I have tried very hard to hedge my option positions. Sometimes I am successful, but the reward significantly diminished. Having traded various strategies, I am convinced of market efficiency, and having significant reward with very little risk is extremely unlikely because of the No Arbitrage assumption in the mathematics. Therefore, I have come to the conclusion that, (1) if an investor desires little or no risk, he would be better off just park his account in Treasury; this way, he can also save the time and headache of market analysis and monitoring. All the hedging will result in tremendous hassle and in a return that is hardly any better than that of risk-free investment. (2) if an investor wants to make more than risk-free return, then he or she would just have to take a stand and "make a bet" on direction, volatility, or timing, as FullyArticulate said before. As the old saying goes, "no pain, no gain." Some stake must be taken in order to make greater than risk-free reward. Any comments?