Originally Posted by hotwired
Well I just mean that it is less likely that an index will move as much as an individual stock, hence the ETF rising so the call is ITM might be less likely, that's all.
Sure, I would rate that absolutely true (well, depending on the stock of course, but true in general).
However, like all the "known info", it does not help you one bit. The call premium you get will be lower to reflect that lower volatility. It's a wash.
edit/add: as more of an example, if you look at an equivalent premium on a more volatile stock, for the same value, that call will be much further out of the money on the stock, so the odds of the stock getting ITM is about equal to the index, on a dollar-dollar basis.