http://ideas.repec.org/p/wpa/wuwpfi/0409016.html Wonder if anyone has read the paper "Static Hedging of Standard Options" by Peter Carr and Wu Liuren? Still making my way through the paper and was wondering if anyone has an idea of how it is setup and can give an example? From what I can gather, it involves trading your primary portfolio in a back month, and the hedge is in the front month. You take off the whole trade when the front month hedge expires. On how it works, this is what I can figure out but I could possibly be wrong. You look at the gamma curve at expiration of the front month options, and for any point in that curve that is negative, you use the front months to hedge that gamma to neutral or positive gamma at all price points that have a negative gamma at expiration (of the front month). However, when I tried doing this, it always ends up into a short theta trade. Is there anyway to make this work for a long theta, short gamma trade? It has to correct, otherwise there'll be no need for this paper in the first place (long gamma positions don't really need to be hedged for big price moves).