I'm not entirely sure about equity markets, but with regard to interest rate markets, selling at the money option straddles has on average made money. I suspect this is also true for out of the money and equity options as well. There are a few theories that i know of regarding this matter. Essentially, the idea is that because the option seller is selling insurance and therefore has a skewed risk profile, they need to be compensated by a risk premium. Also since volatility is greater on crashes than rallies, options straddles are more likely to pay off when the market is selling off, making it a negative beta instrument.


Of course, the fact that selling option straddles are positive EV does not make it a good play as your downside potential is much greater than upside... hence the risk premium required. Also, margins will further distort this.