By Porter Stansberry in The S&A Digest:

David Einhorn's Greenlight Capital filed its quarterly holdings disclosure with the SEC last week, and the investor – famous for his call to short Lehman Brothers – is back on the defensive.

Greenlight currently has 24.25% of its $6 billion fund in S&P 500 puts (SPY). The long puts aren't an outright bet on a falling market, though Einhorn is wary of the massive gains since March.

Einhorn says he "observed a decline in [the S&P 500 puts'] underlying volatility (i.e. price) in the face of what we still see as tremendous uncertainty in the economic outlook."

You can read the full letter here.

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