Despite all the BS talk about 80% of options expite worthless (they don't mention if the other 20% make a killing). In pair trading, one must relatively outperform the other. If the CBOE Buywrite index (covered calls), they are long S&P 500 shares and short 1 month ATM calls. C.Calls outperform the S&P during sideways or bear markets. They underperform during bull markets, meaning buying options is superior to buying the S&P shares. http://finance.yahoo.com/q/bc?s=^BXM&t=5y&l=on&z=l&q=l&c=^GSPC Thus neither option buying nor selling is consitstently superior to the other?