Show notes: http://optionalpha.com/show124 Selling cheap options with very high probabilities of success makes rationale sense on the outside. I mean, why sell options with a 70% chance of success when you can sell options further out that have a 90% chance of success. No brainer right? Well, not so fast. The options market is fair and efficient - and selling these far out-of-the-money options might look good from a win rate perspective, the total dollar profits you'll generate far under-perform the stock market. Today, we'll use our Options Backtesting software to run two option selling strategies on TLT. The first selling options at the 0.25 delta and the second selling options at the 0.05 delta. Inside we present the results and our analysis as to why selling cheap options could be less beneficial to your portfolio.