AMZN bull put spread: credit, risk, strikes

You are still selling downside — just not all of it. The long $230 put cuts the tail off below that level, which is why this needs $367 of buying power instead of the $23,500 a cash-secured put would tie up.

Above $235 at October 30, 2026, both puts expire worthless and you keep the full $133. Below $230, you lose the maximum $367. Breakeven is $233.67.

Return on risk is 36% for 33 days — 401% annualized. That headline is the reason people prefer spreads to cash-secured puts, and the reason spreads blow up accounts: the same capital supports several times the notional risk.

Between the strikes the loss scales linearly, so most of the damage happens fast when AMZN breaks $235. There is no assignment-and-hold escape hatch: the long put you own expires the same day.

Early assignment on the short leg leaves you long 100 shares plus a long put — a synthetic call, not a disaster, but a position you did not choose and one that requires $23,500 of cash on Monday.

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.

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 Oct 30 strikes are $5 apart near the money (2.00% of spot). Coarse enough that the strike you want frequently does not exist, and the nearest rung is a different trade. 146k contracts of open interest on Oct 30 is deep enough that multi-leg orders fill near mid at retail size. 29 strikes on that expiry — 100% 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.

The surface is close to flat: only 0.2% 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 backwardated — Oct 30 implies 2.0% MORE vol than the following month. That is the signature of a dated event inside the front month, and it is the strongest argument for picking the expiry that sits behind it.

At 40% ATM implied vol, the Oct 30 options are pricing a one-standard-deviation move of $30.04 over 33 days — roughly −12.0% to +12.0%, or $219.63 to $279.71. 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 12.0% is too much or too little for AMZN over 33 days — the delta table cannot answer that, and neither can we.

What actually goes wrong here, as opposed to in general: Buying the holiday-quarter straddle because the narrative is loud. That print's implied move is usually the year's largest and usually adequate.