If you mean LTCM then the story is far more dull (i.e. too much leverage, fund goes boom) Ed Thorpe did originally want to setup an options fund (he was the fi

If you mean LTCM then the story is far more dull (i.e. too much leverage, fund goes boom) Ed Thorpe did originally want to setup an options fund (he was the first to trade the model) that he later estimated would've blown up due to various market conditions at the time IIRC