These are taxed as short or long term gains/ losses depending on the holding period. The holding period will vary depending on whether you are buying or writing and whether they are opening or closing transactions.
See pages 56 - 58 - http://www.irs.gov/pub/irs-pdf/p550.pdf
Enrolled Agent
EA, QPA, CHFC, CEBS, CLU - 29 years experience providing financial advice