Prof,
Not even fading opens. It would be having limit orders shorting 5000 and going long 4900 at the moment, with additional orders at say 4850 and 5050 etc. You would leave the orders in until they hit profit or the bail-out point which could be 4750/5150 atm. As this is hell of a loose stop the orders would neccessarily be small individually but you would not have any losses until it hit the stops. Now for the following setup on the short side could be:
Short 1 at 5000 Cover at 4950 Profit 50
Short 1 at 5050 Cover at 4950 Profit 100
Short 1 at 5100 Cover at 4950 Profit 150
Stop at 5150
and at the long side
Long 1 at 4900 Sell at 4950
Long 1 at 4850 Sell at 4950
Long 1 at 4800 Sell at 4950
Now worse case it is it goes up to 5150 first time with no retracement back to 4950 with a loss of 150 + 100 + 50 loss or 300 pips, a bit rich for most of us on the SPI but CMC goes down to $1 per pip. The profit is that you get a number of bites of the cherry and make many relatively small wins and a very few large losses. You could also buy OTM XJO calls and puts to reduce the losses. Also if you have a long share portfolio the profits from your portfolio would cover the big loss.
I'm not saying that this is a particularly good example. The current 100pip range is unusual and will probably break one way or the other in a big way soon but it is a thought having an uncorrelated system
MIT