How do I opt into security coverage for my theme?

You need to edit the theme (https://www.drupal.org/node/2866094/edit) and select Opt into security advisory coverage, under Security advisory coverage, right after Development status.
Applications to be able to opt into security coverage just give to the users the Drupal role that allows them to edit their projects and be able to opt into security coverage; they don't change the status of the project, which needs to be changed from the project owner.

kiamlaluno,
if I am not mistaken, flashwebcenter was never given the permission to opt into security coverage. So he/she shall not be able to do what you suggest in comment #2.

flashwebcenter
when looking at your application to opt into security coverage - #2867474: [D8] Drupal8 W3CSS Theme, I think you closed it prematurely, i.e. before it was approved by a git administrator. I try to describe the two mistakes you did below:

1. In comment #22 you changed its status to "Fixed". This was a mistake #1. You never set the status of an application to "Fixed" yourself. You always wait for a git administrator to do it. You had not yet been given the permission to opt into security at that point, so nothing was really "Fixed". You should have let the application remain with status RTBC until a git admin had checked it and either bumped it back to "Needs work", or given you the permission.
2. However, this small mistake would normally have been spotted and corrected. But in the next comment #23, you again changed its status to "Closed (fixed)". This was a big mistake. It removed your application from the list of open issues, so your first small mistake could no longer be spotted and corrected.

To conclude, looking at how your application progressed, it was never really "Fixed", since setting this status yourself accomplishes nothing. You still don't have permission to opt into security coverage, and that is why that radio button is still greyed out in your profile.

How do I get the covered by the security advisory policy for my theme?

You need to be given the permission to opt into security advisories by a git administrator: You can do this either by getting your two year old application reopened (with status set to RTBC), or by starting a new one.

Before doing so, it may be a good idea to read about Issue Queue Etiquette. Pay special attention to recital #11.

Hi flashwebcenter,
Your user account does not have access to opt into security advisory coverage. This is provided by Git administrators, for more refer: https://www.drupal.org/node/1125818 .

You also need to check out the workflow to achieve this access: https://www.drupal.org/node/539608 .

Additionally, guidance from gisle in the comments above has detailed out the further todos.

@gisle Yes, I noticed. I am closing this as fixed and re-opening the application, which has never been approved (nor has reached the Reviewed & tested by the community point).

(nor has reached the Reviewed & tested by the community point).

Yes, it did (in comment #18) - https://www.drupal.org/project/projectapplications/issues/2867474#commen... - however, that was a pretty shallow review, so "Needs review" is probably the right status.