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*There is an unlimited risk of loss associated with selling options. The Volatility Capture strategy involves the selling of naked put options or put option credit spreads. There is considerable risk in such transactions if the underlying should fall by a large amount in a short period of time. The premium from the written options will most likely not be able to completely compensate for that risk. Risk management strategies in the form of long volatility derivatives are employed, but there is no guarantee that the risk protection will actually work. In other words, the ownership of volatility is designed to protect the naked puts in the case of a sharp, sudden drop in the stock market. However, there is no guarantee that volatility will, in fact, increase when the stock market drops.
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