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. Once you're holding the coin from assignment, the options collar calculator shows what buying a matching protective put alongside your next covered call would cost.
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.
FAQ
What is a cash-secured put? You sell a put option and set aside enough cash to buy the coin at the strike if you get assigned. You keep the premium up front. If the price stays above the strike at expiry the put expires worthless and the premium is pure income on your idle cash. If it drops below the strike you are assigned — you buy the coin at the strike, but your effective cost is the strike minus the premium you collected. It is the put half of the options 'wheel', the mirror of a covered call.
How do I calculate the return on a cash-secured put? The static return is the premium divided by the cash you locked up, which is the strike price times the number of coins: return = premium / strike. Annualize it by scaling to a year: annualized = (premium / strike) x (365 / days to expiry). Selling a put for 1,800 on a 105,000 strike expiring in 30 days is a 1.71% static return, or about 20.9% annualized if you keep repeating it and are never assigned.
What is my breakeven and downside cushion? Your breakeven — the effective cost basis if assigned — is strike minus premium. The market has to fall past the strike and then keep falling past the premium you collected before you are actually underwater. The downside cushion is how far spot sits above that breakeven: (spot - breakeven) / spot. A put struck below spot with a fat premium can give a double-digit cushion, which is the appeal of selling puts in a range instead of buying spot outright.
How is assignment probability estimated? This tool estimates the chance the coin finishes below the strike at expiry using a lognormal model driven by your annualized volatility and days to expiry, with zero drift as a neutral assumption. It is the same probability-of-touch idea used to price options, so a further out-of-the-money strike or a lower volatility gives a lower assignment chance. It is a model estimate, not a guarantee — real crypto tails are fatter than lognormal, so treat a low number with respect.