
Here is an option strategy I was looking at. Selling OTM calls & puts the last week of option expiry to benefit from increasing theta-time decay(look for high vega options). Sell 1 call and 1 put on Monday or Tuesday and close the positions out Thursday unless they are going to expire worthless.
Here's an article on Theta- Time Decay
Here's a good article on Capturing Profits with Position-Delta Neutral Trading.

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