What way of trying to catch black swans holds hidden risks?

[william the wie]

I'm trying to figure out how to minimize risks in index straddles and similar strategies for catching big moves at minimum loss risk. I figure something will pop soon involving either a crash here or cash flooding in from a major mess elsewhere. I figure hearing war stories about what hasn't worked in the past for other people might help me limit losses. If nothing else it will give everyone a chance to vent.