Volatility Affects Regular PDN" useful to understanding the situation.