Weekly puts lost where 30 to 45 day puts earned

The numbers

Over twelve expiry weeks of forward paper trading, puts sold 7 to 14 days from expiry averaged -0.34% on collateral across 235 unique contracts, with a 95% interval of -0.76% to +0.06% and a 66% win rate. Puts sold 30 to 45 days out averaged +0.97%, interval +0.15% to +1.58%.

An earlier cut of a larger book agreed: the 7 to 14 day bucket averaged -0.25% a trade on 241 trades, while the 30 to 60 day bucket averaged +1.2%. A rule set built specifically to sell 7-day puts in stressed markets read -0.82% on 27 trades.

Why shorter is not faster money

A short-dated put collects less premium for the same distance from the price, so its strike sits closer to the money for the same delta, and a single bad day takes a bigger share of its life. There is also less time for the position to recover from an early move, and less room to close at a profit before the risk window passes.

Short-dated options also put more of your trades through each gap event. Our same-day SPX study found the same mechanism at the extreme: daily recycling multiplies the number of gap days you are exposed to, not the edge. See the lesson on 0DTE.

Delta inside the 30 to 45 day window

Within the 30 to 45 day window, our forward paper data had a weak hint that lower deltas held up better: 12 to 18 delta contracts averaged +0.60% (interval +0.25% to +0.81%, 44 contracts) and under 12 delta +0.36% (50 contracts), against +0.42% at 25 delta (448 contracts, interval -0.29% to +0.93%). The samples are small and the intervals overlap, so it is a question being measured forward, not an answer.

What it changes in practice

If you sell puts for income, the evidence we have favors 30 to 45 days to expiry over weeklies, and it does not support speeding up the cycle to collect more often. If you do sell short-dated, size it as the higher-risk position it is, and compare its results against a 30 to 45 day version on the same weeks before concluding it works. The cash-secured puts guide covers the longer-dated version in more detail.