A brilliant idea! ...as long as the person on the other side of your trades has no understanding of the passage of time!
Good luck. Everything that earns a decent premium will almost always get touched...what is it delta x 2, so unless you can handle assignment you will get rekt. I ran the numbers and nothing out performs the short put or long call. Any kind of blend or spread underperform ...except fly's if you want a lotto ticket for fun but carry greater pin risk...especially broken wing variation. Combination strategies are all about pin risk...if you can't make the position whole, then you are going to be forced out of constantly for a loss. It's that old adage about never go into business with someone who has more money than you. Also fees...fees are a profit stopper.
Even then doing market neutral trading one needs a Alpha generator (method/model providing EV+) because MMs and other market participants aint in the business of giving away free money. Myself I built multiple statistical trading models that I'm using for theta harvesting too (beside directional trading). I have one model for doing Covered Call/Ratio Call Write and multiple models that can be used for doing CSP/MSP (which is basically volatility harvesting).
Appreciate your reply! I try to manage assignment/pin risk by hedging with CFDs once price moves near breakeven. Keeps the premium safe without stressing the position.
yessss. this. keep that premium safe with D1. It's always best to hedge as price trades to your risk.