You are trying to play on words now. That's fine, I have no intention to continue to belabor the point. You are appearing to back away from your original statement now and the intent of the message which was that there is no material difference between the two strategies. Obviously you have corrected your thinking now and agree with me that the two are not the same and over the long run, selling naked puts and calls vs trading the stock is far inferior on a risk adjusted basis.
Have you been paying attention? Max Ansbacher has been trying his luck with delta-hedging short index puts, apparently with the very naive belief that the skew represents an opportunity. Accordingly he has not done very well in the last two years. He is down over 10% YTD. Hint: To see why the implied volatility skew likely does not represent a trading opportunity, for each strike K, calculate the cash flow from delta-hedging a put over the last X days for an option expiring in X days, then solve for the volatility where the sum of the daily cash flows is zero at expiry. Calculate the slope of the skew and overlay on the strip from the current ATM volatility that expires in X days. Ponder why the slope of the "fair" skew is slightly different than the observed implied volatility skew, then remember certain events in the late 1980s, and further consider transaction costs if they were not included in the delta-hedging simulation.
Ansbacher's fund produced (net of fees) over the period of 1996-April 2008 Annualized Return 11.78% Annualized StdDev 19.88% according to www.iasg.com That's a Sharpe < 0.5. Worth all the hassle and risk? You decide.
http://www.elitetrader.com/vb/showthread.php?postid=1938513#post1938513 http://spfuturesoptiontrader.blogspot.com/ publishes p/l on blog.