Cash-secured put calculator — premium yield and return on capital

Compute premium yield (denominator: cash collateral), annualized return on cash at risk (comparison metric, not a projected annual return), the effective cost basis if assigned, breakeven, and a market-implied finish-ITM proxy. Built for theta-gang and wheel-strategy traders.

Delta is not the same as actual assignment probability — it’s an option-price sensitivity that’s a rough proxy for risk-neutral finish-ITM probability. Real-world assignment additionally depends on the price path (early breach), remaining extrinsic value, dividends, borrow conditions, and holder exercise decisions. See Assignment probability for the full explanation.

Trade Inputs

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Delayed close-anchor from Polygon.io Options Starter. Not real-time. After-hours moves not reflected. If your broker shows a different current price, that is expected. Why we’re delayed →

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Pick an expiration first
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Auto-fills from chain; override to model your own price
For assignment-risk model

Results

Cash at risk
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Strike × shares
Premium income
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Premium yield
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— annualized ROC
Effective cost basis
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— vs current
Breakeven
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If assigned
Days to expiry
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Payoff Diagram

How does a cash-secured put work?

Cash-secured put methodology, formulas, and worked examples

Formula

Cycle yield = premium ÷ (strike × 100). Annualized screen yield = cycle yield × (365 ÷ DTE). Effective cost basis if assigned = strike − premium.

Conservative example

SPY at $580, 30-day $560 cash-secured put (OTM by 3.5%), mid premium $2.10. Capital at risk $56,000. Cycle yield = 0.38%. Annualized = 4.6%. Delta −0.15. Effective basis if assigned: $557.90 per share.

Aggressive example

NVDA at $400, 14-day $390 cash-secured put (just OTM), mid premium $4.80. Cycle yield = 1.23%. Annualized = 32.1%. Delta −0.32. Effective basis: $385.20 per share.

Losing outcome

NVDA at $400, 30-day $390 CSP for $4.80. NVDA drops to $350 by expiration. The put is exercised; you buy 100 shares at $390 = $39,000 capital deployed. Your unrealized loss on the underlying is ($385.20 − $350) × 100 = -$3,520. The premium offset $480 of the loss; the rest is real position risk.

Inputs, commissions, and not modeled

Inputs: ticker, strike (must be ≤ spot for OTM mode), expiration/DTE, mid premium, cash collateral (strike × 100). Default commission: $0.65 per contract per leg. Default slippage: 25% of bid-ask spread. Not modeled: tax treatment if assigned, interest on collateral cash, deep-ITM early assignment, IV crush around earnings.

Related metric definitions

For the full mathematical methodology, see methodology. Educational only — not investment advice. See the disclaimer.