Thetify

Cash-secured put calculator

A cash-secured put is a short put backed by enough cash to buy 100 shares at the strike if you are assigned. You collect the premium when you open it. If the stock finishes above the strike at expiration, the put expires and the premium is the whole result. If it finishes below, you buy the shares at the strike, and your cost per share is the strike minus the premium: the breakeven.

Sell one cash-secured put: you collect the premium and agree to buy 100 shares at the strike.

Prices use Black-Scholes at your IV. Probabilities and the expected value use a lognormal model at your HV. Per share; no dividends, fees or early assignment.

Solving IV from a premium you saw, the model-versus-history fat-tail chart and three seller decision tools are in the Thetify app.

Coming soon to iPhone and Android. The app is in final testing.

Type a stock price, a strike, the days to expiration, an implied volatility for pricing and a historical volatility for the probabilities. The calculator prices the put with Black-Scholes and shows the premium, the breakeven, the chance of finishing above the breakeven, the chance the stock touches the strike before expiration, and the expected value under a lognormal model. The capital the position ties up is the strike × 100. Nothing here is a forecast: change one input and watch which readings move.

Two volatilities, on purpose: implied volatility sets the price you collect, and historical volatility reflects how far the stock has actually been moving. When IV sits above HV, the premium is priced for a wider range of movement than the stock has recently shown; the probability and expected-value readings let you see what that gap does under the model. The course gives that gap a lesson of its own, and another to what happens to a short put when the stock falls through the strike.

Terms used here

  • Cash-secured put: A short put backed by enough cash set aside to buy the shares at the strike if assigned.
  • Short put: The seller’s side of a put contract: an obligation to buy 100 shares at the strike if exercised.
  • Premium: The price of the option, paid by the buyer to the seller when the contract is opened.
  • Breakeven: The stock price at expiration where the position comes out flat: strike minus premium for a short put.
  • Capital in use: The cash the position ties up: strike × 100 for a cash-secured put, max loss × 100 for a defined-risk spread.
  • Assignment: The event where the option holder exercises and the seller must buy (put) or deliver (call) the shares.
  • Probability of profit (POP): The modelled chance the position is above water at expiration, under the scenario’s own assumptions.

Where the course teaches it

All three strategies on one page: the options calculator · How the numbers are made