What am I missing here? I'll lay out my strategy... buy 100 shares of the SPY, buy the same dollars worth of the inverse S&P 500 ETF (SH) (or use the SSO, divided by two) and then sell at the money calls on a monthly basis on the SPY, which will get ya around $300 a month. So with this strategy you'd be pocketing about $300 a month from selling the at the money call, all while being totally hedged 1 for 1. However it seems too good to be true, so what am I missing here?
If SPY goes past your atm calls your short position will be losing more,your long position is capped by your atm calls.
In essence you have a naked short call position. Maximum profit is premium received . whereas max loss is unlimited if market rises. You can counter that by buying delta neutral futures.