Options On Strangely-Acting Stocks

Rule: After you fully understand Black-Scholes, Calls Puts, spreads, Butterflies, etc., go on to find
exceptions where the future does not follow the Black-Scholes predictions and therefore you may make
money from those blindly following what they think are "the rules".

Example is the action of the Agency REITs such as AGNC.
On October 11, 2010 I noted the following gains:
AGNC +5.26%
AGNC DEC $25 CAL +25%
AGNC DEC $27.5 CAL +33%

These gains are from the purchase of those stocks and options on 9/30/2010.

Black-Scholes doesn't compensate for the specific date of the dividend in the case of AGNC given the way it
is implemented at brokers such as E*Trade.  

Rule 2 for AGNC: If they have a secondary offering just before the dividend is declared,

I mentioned to a friend who I simply call "Bob" to protect his privacy, that I will be allotting part of my
portfolio to AGNC stock and selling it before the ex-dividend date each three months.  From the low points
to the high points it seems like I can gain a profit of at least 11% or more each quarter for a yearly
compound profit of about 52%.  This seemed quite adequate and met the criteria of not being too greedy.  
Bob responded that he could do better by buying the calls in AGNC so I have set up a competition which
started with the DEC call options versus the stock.

To add to the complications, Bob decided to sell his call options early.  He sold the DEC 27.5 CALs at $1.55.
In my account, I own the AGNC stock and DEC 27.5 CALs side by side.

I purchased the AGNC stock at $26.17 and as of 12-10-2010 it is at $29.31 for a 12% profit for the quarter.  
That rate compounded for 4 quarters would be over 57% for a comfortable meeting of the prediction.

The options have done even better.  On 9-29-2010 I purchased 200 DEC 27.5 CALs at $0.85 and another
100 CALs at $0.75 on 9-30-2010.  This gives a basis of 81.6 cents for the CALs.  At a current price of $1.85,
the options have realized a gain of over 226%.  

It appears at this point that Bob has won the debate.

Now, it seems, Bob has gone on to even more advanced techniques which should yield even greater profits.

Bob has purchased the JUN 2011 $26 CALs
He writes as follows:
    The account in which I had extra cash was an IRA account.
    I must avoid credit spreads in which my collateral option leg of a spread
    has a higher strike than the sold leg. For this reason I selected a strike
    of 26 for greater flexibility in later option sales. ==> 26,  27.50,  29, etc.
    I expected the underlying stock price to increase ... with a waiting dividend
    coming in two weeks.
    I wished to acquire a mid-length option at a reasonable price. There are
    now Jan '13 and Jan '12 options available. However, their volume is low
    as of now. The Jun '11 contracts had an established set of owners
    already in play. I could commit the cash for 20 calls at $2.25 price
    while retaining other cash for rollup needs of another spread leg in December.
    Q.: Wasn't that easy?

So far, Bob has purchased x00 DEC 27.5 CALs at $0.90? and sold them at $1.55 for a percentage profit of