yeah it's certainly an interesting strategy, the long run returns should be about the cost of insurance that market participants are willing to pay to protect their own downside. expected returns should oscillate around that with prolonged periods of higher returns and intermittent periods of sharply lower returns (relative to underlying). Stocks, themselves, have positive expected returns over long horizons, so i can't image the spread in this type of strategy being much higher than that + an insurance premium...or maybe just the insurance premium. Anyway, def worth looking into more and having fun trading...i enjoy options trading myself, but haven't seriously researched long horizon expected returns for this strategy.
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