Options Screener: How to Screen for Covered Calls and Cash-Secured Puts

What an options screener does, and what it cannot do

An options screener takes the full listed universe of contracts and returns the ones matching filters you set. For income strategies the filters are usually premium as a percentage of the underlying, a delta band, days to expiration, open interest, and bid-ask width. The output is a ranked candidate list.

What it cannot do is tell you whether the trade is good. Every filter is a constraint you chose, so the screener only reflects your own assumptions back at you in sorted order. The judgment is in choosing the filters, and that is what the rest of this page is about.

Filter one: liquidity, before anything else

Sort by premium yield without a liquidity floor and the top of the list is quietly a list of contracts you cannot trade well. Three numbers matter:

• Open interest — how many contracts are outstanding. Thin open interest means fewer counterparties and a wider quote.
• Bid-ask spread as a percentage of the mid — the round-trip cost you pay to enter and exit. A $0.30 spread on a $1.50 mid is 20% of the premium gone before the stock moves.
• Volume — today's trading, which tells you whether the quote is being refreshed or is stale.

A practical floor for equity options is open interest of at least a few hundred contracts and a spread under roughly 5% to 10% of the mid, tightened for larger position sizes. These are rules of thumb, not a regulator's standard.

Filter two: delta, not strike distance

Delta does double duty in a screen. It approximates the probability the option finishes in the money, and it tells you how much the option price moves per $1 move in the stock. Screening by delta keeps both consistent across stocks with very different volatility.

For a covered call, a 30-delta call is roughly a 70% chance the option expires worthless or is bought back for less than it was sold for, with the trade-off that the stock only has to rise about 30% of the way to the strike's implied move before you give up upside. For a cash-secured put, the same 30 delta means roughly a 30% chance of being assigned the shares.

Filter three: IV rank, against that stock's own history

Implied volatility on its own is not comparable between stocks. A 30% IV is high for a utility and low for a small-cap biotech. IV rank rescales today's IV into the range that stock has traded over the past year, so 80 means implied volatility is near the top of its own range and 20 means near the bottom.

Selling premium is generally more attractive at a high IV rank: you are being paid above that stock's normal rate for the same risk, and volatility tends to mean-revert. The caveat is that high IV rank often exists for a reason, such as an upcoming earnings date or a binary event, and a screen that ignores the calendar will happily put you short volatility into an announcement.

Filter four: premium yield measured against the implied move

A headline yield with no reference point is meaningless. The better comparison is the premium against the move the options market itself expects over that expiration, which you can read off the at-the-money straddle price. If a 30-day call pays $1.60 on a $50 stock, that is 3.2% of the share price; if the 30-day straddle is $3.40, the market is pricing roughly a 6.8% move either way, and the premium is a modest share of the risk being transferred.

Annualizing a 30-day yield by multiplying by 12 overstates what you will actually earn, because it assumes you repeat the trade at the same premium every month for a year. Read it as a rate on one trade, not a forecast.

Filter five: the calendar

Two dates do most of the damage to a screen that ignores them. Earnings drops implied volatility after the announcement, so a call sold just before earnings often loses value faster than expected in your favour but carries assignment risk on a gap. Ex-dividenddates create early-assignment risk on in-the-money calls when the dividend exceeds the remaining time value.

A screen that runs without an earnings filter will surface exactly the high-IV-rank names you should be most careful with. See the earnings calendar before acting on any result.

CSP screens: the same filters, sign flipped

A cash-secured put screen asks for a strike low enough that the collateral is acceptable, a delta low enough that assignment is unlikely, and a premium high enough that the return on that collateral beats simply holding cash. The payoff is the same shape as a covered call entered from the cash side — which is why the wheel strategy alternates the two.

The passive benchmark is the Cboe PUT Index (PUT), which tracks a systematic monthly at-the-money cash-secured put program on the S&P 500. Comparing a manual screen against that index is a useful reality check on whether the premium you are collecting is worth the effort.

Why two screeners disagree

The same stock can rank completely differently in two tools, and it is almost always data, not math. Delayed quotes, stale overnight open interest, different expiration sets (weeklies included or not), and different universes (all optionable stocks versus a curated list) all move a result.

Treat any screen as a candidate list, then verify the specific contract on a live chain before you size a position. The number that matters is the one you can actually trade at, not the one on the screen.

What OptionsPilot's screener does

OptionsPilot's covered call strike finder and cash-secured put screener are part of the paid Pro plan and run against live chains. They rank candidates on premium yield, delta, implied volatility and liquidity, which are the filters described above. This page exists so you can judge that tool, or any other, on the same criteria rather than on its marketing.

The free tools here do a different job: the covered call calculator and cash-secured put calculator price a specific trade you have already chosen, the backtester shows how a rule set would have performed historically, and the options simulator charts a position across expiration prices.

Sources

• Options Industry Council — Covered Call (Buy/Write): strike selection, breakeven and assignment.
• Options Industry Council — Cash-Secured Put: payoff and the identity with the covered call.
• Cboe — Strategy-based Margin: margin treatment of covered positions.
• Cboe — Volatility Index: how implied volatility is derived from option prices.
• Options Industry Council — Options Exercise FAQ: American-style exercise and early assignment.
• FINRA Rule 4210 — Margin Requirements: short option margin and covered treatment.

Written by the OptionsPilot Editorial Team. Educational information only, not financial or tax advice. Screen criteria described here are rules of thumb, not recommendations.

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