Always great if you can buy the option on a cheaper vol. The choice you're faced with after purchase is the frequency at which you hedge. The disparity between daily and annual vol indicates (as the question states) a level of mean reversion or negative autocorrelation. The spread you've got implies a daily autocorrelation of -0.998!
Buying the structure from the bank at 0.1, you'd want to be hedging frequently, locking in large daily moves under the expectation that tomorrow's move will have the opposite sign (thus reducing the variance between t_0 -> t_n).
If you were able to statically hedge the structure then what matters is the volatility at which your static hedge is priced. If your static hedge is 10% and you're selling at 20%, then great - you're able to lock in the spread (law of one price) between the two.
-- If your static hedge is more expensive than 20% vol, then I think you'd want to be dynamically hedging the delta disparity to minimise the theta decay between your long and short by monetising the model delta. --
^ Not the case:
Hedging residual delta from a model vs market price won't help here to minimise decay. Actually what it will do is smooth out the equity curve on a daily level from a marked perspective (each day has less volatile p/l), but introduce more uncertainty into the final payoff. If you didn't hedge then your final payoff is certain (the spread), but the path is more volatile. This is analogous to hedging an option at realised volatility or implied volatility. If hedging at IV then you smooth out the equity curve, but the final payoff is uncertain. When hedging at future realised vol, the final payoff is certain, but the path is more volatile. As per Wilmott: https://web.math.ku.dk/~rolf/Wilmott_WhichFreeLunch