I think you're off by a few moments. You're delta-hedged for 10 handles. There is no acceptable futures hedge when selling a 5D put into this event. Don't waste your time, as it's not open to interpretation. You can't hedge implied vol with SP futures. He sold when atm vols were at 10%. There is no method by which this turd can be polished. Taken from Anson's, Handbook of Alternate Assets:
For those wishing to read a little more about the issue in Anson's, here's more of the text online on "Google Book Search": Link
Here is a conversation I had with Vic back in 2005--- hopefully this will shed some light for those who don't know who/what we are talking about: http://www.dailyspeculations.com/vic/goodboy_interview.html surf
don't pay the attention they crave and they'll get tired. amusing that some folks cant get over that issue; now irrelevant the truth.
What I would like to know is this. When you invest your money in a fund (any fund) and they lose your money, there is nothing you can do as you accepted risk at time of handing over funds. On the other hand when a bank invests money in us by way of lending and when we can't meet repayment commitments lender comes after our assets and possibly bankrupts us (well we do that ourselves). Nice to be a pawn
All this says is that there are unidentified remains which doesn't resolve ANYTHING. Why are you even still here, asswipe? I thought you quit ET.