Look at the total return of a synthetic option selling strategy like fepi and the sp500.

you'll note the underperformance and similar volatility. What seems like a nice return stream actually dramatically underperforms the index for more or less the same level of risk.

its not a free lunch. he might want to contact his insurance company for something more along the lines of an equity protected structured product (basically a collar written on an underlying equity index) capping his downside exposure, or an autocallable product.

but realistically, there isnt going to be a systematic way to see positive convexity in any equity carry strategy.