Having served in the military, I am quite sure that our Pentagon has multiple strategies developed to deal with the Islamic State terrorists in Iraq and Syria. But, I am also quite sure that many of those options include varying levels of "boots on the ground". Of course, having "boots on the ground" is politically anathema to this, our forever anti-war President. Therefore, Obama wasn't lying when he said that we have "no strategy" for dealing with the Islamic State. In his mind there is no strategy that is yet acceptable.
Obama's no 'strategy yet' comment on ISIS in Syria sparks a political uproar: http://www.cnn.com/2014/08/29/politics/obama-isis-strategy/index.html