I've been selling premium for about 3 years, and I have a data sample of a couple of thousand trades. My returns so far are between 25% and 35%, but I think I can improve going forward, since I have learned a few lessons and abandoned a few strategies that were not profitable. The conventional wisdom seems to be that premium sellers are collecting pennies in front of a steamroller, unwittingly setting themselves up for the inevitable catastrophic loss that will wipe them out. Rolling is usually dismissed as loss avoidance, but I have never seen anyone discuss the approach that I use. First, I sell weekly puts that are cash-covered. I never use leverage. I trade volatile stocks with high IV, so that I can collect between 1% and 3% per week. I typically sell fairly close to the money, often the next lowest strike, so many of my options move into the money. How do I deal with this? The key is that the options I trade must have enough premium so that I can roll down and out (usually one strike for one extra week) for a credit. If I can collect 10 to 30 cents additional premium, I can still have a substantial return when I'm finally low enough for the option to expire. If the put moves far enough into the money, I won't be able to roll with a credit. But in most cases, the debit is small enough to preserve most of the original premium collected. If the stock keeps moving down, I can do this for weeks, until I am back underneath it. Occasionally this strategy can result in being very far in the money. I have carried options that are 10 or 11 points in the money. In situations like that, it may not be possible to close the entire trade with a profit. But we all know that losses are a part of trading, right? The probabilities of being in a trade that goes against you that much are low. I am also susceptible to a black swan event. But I have much more flexibility with options than I would with a simple stock position, where I am locked into an absolute price point. With options, I can make adjustments, trading time value for intrinsic value all the way down, so that my loss will be half that or less of a simple stock position. Just interested to see if anyone else trades this way or has any comments.