Although this market definitely favors bullish strategies, there will come a time when more neutral strategies will be par for the course. Strategies such as a ratio spread where we sell two out of the money puts and we buy an at the money put or a closer out of the money put. This startegy works great in normal volatility environments and offers tons of availability as one can make money if the price of the stock goes up or goes down.
A variation of this startegy (for those who do not want to roll those puts if needs be) would be a covered call along with the purchase of an out of the money put. Take Sigma Labs, Inc. (SGLB) fore example currently trading around the $7.50 mark. Shares spiked higher today and implied volatility in the near-month cycle (March) exploded above 600% at one time. Even in the back month (April) where 300%+ levels were available, one could have bought 100 shares at close to the $7.50 level, sold the at the money call ($7.50) for $2.80 per contract while simultaneously sell the $5 put for roughly $1. This setup is very close to being delta neutral and it offers significant risk-protection to the downside. Furthermore the net credit comes in at $1.80 per contract on the options which is attractive for a low-priced stock.