Check www.iasg.com and see his performance. According to this, he manages 180 million now. Check also his returns - about 23/23/10 in 2003/2004/2005. Not brilliant but I would not call it pathetic, as these results are after fess and commissions. This is just an example. Most CTAs use more sophisticated methods.
I will give a quote from Chick Goslin Options are one of the greatest and most costly frauds ever perpetraded on the trading public. The very nature of options, as currently set up, is such that the odds are inherently stacked against the buyer (primarily small speculators) and in favour of the seller (usually big,institutional money)
I think you are making the mistake of comparing your large account program trading or that of a CTA to the average retail trader we have on this thread. Remember I qualified my comments to refer to the average retail trader not to all traders in general, including pros. You said you could grow $10,000 accounts but I cannot see how you could recommend someone with a $10,000 account do naked options on an index using Reg T margin. Remember I am not making a sweeping generalization here, I am talking about the average Reg T. brokerage account and naked options on the SPX is just not an appropriate strategy. Even 1 naked put at 1100 strike would have a margin of at least $20,000 and would not bring in enough to justify the risk. I think to make it worthwhile a retail broker would need probably $500,000 to consistently sell naked puts on the SPX and make nice returns. You cannot compare what a CTA with millions can do and what a retail trader here with maybe $50,000 to $100,000 can do. Those accounts should not be selling naked options on SPX. So I reiterate that what a pro can do and what a retail account with mid-six figures and above can do is quite different with respect to selling premium on the SPX than what a retail account can do with $100,000 or less. For those smaller accounts who wish to sell premium on the index, I highly recommend credit spreads to them over naked options on the SPX. You certainly can cite many large multi-million dollar funds that are quite successful selling naked options, but that is not helpful to the retail accounts of the average trader here.
The other liquid markets to look at with risk based marginining similar to SPAN are the DAX, Eurostox50, Swiss market Index, and Korea.
Interesting brief discussion on Risk-based Haircut at the following link: http://www.vtradergroup.com/files/education/gtt_margin_haircut.pdf
I used to live in Korea. Doesn't do much for your confidence in a nation when you're walking down the street and air-raid sirens go off. (happens frequently) Problem is, I think they have a good business culture and that they are the up and coming nation. Their products are getting better and gaining an increased market share. So I would normally be bullish on them but I think they are one bad day away from a disaster in the current geopolitical climate. I don't think I could ever really decide which direction to take.