Let me see if i've got this straight. You short at the money futures, and buy in the money calls. Well, this is essentially the same as buying a put option. So you are simply arguing that this put option is mispriced because it doesn't adequetely take into account fat tail effect. If that's your bet, then thats fine, but this is not a free play.


Why don't you try putting actual numbers into your strategy, see what the pay-off profile looks like. Hull has a fairly good option pricer.


http://www.mgmt.utoronto.ca/~hull/