reprice of long timpb short tim strategy , page-22

I have a calculator for TIMPB that tells me the hedge required for a particular outcome. For example, with TIMPB at 1.30 and TIM at 0.68, you need a hedge ratio of 161% TIM CFD short versus TIMPB to ensure you don't lose money if TIM is worthless in Sep09. Using this hedge ratio loses money only if TIM is greater than $1.15 in Sep09. Max return is 96% gorss yield at TIM = 50 cents. This return neglects the tax benefits of capital gain. My current hedge ratio 82% and I lose money if TIM drops below 11 cents.