Outcome at expiry
Your profit and loss across settlement prices. Above the strike you keep the full premium. Below it you are assigned — you own the coin at the strike, cushioned by the premium, and losses only start past your breakeven.
| Price at expiry | Outcome | Net P&L | Return on collateral |
|---|
Cash-secured puts vs just buying spot
The trade-off is simple. Buy spot and you have unlimited upside and full downside. Sell a cash-secured put and you cap your upside at the premium, but you get a discount entry (the strike) plus that premium as a cushion, and you earn a yield on cash while you wait. In a chop or a slow grind it beats sitting in stablecoins; in a rip higher you underperform holders because the put expires and you never got in. The natural pairing is the wheel: sell puts until assigned, then sell covered calls on the coins you now hold until called away, and repeat. The risk that ends wheels is the same one that ends every put-selling program — a gap far below your breakeven, where the premium cushion is a rounding error against the loss.
The math behind the yield, the cushion and the odds
The return that matters is on the cash you actually tie up. Securing the put means reserving strike × coins in cash, so the return is premium ÷ strike for the life of the trade, and the headline number annualizes it: (premium ÷ strike) × (365 ÷ days). That annualized figure assumes you keep re-selling and are never assigned — it is a best-case cadence, not a promise, and one assignment that gaps below breakeven can erase a year of it. Your breakeven, the price where the position turns from profit to loss, is strike − premium: the market has to fall through the strike and then through the premium before a cent of your capital is gone. The downside cushion is how much room that is from here, (spot − breakeven) ÷ spot.
The last piece is how likely assignment is. Treating the coin as lognormal with your annualized volatility σ over time T = days ÷ 365 and a neutral zero-drift assumption, the probability of finishing below the strike is Φ(z) with z = [ln(strike ÷ spot) + (σ²⁄2)·T] ÷ (σ·√T), where Φ is the standard normal CDF. A strike further below spot, less time, or lower volatility all push that probability down — and push the premium down with it, which is the whole tension of selling puts. The number here is a fair-weather estimate; crypto's real return distribution has fatter tails than lognormal, so a modelled 15% assignment chance is a floor, not a ceiling.