New hedge

All positions have been adjusted to match the new portfolio weights. I also updated the hedge. I closed the previous DIA put (Sep '07 strike 123). The previous SPY put is pretty much worthless. The new hedge consists of some SPY Sep '07 puts with strike 144. If the SPY would drop by 6%, the delta should be app. equal to my portfolio beta of 1.6. Thus I'd expect to be about market-neutral below any 6% drop in the SPY. The reason for choosing 6% is that this is the largest drawdown for the SPY over the 1-year period for which I have data for all 3 systems in my portfolio.