I think it's the other way round, at least over a complete market cycle. In a run away bull market Covered-Call-Writing will of course always under perform! Both Covered-Call-Writing the SP500 and Naked-Put-Writing historically showed favorable risk adjusted returns over plain buying and holding the SP500, including dividends. The CBOE launched a put write index recently: http://www.cboe.com/micro/put/ Over the last 20 years (June 1988 to the end of April 2007, note how they cleverly left out 1987 ), selling naked puts yielded a ROR of 12.6% with a volatility of 8.3%. Covered Calls reached a ROR of 11.8% with a volatility of 9.2%. All this compares favorably to the SP500's ROR of 12.1% and volatility of 13.7% (!). One idea would be to leverage the naked put selling (or covered call writing) e.g. by a factor of 1.5x which would then (historically) more clearly outperform the SP500 on a ROR basis with around the same level of volatility.