Selling cash-secured puts on KO

Selling a put transfers the downside between $85 and zero to you, and you are paid $0.94 per share for taking it. "Cash-secured" simply means you hold the $8,500 required to buy the shares instead of leaning on margin. Same position, honest denominator.

At August 28, 2026: above $85 the put expires worthless and you keep $94 — that is the maximum this trade can make, $94. Below it you're assigned 100 shares at $85, with an effective cost basis of $84.06 once the credit is applied. That is 4.0% below where KO trades today.

The engine puts the probability of keeping the full credit at 77% on KO at $87.59 with 21% 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.

Max loss is $8,406 — the strike, less the credit, times 100, if KO goes to zero. That number is not theoretical on single names; it is simply unlikely. Size the position against that figure, not against the premium.

The real-world failure mode is a gap, and KO has the catalysts for one: quarterly earnings and, more importantly for options, the ex-dividend date. A put sold 3.0% out of the money offers no protection at all against a move twice that size overnight.

Liquidity is a risk, not a convenience. The moment you most want out of a short-premium position is the moment the spread is widest, and the exit price you modelled at mid will not be available.

Nobody buys Coca-Cola for the option premium, and that is the correct way to think about writing calls on it. The credits are small in absolute dollars and small as a percentage of spot; what they do is add a point or two to the total return of a position held for the dividend and the stability. Judge the overlay against the dividend it might cost you, not against the yields on a high-volatility name.

KO's Aug 28 strikes are $1 apart near the money (1.14% of spot). Enough rungs to express a view, few enough that each one moves the economics visibly. 5.5k contracts of open interest on Aug 28 is thin, and a structure that needs four separate fills will pay for it. 21 strikes on that expiry — 40% 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. Reasonable at the near strikes; the wings are quiet enough that a four-leg structure is not worth the slippage.

The surface is close to flat: only 0.5% between the 25-delta put and the 25-delta call. A flat skew means the usual put-side pickup is not there, so the case for selling downside rather than upside on this name is weaker than the habit suggests. 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 21% ATM implied vol, the Aug 28 options are pricing a one-standard-deviation move of $5.08 over 27 days — roughly −5.8% to +5.8%, or $82.51 to $92.67. Everything the cash-secured put above collects is rent on that range. If KO routinely covers 5.8% in 27 days, the credit is fair compensation rather than edge.

The specific way people lose money on KO: Chasing yield by moving the short call closer to the money on a name whose whole appeal is that you keep the shares.