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If it's the underlying is mean reverting, isn't that a foolproof money making machine ? I'm not sure why this sounds like a dumb proposition to you. Can you elaborate ? I would really be interested in hearing about how to do this with poor man synthetics, since there would be no assignment. I...

As a follow-up, since you can't buy VIX shares, is there a way to implement this with synthetic covered calls and puts ? Looks like guru might have answered this already.

Thanks !

Hi, I've heard of a strategy for harvesting profits from a mean-reverting underlying that involves alternating between selling ATM covered calls and ATM cash secured puts. Does it have a name ? Here is how it works: (Using VIX as an example, knowing you can't really buy shares of it) Say you...