According to the CBOE, a simple put writing strategy that sold ATM puts on the S&P 500 each month and held to expiration outperformed a buy and hold S&P 500 strategy with less volatility. 1986-2016 annualized returns were 9.9% for the PutWrite index and 9.5% for the S&P 500, annualized volatilities were 10.2% and 15.3% respectively. http://www.cboe.com/micro/put/putwrite-fact-sheet.pdf What improvements could be made to this strategy? Would any of these moves be worthwhile? a) Change duration- weekly options would have more gamma risk but also earn more gross premium b) Move the strike - earn a higher premium by selling in the money options and take on more delta c) Managing winners - rolling up the strike once a target profit level has been achieved d) Manage early - roll the option out after a certain number of days to decrease gamma risk Additionally, if you were to adopt such a strategy, what methods would you consider to hedge your risk?