Hacker's Guide to Printing Money in the Stock Market

Are you kidding me?

Keep writing naked puts and then compound it by assessing your risk based on historical data.

This is a surefire way of loosing your shirt when the next Lehman level event comes around.

The risk in your strategy is that the stock market has very fat tails and unlikely events happen with more regularity than they should -- and the math that you're using to assess your risk discounts all these events by terming them unlikely.

This is empirical nonsense. Market-behavior is not normally distributed so basic statistics and even portfolio theory just puts you back in the same situation as Lehman Bros..

http://fora.tv/2008/02/04/Nassim_Nicholas_Taleb_A_Crazier_Fu...

Only apply the theory to stocks you'd like to own.

I acknowledge the strategy isn't risk free (no strategy is), but if you're going to buy a stock, considering using this strategy instead.

Just play a round of poker with friends.

Only rational way to invest: http://en.wikipedia.org/wiki/Modern_portfolio_theory