I've been working on my own strategy for some time and came up with the following: E.g. Underlying is ICE at ~142.67 Long 100 shares at the market. STO March 145 Call at bid for 7.7 credit BTO Feb 135 Put at ask for 2.65 debit If it tanks below 135 before Feb put expiration, I would close with max loss 135-142.67-2.65+the current value of the call = approx -3.0 loss If the Feb put expire worthless, I would roll up the call and put to the next month and collect the difference in premium of the call. If it rallies at any point above 145, the max profit would be (if assigned) 145-142.67+7.7-2.65= 7.38 profit pts I would try scalping when possible. Any thoughts on this? I've been studying options for only half a year, so take it all with grain of salt. My main idea is to always hedge the position and make a few hundred a month (on a 30K account).