Thanks. I bought 1% worth of premium and am up about 50bps. It pays for my disaster in Jan when I held a simlar position through the print and got hosed. I think your reverse dispersion idea is ideal for this market. It's long gamma, but not really and "not short delta." But if you lever up and buy 2x notional for your index you can get decent tail protection. Though the outcome on the downside move is unclear it won't definately be a disaster.
Hi again risk. Eud here. What is your current view on trading futs/futopts on the aftermath of MFglobal?. What is the consensus opinion of your old acquaintances at O'C?. I understand you were involved in a HF startup. Is that on hold, or changed plans already?. Trying to confine to spys here only. Ultra reluctant on OPM at the moment. Tia.