Actually, what you have said makes not only alot of sense theoretically, but in practice as well...The "hidden" costs of trading options at the retail level are so enormous that alot of the "edge" evaporates in an instant...I mentioned the OEX earlier in this thread because, imo, that was just a first rate options market several years ago...I remember even using it as a surrogate for the futures on a number of occasions in early-mid, 2000 when IB dropped their options commissions to $1.95 p/c...Even then with the fractions you could get enough movement in that highly volatile market to use it for directional purposes if that was your intent...Also, there was enough volatility range to use a variety of spreading strategies as well...The thing I do not like about the QQQ and the other new age indicies is that the strikes are set in a manner that you do not get those same large premiums far OTM like you get in the SPX/OEX...It is just a different kind of options market, from my perspective... Not to digress...But back to what you were saying about the cost of the legs of the spread representing the true edge of the position...I agree with you...because when you get down to any type of vertical(credit or debit) spread you are paying up on the offer for the covered side and selling down on the bid for the open side...Then you have to reverse the process to close out the position...RIght there you have a double digit vig working against you, not to mention the fact that fast market conditions can just annihilate any and all attempts to "leg out" or "leg into" a spread at what you perceive as a real "edge"... One solution that does have some success if you are brave enough and have the pockets to employ is to position yourself around a pivot strike and begin to scale into that strike so that you improve your basis cost...Since you basically know your absolute threshold loss on the position, the scale is not as intimidating as a futures type scale...If you know you have some sort of volatility edge and you know that you might also have a better than 50% directional edge, you pick a good strike with good volume and open interest and can get in at a good average cost, there are a number of instances where you can really position yourself nicely... I believe this past March offered a once or twice a year volatility opportunity in the indices which is just starting to unfold as I write this...Not only did the market give a very good directional opportunity(good odds of a reversal), but also with such low implied volatility in all sets of index options, equity options, etc...it was a pretty damn good opportunity...Going into the end of February I had determined that the VIX had a seasonal tendency for an upward bias throughout the month of April going back at least 6 years...Therefore there was even a seasonal tendency towards this...I am also going to look to position for a volatility trade going into September of this year if we get the typical volatility compression through the summer months...