[cesaref]

But spreads aren't larger in the morning are they? If anything they are smaller, due to the action of the opening auction. Without actual data to back up that assertion, the rest of it doesn't really need reading.

Assuming his assertion is correct, the reverse is also a strategy. Selling in the morning, causing prices to drop, then buying back when they are cheap in the afternoon, so ending flat but having made money.

So anyone that buys and then sells or sells and then buys makes money. This is easy! What could possibly go wrong?

My knowledge of this is maybe limited, i've not worked as a quant, but i've stared at a fair bit of market data having written feed handlers for a fund.

[posnet]

Expand doesn't necessarily mean buys. It's a leveraged market neutral portfolio, so most likely built from a combination of the future and hedged options books. So would be a combination of buys and sells of derivative products. Even if the net position is larger.