One idea was to combine long NDX option positions with short dated short straddles. A first run at this suggestion yielded promising results.

For example, on the close on a Monday, a 3-day straddle would expire, and a straddle would be sold using options expiring that Thursday (in 3 days) just before the market close.

A short straddle is an options strategy where you sell both a call and a put at the same strike price, typically at-the-money. This trade works best in neutral markets — when you expect the ...

A straddle can be considered a volatility spread, as the trader who puts on the straddle is speculating on the volatility, or degree of movement of the underlying, not necessarily the direction of ...

This brings us to the topic of long straddles, an oft-overlooked way for options traders to profit from volatility.