I like this general idea. I've thought about this too, but it's not a slam dunk. Over a period of several months or years, this is almost certain to work. The hitch is there may be a strong directional move against you in the meantime - and you may wind up with a killer margin call just at the wrong time.

Now if you combine this with selling naked puts (like the stockhouse columnist suggested), it would add income to the mix, so it could be quite profitable. If I get a chance, I may research this during the weekend. If I come up with anything worthwhile, I'll post it.