QQQ bull put spread: credit, risk, strikes

You are still selling downside — just not all of it. The long $658 put cuts the tail off below that level, which is why this needs $701 of buying power instead of the $66,700 a cash-secured put would tie up.

Above $667 at August 31, 2026, both puts expire worthless and you keep the full $199. Below $658, you lose the maximum $701. Breakeven is $665.01.

Return on risk is 28% for 30 days — 345% 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.

The risk is leverage, not the structure. $701 per spread is small; the temptation to sell ten of them because the buying power allows it is how a 69%-win-rate trade produces a losing year.

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 $66,700 of cash on Monday.

The structural problem with short premium is not the loss rate, it is the loss SIZE. A long run of small wins funded by an occasional large loss looks like skill on a monthly statement and like variance on a five-year one.

You are paid more than on SPY for a reason: the concentration. Selling QQQ premium through an October or a January earnings cluster is selling correlated single-name event risk in one ticket, and the diversification an index normally provides is exactly what is missing that fortnight. Check whose print lands inside your expiry before you take the credit.

QQQ's Aug 31 strikes are $3 apart near the money (0.44% of spot). Enough rungs to express a view, few enough that each one moves the economics visibly. 99k contracts of open interest on Aug 31 is deep enough that multi-leg orders fill near mid at retail size. 41 strikes on that expiry — 43% 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. Institutional depth at every strike; the only real cost is that the strike ladder is coarse relative to spot.

Skew is ordinary — the 25-delta put implies 3.1% more vol than the 25-delta call, about what an equity surface looks like when nothing unusual is being priced. Neither side of the chain is being singled out, which is the condition under which a symmetric structure like a condor is actually symmetric. 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 23% ATM implied vol, the Aug 31 options are pricing a one-standard-deviation move of $45.52 over 30 days — roughly −6.6% to +6.6%, or $642.47 to $733.51. Everything the bull put spread above collects is rent on that range. If QQQ routinely covers 6.6% in 30 days, the credit is fair compensation rather than edge.

The QQQ-specific failure mode: Treating QQQ as a diversified index in the two weeks when four of its top holdings report. It behaves like a basket of correlated singles.