short ultra short etf calls. I have shorted FXP Oct, Dec calls, DUG Sep, Oct, Jan(09) calls. short them when they reach at relatively high. I play very conservatively so I shorted far out of money calls. the premium is pretty high even far out of money. the volitility is high. The average annual return is more than 100%. Check it out, if you can't find any opportunity, you are too dumb to stay in this game. there are a lot of ultra etf to play with. Those ETF are shortable, so even if those fall or rise to in the money, you can buy or short and then short some call or put again with your position. It's relatively safer to short ultra short etf(don't buy them). Only short them when they reach at relatively high. you will pocket the money even if the market go against you in most situations.