I seem to have better luck trading underlying than options, (although I have written plenty that expired worthless). I was trying to think of a strategy that uses options "as intended" -- a hedge, not as a profit-making strategy. Let's see if my logic on this works. Buy a long call and a long put, both ITM for a long straddle. For example: BGG April put 40, ask: 3.3 BGG April call 35, ask: 3.3 Therefore $6.6 to set up the straddle, which is $1.6 for "the priveledge of having it". Theoretically, if BGG goes above 40 + put premium, or below 35 - call premium, the straddle would be profitable. But in reality, such a move within a month probably won't happen.... and you'll just end up spending the $1.6 to watch the price drift within the strikes. But $1.6 is not all that much to earn scalping the underlying. That's only 10 moves of 16 cents. Or 10 short-and-reverse moves of 8 cents each. While someone certainly could just scalp the underlying in the first place, without spending any money for the straddle, I'm wondering if there is a "psychological advantage" here. That you can take positions without concern of making a hasty exit, getting fooled on a "spike". After all, your maximum loss is $1.6 even if the underlying makes a large move against you. If it's "easier" to trade profitably, by being mentally calm about the position, then it might be "worth" spending the premiums to set it up.