Frank, thanks. This is a very good paper. I still not certain of the option portion of TLT and GLD. I think these two assets are for hedge purpose. So when the market tanks, we wish treasury and gold price will pop, to offset the loss. If we sell 0.3delta put as a replacement, then we wont see a pop, when market tanks. Can you explain your allocation between normal assets and the option for treasury and gold?
Also in your previous post, you mentioned to sell 0.7 delta put for SPY, while in the paper, you described half long spy half sell at the money put. I guess to sell 0.7 delta put is less risky. Can you help to clarify?