I noticed Max Ansbacher has been using this for a while, apparently abandoning his all naked option strategies of the previous decade. As best as I can tell he writes an OTM SP put and sells a SP future contract and adds short OTM SP puts until he is delta hedged. In other wrods he is short a SP contract and, given a hypothetical delta of .10 for the (very) OTM SP puts, he writes 10 puts. I see how the futures position is covered in case of a rise in price, and I can see how if the price drops, he makes a hefty killing on expired option premium. But if it drops a ton, he is dead, no? Yeah, the short futures will increase in value, but with a vol spike, there is no way this would make up for what happens to the 10 short puts, the increasing gamma and all that, right? Am I missing something? How does he hedge the gap risk? I am assuming he does, and he's not playing (Victor) Neiderhoffer.