Around any more period of time, There's not often a statistically sizeable autocorrelation in high frequency returns. If there was, then the above mentioned might be relevant which would dampen the outcome. I'm specifically keen on how the "cross-outcomes"* amongst delta and gamma are dealt with and would love to https://raymondplcrf.blogprodesign.com/55434164/not-known-factual-statements-about-pnl