Delta and Strike Selection for SPY Put Spreads

Strike selection is the decision that sets your risk. Delta is the usual shortcut, and it is useful as long as you remember what it measures. This article explains it and then shows where the strikes in our own signals sat.

How to read the FIREDesk numbers in this article. They come from our paper-trading record (14 May to 9 Oct 2026): no real capital was used, option prices are estimated by a model rather than taken from real fills, and 13 of the 102 logged signals use credits calibrated from historical data. The model has no sudden jumps in volatility, so real fills and real stops would be less favourable. On 12 October 2026 we also fixed a calculation error that had recorded stop-losses the market prices did not justify; the figures here are the corrected ones. It is a short, early record and it is not a forecast. Full detail is on the performance page.

What delta tells you

The delta of a put is, roughly, the market-implied probability that the option finishes in the money, and it also tells you how much the option price moves for a one-dollar move in SPY. A short put at 0.10 delta is priced as if there were about a 10% chance of SPY finishing below that strike at expiry.

That is a statement about expiry. A put spread that you manage with a profit target and a stop can lose long before expiry, so a 10% chance of finishing in the money does not mean a 90% chance of winning the trade.

Where FIREDesk strikes actually sat

Across the 102 signals logged since 14 May 2026, the short put had an average delta of about 0.09, with a range from 0.02 to 0.14. The short strike sat on average 7.8% below the SPY price at entry, within a range of 5.3% to 11.6%. The spreads were always $10 wide.

• Example: with SPY near 772 on 4 September 2026, the signal sold the 725 put (about 6.1% below) and bought the 715 put.
• Example: with SPY near 764 on 1 October 2026, the signal sold the 695 put (about 9.0% below) and bought the 685 put for a $1.23 credit.

The distance depends on the expiry. Longer expiries leave more time for SPY to move, so the same delta sits further from the price.

Why a 0.09 delta did not give a 91% win rate

In the paper record, 70 of 84 closed trades hit the take profit and 14 hit the stop, about 83%. This is not a contradiction: the delta measures the chance of finishing in the money at expiry, while the stop closes the trade when the spread price rises to 1.5 times the credit, which can happen on an ordinary pullback that never reaches the strike. The distance matters: all 14 stops came from trades whose short strike was less than 8% below the price at entry (between 5.9% and 7.4%), while none of the 34 closed trades with a strike at least 8% below the price hit the stop. Overlapping trades and modeled prices mean this is a pattern to watch, not a rule.

How to choose for yourself

• Start from the maximum loss you accept, then pick the width and the number of contracts.
• Then pick the delta that gives a credit worth the risk. Lower delta means a smaller credit and a lower chance of touching the strike.
• Decide the exit rules first (profit target, stop), because they decide what your win rate means.
• Check implied volatility. When it is high, the same delta pays a larger credit. See how VIX affects selling options.

For the full rule set see the complete SPY bull put spread strategy guide and, for the entry filter, why trade only above the EMA-200.

Educational content, not financial advice. Options trading involves significant risk of loss, including the loss of the whole amount at risk on a trade. Past and simulated results do not guarantee future performance.