Here is a hedge fund that sells saddles on the S&P 500 and has done fairly well. The manager even states in an interview with Active Trader Magazine that he believes the market to be efficiently priced. http://ljmpartners.com/english/history.php If so, what if anything is his edge? (positive expectancy) Does he just sell naked and hope that a tail event does not blow him up. Or does he simply rely on his discretion and experience to roll and adjust his positions.