Let's look at a stock with a mean reverting price dynamics:
$$dS_t = a(S-S_0)dt + \sigma dW_t$$
If we let $\sigma=0.25$ and $a=-0.5$ then the variance of this process is: $$Var(S_t) = 0.199\sim0.2$$
In this paper paper page 16-19 by Davis
and this discussion
derivation of the hedging error in a black scholes setup,
the derivation of the delta hedging error in the Black Scholes model is discussed.