One strategy that I've thought about is: 1. Sell at the money. 2. "Use" the money from the sale and buy deep out the money. Pretty much a self-financing strategy. It's actually called "call back spread" or... "put back spread". However the strategy isn't very popular, I guess because it's explained the "american way", that is...all positions are closed/exercised at expiry. The idea is as follows: When you sell at the money one contract and buy deep-otm say 10 contracts...then a slight move up will make big profit. I see a few problems here though: 1. Implied volatility. It's not secret that out the money options have higher IV. But is this really a problem here? 2. Optimum time to exercise. You should close all your positions before experition...and you will be tempted to hold them more and more. 3. Commissions. Commissions are a big problem here. I guess direct trading to cboe or trading via interactive brokers can offer better results. Basically, if you calculate this strategy via black-scholes's fair prices - the potential profits turn to be a shocker. Like...50% per month . But again...these are the problems mentioned above. I guess someone will mention that "slippage" is a problem - but it's not. Or...that you're trading against the house which is a problem only in say forex options, etc. I guess I have to program and backtest the strategy on historical data. Again I am SLIGHTLY sceptical about it. 10x and happy new year!