Selling cash-secured puts on AMZN

Selling a put transfers the downside between $260 and zero to you, and you are paid $4.65 per share for taking it. "Cash-secured" simply means you hold the $26,000 required to buy the shares instead of leaning on margin. Same position, honest denominator.

At August 28, 2026: above $260 the put expires worthless and you keep $465 — that is the maximum this trade can make, $465. Below it you're assigned 100 shares at $260, with an effective cost basis of $255.35 once the credit is applied. That is 6.0% below where AMZN trades today.

The engine puts the probability of keeping the full credit at 76% on AMZN at $271.58 with 33% ATM implied vol on the Aug 28 expiry. High win rate, capped payoff, uncapped-to-zero loss — the risk profile of every short-premium trade. It is not free money; it is a rent cheque for underwriting someone else's insurance.

The real-world failure mode is a gap, and AMZN has the catalysts for one: earnings, AWS growth commentary, and holiday-quarter guidance. A put sold 4.3% out of the money offers no protection at all against a move twice that size overnight.

Assignment is not the loss — being assigned at $260 when AMZN is at $208 is. If you are running the wheel, that is the moment the plan is tested: you own shares at a basis of $255.35 and the market disagrees.

Early assignment is an operational risk rather than a market one: it arrives on a weekend, converts a defined structure into a stock position, and requires cash you may have allocated elsewhere.

The absence of a dividend removes the single most common reason an American short call gets exercised early, which makes Amazon materially easier to manage than a payer at the same delta — you can carry an ITM short call to expiry and reason about it purely on extrinsic value. That administrative edge is worth more to a systematic writer than a point or two of extra IV elsewhere.

AMZN's Aug 28 strikes are $5 apart near the money (1.84% of spot). That is a coarse ladder: one rung is a large fraction of the implied move, so precision on the short strike is an illusion. 16k contracts of open interest on Aug 28 is workable around the money and thin in the wings — width costs more here than the ladder suggests. 23 strikes on that expiry — 50% of the board — carry prints that agree with their own implied volatility and hold up across the ladder, and those are the strikes priced here. Deep at every strike; the far-dated back month a calendar needs is liquid enough to leg if you must.

Skew is inverted: the 25-delta CALL implies 1.3% more vol than the put. That is the market pricing upside risk above downside risk — a squeeze, a takeover rumour, or a crowded short. Selling calls into an inverted skew pays better than usual and is riskier than usual for exactly the same reason. The term structure is flat inside 1.5% between the two captured expiries, so there is no calendar edge to harvest and no event visibly priced into one month over the other.

At 33% ATM implied vol, the Aug 28 options are pricing a one-standard-deviation move of $24.05 over 27 days — roughly −8.9% to +8.9%, or $247.53 to $295.63. The structure above sells the part of that distribution the market thinks it will not reach. Whether that is a good trade is entirely a question of whether 8.9% is too much or too little for AMZN over 27 days — the delta table cannot answer that, and neither can we.

The specific way people lose money on AMZN: Buying the holiday-quarter straddle because the narrative is loud. That print's implied move is usually the year's largest and usually adequate.