In simple terms, once the put has moved into the money, you already have received the most bang for your buck; in the example above, the put options generated a 300% return on a 6% move in the XYZ common stock. But as the option moves deeper into the money, its price will begin to correlate on a dollar-for-dollar basis with the underlying shares. The reverse is true, too: As an option moves out of the money, its price falls less than the price of the underlying stock. In trading the stock against the option position, you are capturing the differential created by the slope of the delta, i.e., the rate of change of an options price relative to the change in price in the underlying common. With just one week remaining until expiration, if XYZ is trading at $50 per share, the puts will still retain an approximate value of 55 cents, which means if shares decline to $49.45, you can lock in that value through the purchase of stock and have the opportunity to make another risk-free trade. If shares move back up to $50, you have just scalped another $550 profit out of the position.