I wonder if a strategy of selling progressively higher call strikes would work even in a rising market. For example, you sell a 1050 SP call when the underlying is (well) under 1050, then if it hits 1050 you buy a future and sell a 1060 strike, if it hits 1060 you buy a future and sell a 1070 strike and so on. If the market keeps rising, so much the better you are completely hedged and will collect the full premium on all your positions (also the deeper the option is in the money the less premium value it will have and thus will allow you to close out hedged positions that are deep in the money to free up margin for new naked out of the money calls). If the market drops you just cover your futures as they fall below the strikes. Spacing the strikes using say the weekly ATR or some factor of it (backtesting might help in determining the most profitable factor)will help avoid one getting chopped to bits. Indeed, to increase profits one could sell out of the money puts too and sell the futures as they broke through the various strikes. Meanwhile the calls are doing very nicely, vice versa. What is the main problem with this strategy? Obviously one has to a be very well capitalized and money management needs to be very disciplined. Does this strategy yield enough profit for it to be worth while (i.e. does it beat the SP)?