Derivative Premium Arbitrage
There are certain derivative options/futures/stock strategies that can produce better than average returns with little or no risk to capital.
Conversion - Long stock, short call, long put - This strategy captures the difference in premium between the call and the put and any dividend in the stock w/o risk.
A reversal is the opposite of the conversion - short stock, long call and short put for the rare instances when puts carry more premium than calls.
Simulated Baskets - Because of the cap weighting one can assemble a basket of around a dozen stocks that act almost exactly like a cap weighted basked of the 500 stocks in the S&P or the 100 stocks in the OEX. The most common strategy is during periods of higher premium in the futures to be long the stocks and short the future. AS with the conversion during rare periods of negative premium you would be short the stocks and long the future.
In addition to the conversions there are plenty of other option based premium capture arbitrage strategies.
To profitably capture these premiums requires very low commissions and cost of carrry as well as expert executions. It also requires a much higher level of understanding of the markets and their instruments than is exhibited by the OP.
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