Sam estimates the probability of counterparty default by the option writer to be 10% with loss given default of 40%, such that the expected loss = $25 EPE × 10% PD × 40% LGD = $1. He concludes that the CVA-adjusted (net of counterparty risk) option price is $24. His colleague Jane observes that this calculation assumes no wrong-way risk. But there is a high, positive correlation between underlying asset price and the credit quality of the option writer counterparty: both the counterparty and underlying share a sector that reacts to the same common factors such that adverse economic regimes depress sector asset prices while lowering sector credit quality (and increasing credit spreads). Is Jane correct that the CVA-adjusted option value deserves further adjustment?