Building on my first post in this thread... Gallacher in The Options Edge does an empirical investigation of this issue and concludes that 30% is a reasonable expected ROI. Max Ansbacher seems to do 20-40% ROI by selling OTM S&P options. I would not characterize either of these approaches as "aggressive" (and Ansbacher is actually quite conservative and risk adverse). So, I submit that these data support Saturnine's statement quoted above.
I referred him to the Liffe site for P&L curves, I think I mentioned the diag. is long vega... The vertical condor/fly has very little short vega exposure. Sell those puts HD! riskarb.
Will do, my friend. I have a sneaking suspicion (or is it an unabiding hope) that they may become even more enticing over the next week or two. Ahh, dreams die hard. . . .