Had a treatise written but Yahoo censored me. Look at the DOW from Sept 2008- Mar 2009. That was a cliff we did go over(30% decline). Then look at NLY during that time(AGNC was too low volume to cf to today)...didn't phase it...same deal...a pull back of 5-6 bucks from the Dec EX high and then onward...just like now, with a guy with a middle name of Hussein leading the war on terror...that was a cliff also, which we just came through, and the markets pulled back 6.00 from the Sept EX run's high, and now we'll pull back up to Dec's EX.
I don't know where the thread went re opportunities on short Put spreads, but I continue to accumulate, especially with the incredible pricing of the Dec Puts. You can get the 30/31 Bull Put Spread for a .66 face credit, today. With some bidding you can probably get .68-.70. Crazy! At .66 that places your BE at 30.34 by Dec OPEX. Max profit .66/spread @ 31 or better by Dec OPEX. Max loss .34 @ 30 or lower at Dec OPEX. I like those odds!
As an aside I called Active Trader Pro at Fidelity and asked about a flash crash, with exercise of the short leg and not having the margin to cover(buy the shares). They said they would attempt to "reach out" to you, and they would look at your long leg covering the downside before they would close out your position.
I wasn't comforted. So, as an example, if you have 150 spreads and the short leg is 30, you could be on the hook for $450,000 to cover assignment. So you should have $225,000 around to buy/margin, the purchase, just in case they don't reach out....
It is, IMO, a discepancy in pricing on the 31/30 @ .66, though, and a unique opportunity., especially with a defined loss of .34, and an incredibly low BE at 30.34 by Dec OPEX. As always, I wish you all much success and happiness.