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Yes, that is exactly what I mean.

That's the risk you take when legging in/out. The way I see it is you got two choices: (1) get out and cut your losses; (2) hold on to your long put as a directional trade and put on a stop so that your risk doesn't exceed what you are willing to lose.

triggertrader, Exercise/assignment is not instantenous, so you don't find out about it until the next day, which means that you can face gap risk. I.e. you are assigned based on the settlement price on that day, but you don't find out about the assignment until the next day so you cannot make...

As the OP mentioned, there's no direct relationship between ATR and IV, as one is backward-looking while the other is forward-looking. So you cannot calculate one from the other. You can use both to estimate the relative cheapness/expensiveness of the options, but that would be your own...

Correct me if I'm wrong, but the OEX pit is where OEX options are traded, all of them, so the market makers that trade in the pit trade all OEX option contracts across the strikes and expirations, so you cannot say that one specific contract has a better market maker than some other contract...

Yes, all options do expire, I was referring to the specific example you provided. An ATM option may or may not be exercised so if you short an ATM option you do not know what your position would be, known as pin risk. Yes, spot means the price of the underlying futures, stock or whatever...

What do you expect, it's expiration friday!

TOS will do as soon as it becomes available, so that would be April, I think.

CME Final Settlement Procedure

If you like you can think in terms of two separate transactions/cash flows. The intial one is the premium you recieve and it is yours to keep. The second one is at expiration when you either don't have to do anything (the call expires OTM or ATM, with some exceptions) or pay the difference...

Fair enough. Please don't get me wrong, I'm not criticizing your methods, just curious.

Yeah, and the rest of us just blindly slap it on and go with the flow.:D (Sorry, couldn't resist)

Oh, sure, I didn't mean that as a flaw, just as a characteristic of the position and something to keep in mind when trading it.

The losing bit comes from not acknowledging there's a trend and trading the spot against it.

Slightly off-topic, why do you daytrade options facing exactly the problems you describe when you can avoid the whole thing by going to futures?

As I said above, yes the cost of carry is in the call, but you also forgo the interest on the capital tied up in the long stock. Just because you are lazy or not skilled enough to put the cash into an interest bearing instrument is neither an excuse nor a benefit of a covered call.

Yes, so basically, you don't get any interest, which is the same as just selling a put and keeping the cash.

Yes, the call premium does include the carry, but the capital tied up in the stock cancels it out, which is what you said anyway.

There's no solution, as Wayne has pointed out above, the oscillation is required for gamma scalping. If the underlying starts to trend then you keep fading it when you adjust your deltas. This strategy like any other has its risks and rewards, it's not the holy grail.

And how do you get interest from holding the long stock? Sure, you get dividends, but those are priced into options.