C wheel: cash-secured put & covered-call yields
Citigroup Inc. · Financials · $124.06 close on Nov 12, 2026
What the Nov 12, 2026 close says about C
At 28.7% implied volatility, the options market is pricing a one-standard-deviation move of about $11.19 (9.0%) in C by Dec 18, 2026, 36 days out.
Selling the $120 put (−0.33Δ) for $2.58 means assignment would leave a cost basis of $117.42, 5.4% below the $124.06 close.
At 0.30Δ on the Dec 18 expiry the put yields 2.15% on its strike and the call 1.68% on spot: puts pay 1.3× what calls do on C this session.
Moving down to the $115 put (−0.19Δ) buys 4.0% more room below spot and keeps 52% of the 0.30Δ premium.
Open interest in the stored window totals 100,631 contracts; the largest single line is the $120 put expiring Dec 18 with 9,699 (9.6% of the window).
By options volume C ranks #84 of 679 names in our universe.
Near-the-money options volume (1.2k) is 134% above its 5-session average.
The builder re-quotes every leg from the live chain when it opens; tracking is free to start.
Cash-secured puts on C
| Target | Strike | Δ | Last trade | Premium / contract | Cash secured | Period yield | Annualized | Breakeven | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $120 | −0.33 | $2.58 Nov 12 | $258.00 | $12,000 | 2.15% | 21.8% | $117.42 | 9,699 | 110 |
| 0.20Δ | $115 | −0.19 | $1.35 Nov 12 | $135.00 | $11,500 | 1.17% | 11.9% | $113.65 | 4,075 | 201 |
Snapshot #9327 · session 2026-11-12 · captured 22:01 UTC · 15-min delayed · yield = premium ÷ strike · annualized = yield × 365 ÷ 36
| Target | Strike | Δ | Last trade | Premium / contract | Cash secured | Period yield | Annualized | Breakeven | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | Unavailable1 | |||||||||
| 0.20Δ | $110 | −0.16 | $1.53 Nov 12 | $153.00 | $11,000 | 1.39% | 7.9% | $108.47 | 8,021 | 209 |
Snapshot #9327 · session 2026-11-12 · captured 22:01 UTC · 15-min delayed · yield = premium ÷ strike · annualized = yield × 365 ÷ 64
Covered calls on C
| Target | Strike | Δ | Last trade | Premium / contract | Yield on spot | Annualized | If called | If called, ann. | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $130 | 0.31 | $2.09 Nov 12 | $209.00 | 1.68% | 17.1% | 6.47% | 65.6% | 6,829 | 403 |
| 0.20Δ | $135 | 0.17 | $0.92 Nov 12 | $92.00 | 0.74% | 7.5% | 9.56% | 96.9% | 5,006 | 246 |
Snapshot #9327 · session 2026-11-12 · captured 22:01 UTC · 15-min delayed · yield = premium ÷ spot · if called = (premium + strike − spot) ÷ spot · annualized × 365 ÷ 36
| Target | Strike | Δ | Last trade | Premium / contract | Yield on spot | Annualized | If called | If called, ann. | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $135 | 0.26 | $2.22 Nov 12 | $222.00 | 1.79% | 10.2% | 10.61% | 60.5% | 4,724 | 89 |
| 0.20Δ | $140 | 0.17 | $1.21 Nov 12 | $121.00 | 0.98% | 5.6% | 13.82% | 78.8% | 6,185 | 144 |
Snapshot #9327 · session 2026-11-12 · captured 22:01 UTC · 15-min delayed · yield = premium ÷ spot · if called = (premium + strike − spot) ÷ spot · annualized × 365 ÷ 64
C volatility, dividends and liquidity
- Implied volatility (ATM, ≈30 days)
- 28.7%session 2026-11-12
- IV rank / IV percentile
- Unavailable2
- Next earnings
- Unavailable3
- Next ex-dividend
- None announcedchecked Nov 9, 2026
- Open interest, stored window
- 100,631 contractssession 2026-11-12
- Largest open-interest line
- $120 put · Dec 18 · 9,699
- Bid/ask spread
- Unavailable4
- Options liquidity rank
- #84 of 679 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 0.30Δ traded this session
- We are building our own daily implied-volatility history (34 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.