A systematic approach to identifying the best stocks for selling [put options][put-option] based on the divergence between [implied volatility][implied-volatility] and [historical volatility][historical-volatility]. The core thesis: when options are priced for significantly more volatility than a stock has actually exhibited, there is an edge in selling those options β the [volatility risk premium][volatility-risk-premium] tends to decay in the seller's favor.
Start with the top ~100 [S&P 500][sp500] stocks by [market cap][market-cap]. Large-cap stocks have the deepest [option markets][options-market] and the tightest [bid/ask spreads][bid-ask-spread]. Smaller index constituents often have options so illiquid that the spread alone wipes out any premium advantage.