Take a LEAP

Here are a few more LEAP examples, using some of the SPDR Xxx components.
Keep in mind that Jan 09 data reflects options that will expire in 18 days, so the ROI is really based on a little more than half a month.
I've added the beta values for each of the ETFs to see if that makes a significant difference.
I've also profiled XLF twice. With XLF at 11.53, or mid strike, I've included the slightly ITM (11) an the slightly OTM (12) to check for possible performance edges.
XLF clearly provides a ROI performance edge, both short term and long term, reflecting the level of uncertainty surrounding this sector. Next is line is the XLE, lagging in return considerably, but still reflecting the petro-engine that will drive world economies for the foreseeable future.
As with my kit-of-parts basket of systems (KOP) approach to trading select ETFs, one way to minimize risk with these Buy/Write leap positions is to identify a basket of stocks and/or ETFs and spread your exposure.