I started off selling cash secured puts but in this low volatility market (VXX < 20), the premiums suck and I don't like getting assigned or having to buy them back at a loss.

I'm working on some strategies with a friend of mine that are rather complex but I think could provide a good return on investment with the low volatility.

I like the coal idea...I'll look into those this weekend.  Going to do some research on oil plays as well.