Joachim,

Thank you for your detailed response. It clarifies a lot.

One last question: I wonder how you came up with the rule: 1/10 x of monthly volatility of S&P 500.

Was there any other reason to set the strike price at the level you did apart from matching " the performance of the HFRI index over time as closely as possible. " ? If not, some might consider that data mining.

I wonder what the results could look like if we decompose the strike-setting rule further into something akin to:

Put Strike = price level [x] with [35%] probability of being crossed within a month. Where [35%] is dictated by the investors' risk/reward mix.