It doesn't have to be on expiration, it can be any day there's a big move. Still, the position is relatively cheap. You can buy the conversion (minus the short calls since they're practically worthless anyway) for a few bucks. Each day it doesn't happen, you lose some theta. On the day it does, you should be able to make up the difference. Yes, the conversion is a synthetic call without the sold calls, but if you're only getting .15 for the sold calls anyway, why bother? How do I know all this as intimately as I do? I was an idiot selling boxes to people on OEX at 250%+ yield. Then someone exercised one of the ITM puts and gave me my biggest single losing position ever. Now I know something about OEX.