But how good is the 1-in-5 rule in practice? We tested it on 9,251 trading days of Cboe SPX and VIX data from January 1990 to October 2026. A model 30-day, 20 delta SPX put finished in the money only 10.6% of the time, about half what delta implied, while a 20 delta call finished in the money 13.1% of the time. The catch: when puts did go wrong, the losses were concentrated in crashes. Here is what the numbers show and how to use 20 delta sensibly.
What Does 20 Delta Mean in Options?
Delta measures how much an option's price is expected to change for a $1 move in the underlying. A 0.20 delta call gains about $0.20 per share (or $20 per contract) when the stock rises $1, all else equal. A -0.20 delta put gains about $0.20 per share when the stock falls $1.
Delta is also read as a rough probability of expiring in the money. That is an approximation, not a definition: the risk-neutral probability of finishing in the money is N(d2), which is slightly different from delta's N(d1), and both come from implied volatility, which usually prices in more movement than actually happens. For a refresher on the Greek itself, see what delta is and what a 50 delta option means.
How Far Out of the Money Is a 20 Delta Option?
The distance depends on implied volatility and time to expiration. Using the Black-Scholes formula with 30 days to expiration and implied volatility equal to the VIX level (a simplification, explained below), a 20 delta SPX strike sits roughly:
| VIX level | 20 delta put, below spot | 20 delta call, above spot |
Example: on November 2, 2026, the S&P 500 closed at 7,541.40 with the VIX at 21.15. Under the same model, a 30-day 20 delta put would sit near the 7,180 strike and a 20 delta call near 7,950. Real option chains will differ because of skew: out-of-the-money SPX puts usually trade at higher implied volatility than calls, so the actual 20 delta put can sit somewhat further from spot and the 20 delta call somewhat closer than this table shows.
The key idea is that 20 delta is a moving target in dollar terms. In a calm market it may be less than 3% away. After a volatility spike it may be more than 6% away, and the premium is larger too.
How Often Do 20 Delta Options Expire In the Money?
To test the "20% chance" rule, we took every trading day from January 2, 1990 through early October 2026, calculated a model 30-day 20 delta put and call strike from that day's SPX close and VIX close, and checked the SPX close 30 calendar days later (the next trading day if the market was closed). Both CSV files are published by Cboe (SPX history, VIX history).
Three things stand out:
The results were similar in the more recent period: from 2010 onward (4,213 start dates), the 20 delta put finished in the money 10.2% of the time and the call 13.9%.
Does 20 Delta Mean Your Strike Won't Be Touched?
No. Finishing in the money and getting touched along the way are different events. In our data, SPX closed below the 20 delta put strike at least once before expiration on 20.7% of start dates, about twice as often as it finished there. Intraday touches would be more frequent still. If your plan is to roll or close a short put as soon as the strike is hit, expect to act on roughly one trade in five, not one in ten.
Why Do 20 Delta Puts Lose Big When They Lose?
The win rate hides the shape of the losses. When the 20 delta put finished in the money, SPX ended a median of 2.0% and an average of 3.1% below the strike, measured as a share of the starting index level. The worst case in the sample was a close 30.1% below the strike during the 2008 crisis.
Bad outcomes also clustered by year. The share of 20 delta puts that expired in the money exceeded 25% in 2001, 2002, 2008 and 2022, while in 2017 none did. That is why a strategy with a roughly 90% historical win rate can still have its worst year wipe out several good ones, and why position sizing matters more than the delta you pick. See options probability of profit and expected value.
The VIX level at entry changed the picture less than many traders expect:
| VIX at entry | Start dates | 20 delta put ITM |
When VIX was above 30, the strike was on average 8.2% below spot, so fewer puts were breached, but those periods also included the deepest losses.
Which Strategies Use 20 Delta Strikes?
Is 20 Delta Better Than 16 or 30 Delta?
There is no universally best delta, only trade-offs:
| Choice | What you gain | What you give up |
Many sellers choose by account goal: if you are happy to buy the shares (the wheel), 25 to 30 delta puts may suit you. If assignment would strain the account, 16 to 20 delta with smaller size is more conservative. Either way, size each position so a crash-style loss is survivable.
What Are the Limits of This Backtest?
How Do You Find 20 Delta Strikes?
The OptionsPilot iOS app screens cash-secured puts and covered calls by delta and shows premium, return on capital and implied volatility for each strike, and the free backtester lets you compare 16, 20 and 30 delta rules on historical data before you trade them.
Sources
The SPX/VIX backtest, strike distances and percentages above were calculated by the OptionsPilot Editorial Team from Cboe's published daily CSV files (start dates January 2, 1990 to October 2, 2026, Black-Scholes deltas, 30-day horizon, zero interest rate, VIX used as implied volatility). OptionsPilot is not affiliated with Cboe or any exchange named here.
By the OptionsPilot Editorial Team. Published November 3, 2026. This article is for education only and is not financial, tax, or legal advice. Options involve risk and are not suitable for all investors.
