Quote from Nagelis:
Yup - I am with you. Great job. I used to trade this in FX... Haven't tried it in ES yet.
Very clever my friend - a great strategy! I agree it's harder than most assume, but very powerful and you can trade 2 dimensions (volatility long / short and directional/ delta neutral). You must have made a killing last year with this. Thanks and good luck Ilo!
Let me set the record straight though, the strategy was unsuccessful initially from 2002-2005 due to lack of the necessary knowledge as I was putting all the pieces of this complex puzzle together. It then became incredibly successful from 2005 to mid 2008 as I became deeply knowledgeable and intimate with it. 