As panic sellers and shorts drive the market lower, be on the lookout for pricing craziness on deep in the money LEAP calls on stocks that are especially volatile. It may be possible to buy a stock and sell a deep in the money covered call for a very small net debit or even a net credit.
How would this work? Check out ESLR. As I'm writing, it's trading around $3.08 a share. The January '10 2.5 call's bid is $2.10, and the ask is $3.30. Writing a covered call for a net credit (i.e., money being deposited into your account) is unlikely here. However, a small net debit is possible. For example, if I buy 100 shares for $3.08 and sell a covered call for $2.50, the entire transaction will cost me $0.58 a share, or $58 (plus commissions). If ESLR trades for $2.50 or higher at expiration in 2010, the shares will be called and $250 will be deposited into my account. So, max loss here would be $58 plus commissions. Max gain, about two years out, would be $192. That's more than tripling the money I put at risk. I think it's worth it, and have an open limit order for a net debit of $0.6 a share.
If you think this is worthwhile and wish to try it yourself, please consider that there's a strong possibility that you'll lose all the money you put in. So, if you decide to play, risk only a small amount.
Don't try to buy the shares and then sell the call (this may get you a better deal--and is the only way to get a net credit--but you can also end up having a larger debit than you planned). Your broker should give you the ability to both buy shares and sell calls at the same time--you just have to specify the net debit from your account. If your broker doesn't have this function, you should switch brokers.
ELSR is just one example. Be on the lookout for others.