I played around with options and Roths awhile back.
I split a traditional IRA into several Roths via conversions, then set up purchases of put and call options on some volatile stocks (I think at the time Netflix, Amazon, Apple and a few others). I recharacterized the losers and kept the huge gainers, thus paying minimal tax on the conversion and ending up with a big Roth. It had a lot of risk but I ended up with something like a $20,000 taxable conversion and a $45,000 Roth, but I lost about $1,000 in pre tax money overall.
I don't know if the above made a lot of sense now that I read it, but it was like this:
$60,000 traditional IRA, 0 basis
split into 6 Roth conversions, $10k each
two won, with wins of $25k and $20k
four lost, with total losses of $26,000 ($14,000 back into traditional after recharacterizing all four)
So I ended up with a Roth with $45k in it, $14k in a traditional, and $20k taxable conversion instead of $45k. At our 33% bracket, I saved a bit over $8,000 in taxes vs converting straight up $45k (but since I lost $1k of the original $60k, I guess I only "saved" about $7,000.)
Too messy IMO.