What delta to sell cash-secured puts at
Last updated: May 30, 2026 · Cash-Secured Puts series
Choosing a CSP strike is harder than choosing a covered-call strike, and not for the reason most beginners think. The math is the same: lower (more negative) delta means lower premium and lower assignment probability. The hard part is being honest with yourself about whether you actually want to own the stock at the price you're selling.
Premium yield is seductive. A 0.40 delta CSP on a volatile stock can show 30%+ annualized ROC, which looks irresistible. But if you don't actually want the shares at that strike, you're not selling a CSP — you're betting the stock won't drop. That's a different trade with a different (worse) risk profile.
Delta intuition for puts
Put deltas are negative numbers between −1 and 0. The convention is to drop the sign in conversation: a “30 delta put” means delta of −0.30.
- Delta tells you how much the put price changes when the stock moves $1 (in the opposite direction: stock up = put down).
- It also approximates the probability the put expires in-the-money. A 0.30 delta put has roughly a 30% chance of being assigned.
For CSP sellers, the second meaning is what matters most. Pick the assignment probability you can stomach, then look at what strike corresponds.
The three CSP profiles
Conservative — −0.10 to −0.20 delta
You really don't want assignment. Premium is small (often 0.5-1% of the cash secured per month) but the put has 80%+ probability of expiring worthless. Used when you have cash sitting in a money-market fund and want to add a small income kicker without much risk of being put into a position.
SPY at $400. You sell a 30-DTE $370 put (about −0.13 delta) for $1.50. Annualized ROC: ~4.9% on $37,000 of cash secured. About an 87% chance the put expires worthless.
Balanced — −0.20 to −0.30 delta
The sweet spot for most income programs. Premium is meaningful (1.5-2.5% of cash secured per month). Assignment probability is 20-30%. Used when you'd be happy to own the underlying at the strike but also fine to keep collecting premium without assignment.
AAPL at $190. You sell a 30-DTE $180 put (about −0.25 delta) for $2.40. Annualized ROC: ~16.2% on $18,000 of cash secured. Effective cost basis if assigned: $177.60, a 6.5% discount to current.
Aggressive — −0.35 to −0.45 delta
You actively want to own the shares at this strike. Premium is rich (3-5% per month on liquid large-caps, higher on high-vol names). Assignment probability is 35-45%. Used when you have a strong conviction on the underlying and want to enter at slightly below current price.
NVDA at $212. You sell a 30-DTE $200 put (about −0.40 delta) for $7.20. Annualized ROC: ~43.8% on $20,000 of cash secured. About a 40% chance of being assigned at $200, with effective cost of $192.80 — an 9% discount.
How to actually pick the delta
Two questions decide it:
1. Do you genuinely want the underlying at this price?
- No, I just want the premium and would prefer not to be assigned: −0.10 to −0.20 delta. Far OTM. Low premium, low probability.
- Yes, I'd be happy to own at this price: −0.25 to −0.35 delta. Standard wheel-entry setup.
- Yes, and I'm actively trying to enter the position: −0.35 to −0.45 delta. The strike is close enough to current price that assignment is likely.
2. What's your view on the underlying over the next 30 days?
- Bullish or neutral: any delta works. Bullish view means assignment likely won't happen.
- Slightly bearish: lower delta. Don't sell aggressive CSPs into expected weakness; the assignment will lock in losses.
- Strongly bearish: skip CSPs entirely. Premium won't compensate for a real decline.
My default: −0.25 to −0.30 delta on liquid large-caps I'd own anyway. About 70-75% of those trades end with the put expiring worthless and me re-deploying for another cycle. About 20-25% get assigned. About 5% I close defensively if the underlying breaks down.
The earnings adjustment
One regime change: avoid selling CSPs across earnings unless you've explicitly priced in the volatility risk. Earnings IV is high (you get rich premium) but a single bad print can blow through your strike fast.
If you must sell a CSP that spans an earnings date:
- Use a lower delta than usual (target −0.15 instead of −0.25). The higher IV gives you the premium you wanted at a less-aggressive strike.
- Size the position smaller. A bigger move than expected hurts more if you're heavily exposed.
- Be honest about the price. If a 20% earnings drop would put the shares far below where you actually want to own, don't sell the put.
FAQ
Is a higher delta CSP riskier?
Higher delta means higher assignment probability and higher premium. The 'risk' depends on how you feel about assignment. If you want the shares at the strike, higher delta is just faster entry. If you don't want the shares, higher delta means more frequent unwanted assignments.
Should I sell different deltas on different stocks?
Yes. Liquid low-vol names justify higher deltas because the underlying is unlikely to move dramatically. High-vol names require lower deltas to keep your effective cost basis well below current — protection against the inevitable down day.
What's the lowest delta worth selling?
Below about −0.10 delta, the premium gets so small that broker commissions and bid-ask spreads eat your return. For most income programs, −0.12 to −0.15 is the realistic floor.
Can I roll a CSP that's going against me?
Yes. Same mechanics as rolling a covered call: buy back the current short put, sell a new one at a lower strike or later expiration, ideally for a net credit. Defensive rolls work best when there's still meaningful time value to be captured.
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