Assume Pfe was 15 and you bought a long 10 strike Leap for 5.20. Pfe goes up 30% to 19.50 and your Leap goes to 9.70. Now Pfe declines 30% to 13.65. Your Leaps goes to 3.85. So you've lost 26.0% (5.2-3.85/5.2) on the round trip of just that Leap while the stock only fell 9% (15 -13.65/15). This is a microcosm of what is going on with your leverage on 500 Leaps. The covered call premiums are somewhat eroded by the loss of the Leaps that they are put in. You have plenty of in the money puts that are going down a substantial % just like the Leaps, etc., etc.