Originally, I typed up a version of this and sent it directly to Eliezer. This was mostly because I wanted to check a bit closer before I made the stuff available to "peer review."
Having watched the market a bit, and being content with the results, I have retooled it and posted it here. Eliezer, being busy, I'm certain, with other matters, hasn't yet given me any feedback, so some of my assumptions about the requirements are likely wrong, but I figure he (or someone) will correct me eventually.
Getting The Slump To Pay 100:1 (Or At Least 10:1).
...
"How would your strategy be different if the goal was to get a modest return in a stagnating market, a larger return in a market crash, and a loss in the event of sustained growth? Do you think there is a way to guard against transient bubbles?"
Well, you could supplement the strategy with out of the money puts, that would pay more farther down to the downside, but you'd be really limiting your return with that. In fact, puts are so expensive right now that adding options that give you just a 200% return on this position when the S&P 500 hits... (read more)