Cash secured put strategy

Checked October 2026

A cash-secured put sells someone the right to sell you shares at a set price, and you hold the cash to buy them. Backtoast ran Cboe's at-the-money version on the S&P 500. Cboe's version made 5.3% a year at +0.64% a trade, but failed our test on trade frequency, capacity and the buy-and-hold benchmark.

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You pay $99 for two full tests of your own strategy, and a pass is an offer of 30% of the profit Backtoast makes trading it with its own money.

Cash secured put strategy

The put is struck at the index, so you're agreeing to buy at about today's price, and the premium is what you're paid for taking the drop. A month that ends above the strike keeps the whole premium, and a month that ends below it loses like the shares would, less that premium.

Cboe's rule sells a one-month put on the third Friday at the strike closest to the index without going above it, holds it to expiry, and keeps enough cash to pay the full strike, so there's no leverage.

Selling a put at the index has close to the same payoff as a covered call strategy at that strike, and a put credit spread buys a further put so the loss stops.

When it works

Put-writing collects the volatility risk premium, the gap by which implied volatility on index puts has usually run above realized, so it does best in flat or slowly rising markets and loses in sharp sell-offs. Traders use it for income on cash they'd put into stocks anyway, because an assignment only buys what they meant to own. A lower strike, such as the 30-delta put, takes less premium and finishes in the money less often, and a draft can test that before you spend a full test.

Origins

Cboe publishes the rule as its PutWrite index, PUT. Its fact sheet has PUT at 9.7% a year from 1986 to 2019 with the lowest volatility on the sheet, against 10.4% for the S&P 500. Cboe keeps the cash in Treasury bills. The run used SPY from late 2021 to the end of 2025, and its cash earned nothing.

The run is Backtoast's, from 29 October 2026, after costs.