Establishing this would cost about $4.5k per long & short contract on the e-mini. B/E would be a nine point move. The weekly range is typically between 30 - 50 pts. Assuming it would take two weeks to caputure a 40 pt move, it appears that this would yield at least 15% per month return on margin (depending on your comfort level of overnight margin). Comments and Critiques are welcomed... Walt