List of Short Puts with over 100% Annualized Yield

by Arrow222

Hey guys,

Greeks and new columns, like Annualized Yield on Collateral was added to FDscanner over the weekend.

With the new tools, it became much easier to search for the optimal short puts.

Here’s a scan for Jan 2021 with the following settings

  • Expiry: 15 Jan 2021
  • Option Type: Puts only
  • Delta: Under 0.3
  • Theta Annual %: Above 100%

Theta Annual % columns means the yield on collateral on cash secured puts. For calls, it’s yield on collateral on the share price * 100, since the collateral is 100 shares.

Here’s the first 20 options that passed the filters.

No. Ticker Type Strike Share Price Last Delta Theta Theta Annual % % OTM IV
1 CVM Put $7.5 $13.1 $0.9 -0.1352 -0.0424 206.35% 42.75% 277.92%
2 CVM Put $10 $13.1 $1.7 -0.236 -0.0526 191.99% 23.66% 238.77%
3 CURO Put $12.5 $16.51 $0.95 -0.1987 -0.0391 114.17% 24.29% 2%
4 CVM Put $5 $13.1 $0.42 -0.0639 -0.0283 206.59% 61.83% 326.37%
5 RIG Put $2 $2.48 $0.14 -0.2258 -0.0056 102.2% 19.35% 145.78%
6 FCEL Put $8 $9.45 $0.77 -0.2676 -0.0244 111.33% 15.34% 150.44%
7 QS Put $40 $79.75 $1.9 -0.0823 -0.1586 144.72% 49.84% 197.33%
8 RMG Put $17.5 $21.91 $1.85 -0.2316 -0.0532 110.96% 20.13% 2%
9 PIC Put $15 $18.4 $1.49 -0.2466 -0.0498 121.18% 18.48% 159.39%
10 IPOB Put $25 $29.49 $2.2 -0.2706 -0.0724 105.7% 15.23% 137.16%
11 QS Put $60 $79.75 $9.69 -0.2584 -0.3742 227.64% 24.76% 203.46%
12 HCAC Put $15 $20 $1.3 -0.2014 -0.0518 126.05% 25% 169.94%
13 QS Put $35 $79.75 $1.2 -0.0513 -0.1084 113.05% 56.11% 198.94%
14 BTU Put $1 $2.1 $0.1 -0.0825 -0.0043 156.95% 52.38% 262.37%
15 QS Put $45 $79.75 $3.15 -0.1191 -0.2084 169.04% 43.57% 193.85%
16 QS Put $55 $79.75 $7.05 -0.2114 -0.3254 215.95% 31.03% 201.01%
17 SOL Put $5 $8.21 $0.25 -0.1131 -0.0146 106.58% 39.1% 2%
18 QS Put $50 $79.75 $4.9 -0.1623 -0.2639 192.65% 37.3% 194.59%
19 RIOT Put $9 $10.38 $1.35 -0.2971 -0.0365 148.03% 13.29% 195.16%
20 RIOT Put $7 $10.38 $0.48 -0.1485 -0.0234 122.01% 32.56% 187.6%
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Image: imgur.com/a/x2Cq5pk

If these companies are too volatile, I suggest layering a company profitability requirement

  • Expiry: 15 Jan 2021
  • PE ratio: Above 0
  • Option Type: Puts only
  • Delta: Under 0.3
  • Theta Annual %: Above 30%

Here’s the top 20 that passed the list

No. Ticker Type Strike Share Price Last Delta Theta Theta Annual % Theta Daily % % OTM IV
1 HL Put $5.5 $6.1 $0.17 -0.2525 -0.0066 43.8% 0.12% 9.84% 64.98%
2 DQ Put $45 $56.98 $1 -0.1278 -0.0538 43.64% 0.12% 21.02% 87.75%
3 CLR Put $15 $16.81 $0.7 -0.2713 -0.0246 59.86% 0.164% 10.77% 85.98%
4 TRGP Put $22 $27 $0.4 -0.1195 -0.0195 32.35% 0.089% 18.52% 70.58%
5 TRGP Put $24 $27 $0.67 -0.2219 -0.0267 40.61% 0.111% 11.11% 64.78%
6 WFC Put $27.5 $29.81 $0.55 -0.2382 -0.0227 30.13% 0.083% 7.75% 47.28%
7 CURO Put $10 $16.51 $0.4 -0.0976 -0.0263 96% 0.263% 39.43% 2%
8 CURO Put $12.5 $16.51 $0.95 -0.1987 -0.0391 114.17% 0.313% 24.29% 2%
9 YETI Put $65 $72.36 $1.52 -0.2192 -0.0609 34.2% 0.094% 10.17% 56.56%
10 ET Put $6 $6.61 $0.11 -0.2169 -0.0052 31.63% 0.087% 9.23% 51.94%
11 CCS Put $40 $47.57 $0.6 -0.1432 -0.0373 34.04% 0.093% 15.91% 66.58%
12 VLO Put $50 $54.77 $1.18 -0.2413 -0.0478 34.89% 0.096% 8.71% 54.6%
13 NLS Put $15 $18.71 $0.49 -0.1637 -0.023 55.97% 0.153% 19.83% 97.08%
14 TSLA Put $500 $652.22 $8.39 -0.1039 -0.5417 39.54% 0.108% 23.34% 88.4%
15 CURO Put $5 $16.51 $0.1 -0.0219 -0.0121 88.33% 0.242% 69.72% 2%
16 GE Put $10 $10.58 $0.26 -0.2951 -0.0086 31.39% 0.086% 5.48% 45.14%
17 PSX Put $62.5 $66.88 $1.7 -0.2809 -0.0572 33.4% 0.092% 6.55% 49.46%
18 UFS Put $30 $32.19 $0.7 -0.2795 -0.0286 34.8% 0.095% 6.8% 51.57%
19 WES Put $13 $14.36 $0.4 -0.2542 -0.0158 44.36% 0.122% 9.47% 66.09%
20 ENPH Put $135 $164.62 $3 -0.1503 -0.156 42.18% 0.116% 17.99% 2%
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Disclaimer: This information is only for educational purposes. Do not make any investment decisions based on the information in this article. Do you own due diligence or consult your financial professional before making any investment decision.

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