Here's a hypothetical scenario. stock xyz is trading at 10.00. You sell 10 contracts of june 12.50 calls at a price of 1 dollar each. You buy as a hedge 10 contracts of july 12.00 at a price of 1 dollar each. ideally the stock goes up a little, down a little but thats about it. the options you sell expire and you sell your hedge and your profit starts at 100% and goes down depending on how much your long hedge position depreciated. If the stock takes a jump you will always be ahead b/c your hedge position is closer to the money and a month away from expiration. If the stock dives to 0 your hedge becomes worthless, but of course so do the options you sold. So you dont gain or lose. The biggest question of course is how could the june 12.50's be going for the same price as the july 12.00. My answer is that they SHOULDNT be, but if you found a case in which there was this kind of price discrepency...wouldnt this work?