Married put screener

Supported filters

Distance to breakeven (%)

The put's premium as a percent of the stock price. The Married Put Protection preset caps it at 5% and sorts ascending, so the cheapest protection comes first.

Distance OTM (%)

Distance from the stock down to the put strike; positive means the strike is below the stock. Think of it as the deductible: at 5% you absorb the first 5% of a decline before the put pays.

Max loss ($)

The worst case per 100 shares, including the premium. Cap it at a dollar figure to find hedges where the most you can lose through expiration fits your plan.

Days to expiration (days)

Days to expiration: how long the floor lasts. The preset uses 30 to 60 days. Longer protection costs more in total but usually less per day.

IV rank

Where implied volatility sits in its one-year range. Protection is cheapest when volatility is low, so the preset caps rank at 50; buying puts after a selloff usually means paying a high rank.

Delta (anchor leg)

Absolute delta of the put. A 0.30 to 0.40 put sits a little below the stock and offsets a meaningful share of a decline from the start; lower-delta puts are cheaper and protect only against larger drops.

Return at -1 ATR move (%)

Return on the position's max loss if the stock falls one expected move, daily ATR times the square root of days to expiration. A reading of -100% means an ordinary decline already reaches the floor.

Return at -2 ATR move (%)

The same on a two-expected-move decline. On a hedged position this is where the put does its work: it cannot fall below -100% of max loss.

Return at +1 ATR move (%)

Return on a one-expected-move rally. Compare it with the unhedged stock's move to see what the insurance costs you on the upside.

Earnings

Require an earnings report before expiration when the report is the risk you are hedging, or exclude one to keep the put's price free of the event premium.

Dividend yield (%)

The stock's dividend yield. You keep the dividends on the shares while the put is in place, which offsets part of the cost of protection.

Market cap ($)

Company size. Large companies have more strikes and expirations to choose from, which makes it easier to set the floor and duration you want.

Open interest

Open interest on the put. Hedges are often rolled or adjusted, which is easier at a strike with an existing market.

Bid-ask spread ($) ($)

The put's bid-ask spread in dollars. You pay it when you buy the protection and again if you sell the put before expiration.

Screening walkthrough

1. 1. Decide the floor and the window

   Start with the stretch you want to protect, such as the next 30 to 60 days, and how much decline you are willing to absorb before the put pays. A distance OTM of 3% to 8% is a common deductible; closer to 0 costs more and starts protecting sooner.

2. 2. Screen for the cost of protection

   Cap distance to breakeven at 5%, as the Married Put Protection preset does, and sort ascending. Because breakeven is the stock price plus the premium, this ranks the list by what the put costs as a share of the stock. Add a max loss cap if you want the worst case per 100 shares in dollars.

3. 3. Buy when volatility is low

   Add an IV rank maximum of 50. The same floor for the same number of days costs noticeably more after volatility has already risen. If you are hedging a known event such as earnings, require the report before expiration and accept that the premium includes it.

4. 4. Check the scenarios

   Add the return at plus and minus one ATR move columns. The down figure shows how much of the max loss an ordinary decline would use; the up figure shows what the premium costs you in a rally. Then check open interest and the bid-ask spread on the put before you rely on it.

5. 5. Scan only what you hold

   Add your holdings to the watchlist and set the scan universe to watchlist. The same filters then return protective puts only on the stocks you own, which is how most hedgers use this screen.

Limitations and risks

• The screener assumes 100 shares bought at the current price. It does not know your cost basis, and it does not check whether you own the shares; use the watchlist universe for that.
• The floor lasts only until expiration. Renewing protection repeatedly adds up, which is why the cost as a percent of the stock matters more than the dollar premium.
• Return on risk and annualized return are not defined for a married put, because the upside is unlimited. Use distance to breakeven, max loss, and the ATR scenario returns instead.
• The ATR scenario returns scale the stock's daily average true range by the square root of days to expiration and are measured against max loss, not against the value of the shares.
• Quotes are refreshed intraday and are a snapshot, not a live feed. Conservative pricing buys the put at the ask. The screener does not place orders, track your positions, or send alerts.

Frequently asked questions

Is a married put the same as a protective put?

Yes, in payoff. Traditionally a married put is bought at the same time as the shares and a protective put is added to shares you already hold. The screener treats both the same way, as 100 shares at the current price plus a put.

Which puts does the screener consider?

Puts from slightly in the money to moderately out of the money, roughly 0.20 to 0.50 delta. Filter by distance OTM and days to expiration to pick the floor and duration you want.

Why is distance to breakeven the main filter?

For a married put the breakeven is the stock price plus the premium, so distance to breakeven is the premium as a percent of the stock. It is the most direct way to compare the cost of protection across stocks of different prices.

Married put or collar?

A collar adds a short call to pay for part of the put, giving up upside above the call strike. The screener finds the put side; the covered call screener can find a call to sell against the same shares.

Which preset should I start with?

Married Put Protection: breakeven within 5% of the stock, IV rank of 50 or less, 30 to 60 days to expiration, and liquid chains, sorted with the cheapest protection first.

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