AON wheel: cash-secured put & covered-call yields
Aon plc Class A · Financials · $272.10 close on Sep 28, 2026
What the Sep 28, 2026 close says about AON
At 34.0% implied volatility, the options market is pricing a one-standard-deviation move of about $35.24 (12.9%) in AON by Nov 20, 2026, 53 days out.
Selling the $260 put (−0.32Δ) for $8.10 means assignment would leave a cost basis of $251.90, 7.4% below the $272.10 close.
The 81-day 0.30Δ put pays 1.2× the premium of the 53-day one for 1.5× the time — more premium per day on the 53-day contract ($0.153 vs $0.125).
At 0.30Δ on the Nov 20 expiry the put yields 3.12% on its strike and the call 2.21% on spot: puts pay 1.4× what calls do on AON this session.
Moving down to the $250 put (−0.22Δ) buys 3.7% more room below spot and keeps 62% of the 0.30Δ premium.
Open interest in the stored window totals 986 contracts; the largest single line is the $260 put expiring Dec 18 with 510 (51.7% of the window).
By options volume AON ranks #249 of 441 names in our universe.
The builder re-quotes every leg from the live chain when it opens; tracking is free to start.
Cash-secured puts on AON
| Target | Strike | Δ | Last trade | Premium / contract | Cash secured | Period yield | Annualized | Breakeven | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $260 | −0.32 | $8.10 Sep 28 | $810.00 | $26,000 | 3.12% | 21.5% | $251.90 | 20 | 49 |
| 0.20Δ | $250 | −0.22 | $5.05 Sep 28 | $505.00 | $25,000 | 2.02% | 13.9% | $244.95 | 20 | 28 |
Snapshot #61 · session 2026-09-28 · captured 22:21 UTC · 15-min delayed · yield = premium ÷ strike · annualized = yield × 365 ÷ 53
| Target | Strike | Δ | Last trade | Premium / contract | Cash secured | Period yield | Annualized | Breakeven | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $260 | −0.33 | $10.10 Sep 28 | $1,010.00 | $26,000 | 3.88% | 17.5% | $249.90 | 510 | 5 |
| 0.20Δ | $240 | −0.17 | $4.50 Sep 28 | $450.00 | $24,000 | 1.88% | 8.4% | $235.50 | 2 | 1 |
Snapshot #61 · session 2026-09-28 · captured 22:21 UTC · 15-min delayed · yield = premium ÷ strike · annualized = yield × 365 ÷ 81
Covered calls on AON
| Target | Strike | Δ | Last trade | Premium / contract | Yield on spot | Annualized | If called | If called, ann. | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $290 | 0.33 | $6.00 Sep 28 | $600.00 | 2.21% | 15.2% | 8.78% | 60.5% | 107 | 8 |
| 0.20Δ | $300 | 0.23 | $3.97 Sep 28 | $397.00 | 1.46% | 10.0% | 11.71% | 80.7% | 19 | 5 |
Snapshot #61 · session 2026-09-28 · captured 22:21 UTC · 15-min delayed · yield = premium ÷ spot · if called = (premium + strike − spot) ÷ spot · annualized × 365 ÷ 53
| Target | Strike | Δ | Last trade | Premium / contract | Yield on spot | Annualized | If called | If called, ann. | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $300 | 0.28 | $6.60 Sep 28 | $660.00 | 2.43% | 10.9% | 12.68% | 57.1% | 26 | 2 |
| 0.20Δ | Unavailable1 | |||||||||
Snapshot #61 · session 2026-09-28 · captured 22:21 UTC · 15-min delayed · yield = premium ÷ spot · if called = (premium + strike − spot) ÷ spot · annualized × 365 ÷ 81
AON volatility, dividends and liquidity
- Implied volatility (ATM, ≈30 days)
- 34.0%session 2026-09-28
- IV rank / IV percentile
- Unavailable2
- Next earnings
- Unavailable3
- Next ex-dividend
- None announcedchecked Sep 28, 2026
- Open interest, stored window
- 986 contractssession 2026-09-28
- Largest open-interest line
- $260 put · Dec 18 · 510
- Bid/ask spread
- Unavailable4
- Options liquidity rank
- #249 of 441 optionable names by options volume
How these numbers are made
One end-of-day snapshot per session from a 15-minute-delayed feed. A premium is a contract’s last trade, used only if it printed that session, sits above intrinsic value and is in order with its neighbours; deltas are the feed’s own. Expiries are the first at least 30 and 60 days out, and nothing under 30 days is annualized. Not investment advice. Full methodology.
- No contract near 0.20Δ traded this session
- We are building our own daily implied-volatility history (1 of 252 sessions so far); IV rank and percentile need a full year of it.
- Our data provider does not license announced earnings dates, and we do not publish estimates.
- Our data feed carries last trades, not live bid/ask quotes, so we cannot show a spread.