Lessons learned moving from options on futures to options on stock: A few days ago I noticed that you could do a reversal - a risk-free arbitrage - on USO. You could hit the bid on the ATM puts, hit the bid on the stock, and lift the offer on the calls for a very nice locked-in profit. I couldn't believe it. I went over it and over it. It seemed impossible, but there it was. This morning when I tried to execute it, I found the problem. You can't short the stock! Impossible to borrow. In futures of course, for every long there's a short. So there's no such thing as "can't short the underlying." One more thing to get used to.