I assume that you mean selling naked calls and this isn't a word game, eg. selling CC's "on an equity index"? It's late 1999 and the QQQQ is in the high 50's. Over the next 5 months it rises to nearly 120. Not straight line but not far from it. It's Mar '09 and over 9 months, the QQQQ rises from 26+ to the mid 40's. Chances are, ITM naked call options are a loser every month. Conversely, it's Aug 2008 and over the next 3 months the QQQQ drops 20+ pts. Selling ITM naked puts would have been clobbered. In all of this, where do you see an edge from selling naked?
....are you going to name the expert?.... ....also, as someone else inquired, sold naked or against an owned underlie?....
To get the question of naked clarified, instead of the ITM call terminology think, you can think in terms of shorting underlier and selling OTM puts---The other side of married puts. See it as a position in isolation.
Have you ever heard the word "average"? If you did, does it make sense to you to cherry pick in analyzing an average? If you have a on-purpose selective mind, I suggest you go somewhere else. If you are thinking drawdowns, it is an important aspect but the issue is whether the expected return of the seller positive. Do you disagree with the outcome or the criteria to judge the outcome?
Yes, it does make sense. Drawdowns may be so severe that the account blows up. Even if it doesn't, the ability to sell options in future months may be severely impaired. The average won't matter. Your OP is not clear as to the nature of the edge selling ITM calls on major indices. And who's the expert touting this edge?
No, the issue is whether the expected risk-adjusted return is positive. The problem is that, over a medium-term horizon, the performance of systematic short vol/gamma strategies is relatively unattractive.
Masturbation expertise displaying itself (in public and with no shame) ! Did I not tell you in the previous post to look somewhere else if you are looking for something else?
Are you sure? The average is an unbiased estimator of the expected value, and the long term average tends towards the expected value.