Hi, I know some people that make their money by every month writing out of the money calls and puts on an equity index. The intention is to make profit on the decay of the time premium. It is supposed to be a market neutral strategy. As long as the priceswings of the underlying equity index are not too much, the position is more or less neutral and when big market moves happen they just roll their positions to different strikes (taking some loss of course). They claim that although they sometimes lose money in extreme markets, they are profitable in the long run. I have difficulties believing this, since this would imply imo that these options are not correctly priced. I think all they are doing is distributing the chances of profit and loss in a different way (i.e. big chance of small profit almost every month and a small chance of catastrophic loss once in a while, but eventually a zero-sum game). Is there any reason to believe that this kind of strategy can really be profitable in the long run and if so, what is the fundamental reason for that? Thanks!