I've traded collars before, but found that "affordable" downside protection is often so far out of the money that the profits from multiple months of call premiums gets wiped out by one bad month, especially if your underlying drops but doesn't exceed your puts. I'm referring to more of a neutral strategy that funds long, far OTM positions that represent rare events.
One sneaky way to avoid the dividend penalty and still collect the dividend would be to collar your SPY by selling a call on SPY but buying a put on the S&P500 index. SPY just happens to be about 1/10th of the S&P500 so the math is easy if you have 1000 shares of SPY. Just sell 10 SPY calls and buy 1 S&P put and you are collared. For example, Yahoo Finance lists the last price for a 3000 strike S&P500 put at $282, and a 300 strike SPY put at $28.71.
That would be a clever way to avoid the "dividend penalty", but the market makers appear to be way ahead of you. I pulled up the SPY and S&P 500 options chains just now and a Dec 18 '20 call is 16.75/16.84 (bid/ask) for SPY and 168.70/169.00 for the S&P 500, so it looks like the actual S&P call would pay a bit
more than 10x SPY calls, even with a discount for future dividends included.
I was referring less to the put call parity and more to the practical idea that if you are selling call options for income, a tight collar is a nice hedge but gives you very little premium on the call side once you pay for the put. Thus defeating the purpose of generating income.
I was buying puts as a type of "insurance" in case of a gap down in stock price. As such, the puts I was buying were typically a few strikes below ATM, where I was selling the call. So if the underlying gapped down I would be protected from catastrophe, but the loss on stock would end up eating away lots of call premiums.