Option experts: try to figure out a fund's strategy

sell vol, buy xanax

 

it appears fly is very close its risk/reward ratio.

 

And some 5 delta puts. Hedge with the underlying.

 

They lost 6% in October OR they lost everything they had made in 2008 plus 6% by the end of October?.

 

they lost 6% in Oct 2008, but despite that month's loss, they still make 12% in 2008.

 

In that case, I'm going to guess that they used some option call ratio spread or hybrid thereof. Open risk on the upside and capped risk on the downside.