Cash-Secured Put ScreenerSell puts where the premium is rich, not just high.
A put usually pays a lot because the stock is about to do something: report earnings, hear from a regulator, settle a lawsuit. This screener separates premium that is rich against the stock's own history from premium that is only pricing a known event. It picks the strike, sizes the position, and argues against the trades it would not take.
What the screener does, in order
- Starts from a universe. By default, the largest companies on NYSE and Nasdaq by market cap, one listing per issuer, with preferred stock, warrants, rights and units removed. You can type your own list instead. Anything not listed on NYSE or Nasdaq is set aside before a single quote is fetched, with the reason shown.
- Picks one put per name and tenor by delta, not by distance from the stock price. The default target is a delta of −0.30 at roughly 30 and 90 days, preferring standard monthly expiries. A delta target means about the same probability on a quiet utility and a volatile chip stock. "Five percent out of the money" means very different odds on each.
- Rejects contracts you could not trade. By default, open interest below 250 or a bid-ask spread wider than 12% of the midpoint, a premium under $0.20 a share, and stocks under $5. These are checked on the specific contract, not the whole chain. A chain can be liquid overall and untradeable at the one strike that matters.
- Measures whether the premium is rich. It compares implied volatility at the trade's tenor with realized volatility over the last 30 sessions, and the put's estimated fill with its fair value priced at realized volatility.
- Scores, ranks and sizes what survives against the capital you set.
How a put gets its score
Each name is ranked against the others in the same run, on three measures:
| Weight | Measure | What it asks |
|---|---|---|
| 55% | Variance risk premium | Is this option priced above how much the stock has actually been moving? At-the-money implied volatility at the trade's tenor, against realized volatility over the last 30 sessions. |
| 25% | Annualized yield | The credit as a return on the capital the position ties up, scaled to a year. |
| 20% | Liquidity | Open interest and bid-ask spread at the chosen contract, weighted equally. |
The scores are percentiles within the run. They compare names with each other, not with an absolute standard: a 70 means better than most names screened alongside it, on a day when all of them might be poor.
Then comes the event penalty. When the expiry you would sell carries higher implied volatility than a later one, known as an inverted term structure, the market is pricing something dated inside the nearer expiry. The penalty grows with how steep the inversion is, up to 40 points, and an expiry priced more than 20% above the later one is flagged as event risk. The screener also reads each company's next earnings date: a report that falls before the expiry makes the trade Caution, because the premium is then pricing the report rather than a volatility premium.
The verdict on every put
Every suggestion carries one of four verdicts, with the reasons written out:
- Candidate. It clears the bar: rich against realized volatility and worth the capital.
- Marginal. Nothing wrong with it, and nothing compelling either.
- Caution. An earnings report falls before expiry, or a dated event is priced into it. In the risk-adjusted mode, this also covers a better than 5% chance of losing more than twice the credit.
- Avoid. Implied volatility is below realized, so the seller is underpaid for the movement; or the expected value after costs is negative; or one contract needs more capital than your limit. These stay on the list with the reason rather than quietly disappearing, because a name that vanishes teaches you nothing.
Sized against your capital, never rounded up
A cash-secured put ties up the strike times 100, less the premium you collect. The screener counts exactly that, the breakeven times 100, and works out how many contracts fit inside the maximum you set (default $20,000) — but no one name may take more than a quarter of it by default, because a screen's best ideas tend to be the same kind of stock and would otherwise be one bet at several times the size. It rounds down, never up, so a suggestion never asks for more cash than you said you have. A stock whose single contract already exceeds the limit is still shown at one contract, marked Avoid with the figure, so you can see what it would take.
Two ways to score a put
There are two scoring modes, and you can switch between them at any time.
- Premium prices at the midpoint and takes the odds of keeping the credit as one minus the absolute delta. It is the model most premium sellers already reason in, and it ranks on the dollars of premium you can expect to keep. It overstates those odds at higher volatility and longer tenors.
- Risk-adjusted assumes you fill a quarter of the spread worse than the midpoint, and a third worse where the spread is wider than 8% of it. It then works out the payoff across the stock's own historical returns, resampling trading days. It counts the loss leg, so its expected value can be negative, and it reports the chance of assignment, the chance of losing more than twice the credit, and the average loss in the worst 5% of outcomes. It ranks on expected value per unit of capital.
Where the data comes from
By default the screener reads CBOE's delayed option chains and Nasdaq's daily price history, so no brokerage account is needed. Because the chains are delayed, every credit it shows is indicative: a starting point for a live quote, not a fill. Every suggestion says when its quotes were fetched, and anything older than an hour is marked stale. You can connect your own Interactive Brokers account instead, through IBKR's own sign-in screen. That connection is read-only, and nothing in the product can place, change or cancel an order.
What it cannot tell you. Realized volatility and the resampled returns describe how a stock has moved, not how it will. The event check depends on the market already pricing the event, so a genuine surprise is exactly what it cannot see. And when premium is broadly cheap, which is a normal state of the market, the screen correctly returns very few names.
Questions
What is a cash-secured put?
Selling a put option while holding enough cash to buy the shares at the strike if you are assigned. You keep the premium either way. If the stock is below the strike at expiry you buy 100 shares per contract at the strike, which works out the same as buying at the breakeven: the strike less the premium.
Why choose strikes by delta instead of a percentage out of the money?
Delta scales with volatility. A put 5% below the price of a quiet stock is far less likely to be assigned than one 5% below a volatile stock. The same delta means roughly the same probability on both.
Does the screener use IV rank?
Not in the score. IV rank needs a history of implied volatility, and a live snapshot does not carry one. That weight goes to implied against realized volatility instead, which asks a more direct question: are options on this stock priced above how much it actually moves?
Does it know when earnings are?
Not from a calendar. It reads the implied volatility term structure: when the expiry you would sell is priced well above a later one, something dated sits inside it, and the put is penalized and flagged. That catches scheduled events the market is already pricing, and misses genuine surprises.
Can it place trades for me?
No. It is read-only by design: it screens and suggests. Even with a brokerage account connected, nothing in the product can place, change or cancel an order.
Is the data real-time?
Not by default. CBOE's chains are delayed, so treat every credit as indicative and check a live quote before you trade. Connecting your own Interactive Brokers account uses whatever market data that account is entitled to.
Screen today's chains for cash-secured puts.
Sign in with Google, Facebook, LinkedIn or X. 30-day free trial, no card required. It never places, changes or cancels an order.
Open the screener