Gleno: It is not only about protection. In my example, the time decay is much higher for Mar puts than for May puts. As a fact, close to expiration the Mar premium should be close to 0. At that point if the options you sold are comfortably out the money, you let them expire and the money is yours. However if they are at the money or in the money, you must BUY them back because otherwise YOU might get “executed”, i.e. Bernie from CBOE will sell to you 1000 QQQQ shares which you will have to accept, because he bought from you the puts and that entitles him to sell you those shares at the strike price.
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