It happens in MO? Does that mean people use this strategy successfully or there is early execution?
Short call/long stock should be pretty close to delta-neutral if the option is significantly in the money, which is generally necessary if you want to sell calls where it is optimal to exercise early. So there shouldn't be much exposure.
As for buying a put to capture the dividend, the requirements for profit change:
With long a put: You profit only in the case where the put is mispriced for maturity.
With short call: You may profit in the case where the option is correctly priced (for executing just before the dividend), and rely only on the weaker assumption that there exists a sufficient probability that the option will not be exercised.
Look at MO the day before it goes ex-dividend. There will be a lot of people engaged in dividend arbitrage.
In theory you are right that everything should be fine and you will not lose out. However, one day you may wake up and find that MO (or the tobacco industry) loses a lawsuit. The stock gaps down and you will be screwed.
