Bought DIA at 101.17, sold-to-open Feb 99 calls at 2.44 — both with market orders, for a net debit of 98.73.    Pretty frustrating morning– tried to do buy-writes first thing today with a net debit amount, but I  never got a fill, even though I was splitting the ask/bid price or slightly more generous on the options (97 calls at that point).  I don’t know if this is due to the upcoming DIA dividend, the general behavior of the DIA option market makers, Fidelity’s software/order flow, or what.

For this strategy, getting better than the listed ask/bid price is pretty important– $0.05 or $0.10 is a pretty big percentage of the available profit for the deep ITM calls.  I looked at doing a call vertical spread,splitting the bid/ask spread,  with the long side way OTM (e.g., 108)–to be followed by buying DIA at market.   The spread might execute better because it would be be an options only trade, and would only cost a cent or two, but by that time the market was rallying strongly–I didn’t want to be in an effective naked short call situation in a dynamic market while I created the long side of the DIA covered call position.