Naked put screener

Supported filters

Return on margin (%)

Premium divided by the Reg-T margin requirement, per trade. The naked put default scan sets a 3% floor, which removes puts that tie up margin for very little income.

Annualized return (%)

For this strategy, return on margin scaled by 365 over days to expiration. Because the basis is margin, a 10% floor here is far looser than a 10% floor on a cash-secured scan; compare naked puts only with other naked puts.

Return on risk (%)

Return on margin per trade for this strategy, the same number as the return on margin filter. A 0.5% floor, which the High-Probability Naked Puts preset uses, only screens out very small premiums.

Prob. of expiring worthless (%)

Model-estimated odds the put expires out of the money. Margin sellers usually run more positions at once, so an 80% floor is the common starting point.

Distance OTM (%)

How far the strike sits below the stock as a positive percent. It also drives the margin: every dollar out of the money is subtracted from the 20% term until the 10%-of-strike minimum takes over.

Max loss ($)

Strike minus premium, times 100: the cash you would need if assigned. A maximum here caps assignment size per contract, which is the number to size a margin account by.

Delta (anchor leg)

Absolute delta of the short put. The naked put scan only builds out-of-the-money puts, and 0.10 to 0.25 is where most margin sellers place strikes.

Breakeven distance (ATRs) (x)

Distance from the stock to the breakeven, divided by the stock's daily average true range. Three or more ATRs of cushion means a few bad days alone should not put the put under water.

IV rank

IV rank of 30 or more means puts are paying more than their one-year norm. It also means margin sellers are being paid to take on a stock the market expects to move.

Earnings

Exclude earnings before expiration. An earnings gap is how a high-probability short put turns into an assignment and a margin call in the same morning.

Ex-dividend date

An ex-dividend date lowers the stock price by roughly the dividend. Excluding ex-dates before expiration keeps that drop out of the window.

Market cap ($)

Company size floor. With leverage, the worst outcome is a small company gapping lower across many open puts; a $10B floor is the usual guard.

Exclude ETFs

Drop funds to keep results on individual companies, or leave them in when you want index puts, which some brokers margin differently.

Total option volume

Total option volume across the chain. You may need to buy the put back in a fast market, which is when a thin chain costs the most.

Bid-ask spread ($) ($)

Maximum bid-ask spread on the put in dollars. A $0.50 cap keeps the quoted premium close to what you can collect.

Screening walkthrough

1. 1. Start from the High-Probability Naked Puts preset

   It screens out-of-the-money puts with at least 80% odds of expiring worthless, 1% to 26% out of the money, 15 to 120 days out, IV rank of 30 or more, on $10B+ companies with no earnings or ex-dividend date before expiration and no funds. It prices at the bid and sorts by market cap so the largest companies come first. It is a quality gate, not a premium maximizer.

2. 2. Judge returns on margin, and only against other naked puts

   A naked put showing 10% for the trade and a cash-secured put showing 1.3% can be the same option. Keep the comparison inside this strategy. When you raise a return floor, raise return on margin or annualized return rather than loosening probability; loosening probability mostly buys return by moving the strike closer to the stock.

3. 3. Size by assignment, not by margin

   Add the max loss column. That is what you pay if every put is assigned and the stock goes to zero, and more practically what you would need to take delivery in a broad sell-off. A max loss cap, for example $15,000 per contract, keeps expensive stocks from dominating a margin account where the margin looks small.

4. 4. Give the strike room in ATRs

   Distance out of the money in percent does not account for how much each stock moves. Add a breakeven distance of three daily ATRs or more so the cushion scales with the stock's own range, then check the percent column for a sanity read.

5. 5. Save it and run it again next cycle

   Save the scan once the list is a few dozen names you would accept assignment on. Margin sellers tend to hold many small positions, so a consistent scan matters more than finding the single richest put.

Limitations and risks

• The margin figure is the Reg-T formula at today's price. Your broker's house requirement may be higher, and it is recalculated daily, so the return on margin you see is the entry figure, not a fixed yield.
• Leverage is the risk. A falling stock raises both your loss and your margin requirement at the same time, which can force you to add cash or close positions before expiration.
• Selling puts without the cash to cover assignment requires a margin account and your broker's approval for uncovered options.
• Probability of expiring worthless is a model estimate from option prices. It does not account for an earnings report unless you exclude earnings, and it is not a guarantee.
• Quotes are refreshed intraday and are a snapshot, not a live feed. Conservative pricing (sell at the bid) is the more realistic figure.
• This is a screening tool. It does not know your account's buying power or existing positions, and it does not place orders.

Frequently asked questions

Is a naked put screener the same as a short put screener?

Yes. A naked put is a short put that is not fully secured by cash; the broker holds margin instead. This page screens those puts and scores them on the margin basis. If you set aside the full strike in cash, use the cash-secured put screener, which scores the same options on strike minus premium.

How does the screener calculate margin on a naked put?

With the standard Reg-T formula for one short option: the greater of 20% of the stock price minus the out-of-the-money amount, or 10% of the strike, plus the premium received, times 100. The premium is the mid, or the bid under conservative pricing.

Why are naked put returns so much higher than cash-secured put returns?

The denominator. The same premium divided by a margin requirement of roughly a fifth of the strike value is a much larger percentage than the same premium divided by strike minus premium. The worst-case dollar loss is identical.

Does the screener show out-of-the-money puts only?

Yes. The naked put strategy builds out-of-the-money puts only, since the margin basis is meant for premium selling below the stock. Use the distance out of the money filter to set how far below.

Which filter should I use for return: return on risk or return on margin?

For naked puts they are the same number. Annualized return is return on margin scaled to a year. Use whichever reads more naturally in your saved scan.

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