Thanks for the post rs7...it's nice to hear from guys who've "been there-done that". I have the McMillan book, and yes, you're right about the commissions making a lot of strategies impractical for the off-floor trader. I always thought some of the bull/bear spreads looked interesting, but back when I was into options, commissions were something like $20 a side, so I didn't mess with it. Still, I've always been fascinated with options,and my favorite play is still the "Naked Combo"!
The firm I worked for on the CBOE loved the naked combos too....but when they went wrong....they were DISASTERS!!! My favorite.... backspreads....too bad I don't have the kind of cap I had in those days....an event like sept. 11....could have retired rich. Naked combos would have been killers then. (not implying i would want a sept. 11....let me tone it down to an unexpected cut in rates or something like that...the crazy swings when they were doing florida recounts off and on, etc.). Naked combos cause loss of sleep. High percentage play usually, but oh those losers!!!!
I prefer the futures to options ONLY because the time decay factor is a variable that I always had difficulty dealing with properly.