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You guess correctly. It did make money but I have modeled several other option based systems that were much more effective as investments but they were not in trades 100% of the time as insurance must be (see exception below). That dictates that run ups must be left in play until a quarter's end...

BJW We have developed and back tested a strategy with key2options using low Delta VIX Long Calls specifically to protect against Black Swan events. Here are the rules and parameters and results. This, of course, is not investment advice. Our back testing model entered a trade on the first day...