Are you kidding me?

Keep writing naked puts and then compound it by assessing your risk based on historical data.

This is a surefire way of loosing your shirt when the next Lehman level event comes around.

The risk in your strategy is that the stock market has very fat tails and unlikely events happen with more regularity than they should -- and the math that you're using to assess your risk discounts all these events by terming them unlikely.