In excess of any longer time frame, There may be rarely a statistically important autocorrelation in high frequency returns. If there was, then the above might be applicable which would dampen the impact. $begingroup$ For an option with rate $C$, the P$&$L, with respect to improvements in the fundamental asset https://pnl70990.bligblogging.com/34708654/the-definitive-guide-to-pnl