How about this trade in IWM (or could be done in other broad based ETFs): Buy 15 Jan09 77 IWM PUTS Buy 10 JAN09 82 IWM PUTS SELL 5 JAN08 74 IWM PUTS SELL 5 JAN08 73 IWM PUTS SELL 5 JAN08 72 IWM PUTS SELL 5 JAN08 71 IWM PUTS SELL 2 JAN08 70 IWM PUTS (ratio part) Max profit is about 15% per month. This makes money mainly on theta decay, and has black swan protection in that the max loss to the downside is 5% (due to the ratio). On upside moves, the plan is to roll both the shorts and longs at a 5% move. For example 5% up from 72.2 is 75.8. At that point buy the Jan08 70 puts and sell Jan08 75 puts, and sell 5 of the Jan09 77 puts and buy 5 Jan09 82 puts. Do the opposite on a 5% downside move, or if near expiration adjust when rolling to the next month. I believe this can make 2-7% a month depending on the number of adjustments. The risk is to the upside, but there should be time to make adjustments to the upside as the moves are slower that direction.