@jaredbroad @lopezdeprado @CliffordAsness @_luizramalho @Monsantobuster @breakingthemark @jfuechsl @HesamAslan @nntaleb @PTetlock @BerkeleyLab The devil is in the details. Try again with adjustments. $SPX offers ~2% dividend yield, meaning you can have 0 capital burn rate and can double the put exposure. Factor in the option liquidity which can be important. 12m is a stretch (3m-9m is the sweet spot). 1/2