I just lightened up my portfolio quite a bit after the moves this morning... so that gives me time to post musings, and get some feedback from people. After a big move like the one we saw in crude recently (15%+ over the past month, 5%+ over the past few days).... I end up with decent gains, and a net short portfolio. I have two options at that point: let it ride, or buy back (existing short) calls to balance out direction. So far, I've chosen to hit for average: I take the least volatility approach, bank my profits, and buy back calls. It occurs to me (after talking to some investors) that perhaps others might prefer that I hit for power: try to profit off of the fat-tail moves. I.e., don't buy back my short calls in crude right now, and just let it ride. If the current move continues, my gains go up very quickly. What do you guys do? Go for the home run at the expense of a lower batting average (Sharpe), or just hit for average? Right now my performance tends to have a negative skew, and maybe going long the fat-tail moves would balance things out.