Delta hedging a theta positive position?

Covered calls are nicely profitable in rising or neutral markets--assuming you are content with annualized profits in the 12% to 20% range, however their dark side is the bear market. Those premiums help a little bit if your underlying is plunging, but as Nassim Taleb says, options sellers: "Eat like chickens, and shit like elephants. " In a bear market your capital can be severely ravaged.

I have tried delta neutral strategies, but what I did not understand is that they are only helpful if you are betting on implied volatility moving one way or another. A "hold till expiration" call writer does not care about IV after they put their position in place, although it certainly impacts the premium they get. As the option approaches expiration, the IV collapses to zero and it only matters where the underlying is relative to the strike price--hopefully above.. For a hold until expire strategy the delta is effectively zero above the strike price and 1 below that.

It did seem possible that if you didn't care about delta, or IV, you might be able to hedge just for theta -- the time decay of the option. But the link below points out that you can't hedge gamma (the change in delta with then change in the underlying) with the underlying movement without hedging out theta too. I think this pretty much rules out any generalized delta neutral strategy.

http://www.optiontradingpedia.com/gamma_neutral_hedging.htm

The only possibility I see now, is hedging over a more limited range. If you write ITM calls, then your upside payoff is fixed when you create this position. This means that any attempt to delta hedge on the upside inherently lowers your payout. One thing to look at would be to write slightly out of the money calls. In this case, there would be some opportunity to give up that upside if the equity goes up, in exchange for some down side protection.

I think this is a long shot though. I think the better protection is to reduce my overall exposure to the market--in staying in cash as much as possible, and staying on the sidelines when the overall downside risk in the market seems much higher than the upside opportunity.

The brainless covered call strategies (e.g., BXM), don't do this at all, they just roll their options at expiration regardless of the situation.