Ya know Cdaveman, the value between the bid / intrinsic is only .15 cents on your SPY example, but being more realistic, it's an index, if it moves past 243 (30%) I'll happy take my profit and let it expire. If you plan on hold on to it until it expires it's no big deal. Let's be more realistic, think of a stock like AAPL expiring in May with a strike price of 120 currently bid-ask 27.80 - 28.10. The spread is .30. Premiums are 1.34 - 1.64 respectively. I want to buy AAPL but I don't want to borrow from my broker and pay those margin fees and I want to collect that 1.34 premium. So I short the put. The only downside is I may not be able to get out at the price I want - I am fine with letting it expire ITM. And I am sure AAPL is pretty liquid. If this is a stupid trade, then the idea buying AAPL to begin with is a stupid trade - not the actual strategy. Ofcourse we look for liquidity, if a bid/ask is too wide it's best not to trade it. Interestingly enough you can SHORT the underlying to lock in that $.134 Premium to make your own version of a naked Call. If AAPL goes above $121.34 by May you lose money. But this isn't Arbitage, you're creating your own version of a naked call.