I hope everyone can see how rediculous this claim is. I was going to go through the study to find the misleading assumptions myself. However the very first post in the discussion section of the article points out the major inaccuracy in the study. The author of this study shows a complete lack of understanding of real world options trading. "âThe paper assumes that a put sellerâs capital requirement is equal to the initial cost of the put. However, a put seller has a much larger capital requirement, assuming the seller of the puts plans to continue selling puts after one of the infrequent but very large losses. Specifically, any put seller after October 1987 would know there is a possibility the S&P 500 Index could loose 18% of its value in a month and so must maintain at least 18% of the value of the underlying in cash reserves. Thus, based upon recent prices for puts on S&P Depository Receipts (SPY), the minimum capital requirement of the put seller reduces the 39%/month average profit to about 6%/month. âAn optimistic put seller who wants to continue selling puts after a major market crash might set the required capital reserve at 2x the worst payout or 38% of the underlying, which reduces average monthly return to about 3%. A more conservative put seller might go with 3x the worst payout which implies a monthly return of just under 2%."