If the SPX approached the short call strike, one could roll the collar up. How much that cost would depend on how close it was to expiration. I think that it would be minor, compared to locking in another 5% of portfolio gain. That's the trade off. The ET option trader's wet dream is that after doing so, the market collapses and in additon to the ~5% put protection from the collar, that previous, near worthless set of puts also comes into play and the downside becomes a winner since you have double the protection, at least below the lower put strike. Yeh, unlikely but a nice fantasy that occasionally come true when near worthless long options come back to life. I have Level 4 so naked calls isn't a problem. I just wonder if that approach introduces the issue of stock specific news creating an additional problem, namely one stock zooms up, say due to a very good earnings announcement, yet the portfolio goes up minimally. Now I have a call loss without the associated 5% portfolio appreciation (my initial tentative collar distance premise). If I utilied an index collar. I think the management would be reasonably similar to what I do when defending or booking gains with a single equity and attached options (or a vertical). To the downside, get outta Dodge or roll the long puts down and sell more call premium if defending. To the upside, roll the entire collar up. I think increased vols would not be much of an issue to the upside. When you figure it out, post a Cliff Notes version here for me.