C wheel: cash-secured put & covered-call yields
Citigroup Inc. · Financials · $131.31 close on Sep 28, 2026
What the Sep 28, 2026 close says about C
At 31.9% implied volatility, the options market is pricing a one-standard-deviation move of about $12.42 (9.5%) in C by Oct 30, 2026, 32 days out.
Selling the $126 put (−0.31Δ) for $2.52 means assignment would leave a cost basis of $123.48, 6.0% below the $131.31 close.
The 81-day 0.30Δ put pays 1.8× the premium of the 32-day one for 2.5× the time — more premium per day on the 32-day contract ($0.079 vs $0.056).
At 0.30Δ on the Oct 30 expiry the put yields 2.00% on its strike and the call 1.91% on spot: puts and calls pay within 10% of each other on C this session.
Moving down to the $122 put (−0.22Δ) buys 3.0% more room below spot and keeps 54% of the 0.30Δ premium.
Open interest in the stored window totals 40,156 contracts; the largest single line is the $150 call expiring Dec 18 with 5,793 (14.4% of the window).
By options volume C ranks #128 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 C
| Target | Strike | Δ | Last trade | Premium / contract | Cash secured | Period yield | Annualized | Breakeven | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $126 | −0.31 | $2.52 Sep 28 | $252.00 | $12,600 | 2.00% | 22.8% | $123.48 | 13 | 7 |
| 0.20Δ | $122 | −0.22 | $1.35 Sep 28 | $135.00 | $12,200 | 1.11% | 12.6% | $120.65 | 34 | 11 |
Snapshot #79 · session 2026-09-28 · captured 22:21 UTC · 15-min delayed · yield = premium ÷ strike · annualized = yield × 365 ÷ 32
| Target | Strike | Δ | Last trade | Premium / contract | Cash secured | Period yield | Annualized | Breakeven | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $125 | −0.33 | $4.50 Sep 28 | $450.00 | $12,500 | 3.60% | 16.2% | $120.50 | 5,244 | 39 |
| 0.20Δ | $115 | −0.17 | $1.88 Sep 28 | $188.00 | $11,500 | 1.63% | 7.4% | $113.12 | 1,799 | 27 |
Snapshot #79 · session 2026-09-28 · captured 22:21 UTC · 15-min delayed · yield = premium ÷ strike · annualized = yield × 365 ÷ 81
Covered calls on C
| Target | Strike | Δ | Last trade | Premium / contract | Yield on spot | Annualized | If called | If called, ann. | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $139 | 0.31 | $2.51 Sep 28 | $251.00 | 1.91% | 21.8% | 7.77% | 88.6% | 8 | 70 |
| 0.20Δ | $144 | 0.19 | $1.69 Sep 28 | $169.00 | 1.29% | 14.7% | 10.95% | 124.9% | 8 | 13 |
Snapshot #79 · session 2026-09-28 · captured 22:21 UTC · 15-min delayed · yield = premium ÷ spot · if called = (premium + strike − spot) ÷ spot · annualized × 365 ÷ 32
| Target | Strike | Δ | Last trade | Premium / contract | Yield on spot | Annualized | If called | If called, ann. | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $145 | 0.27 | $2.95 Sep 28 | $295.00 | 2.25% | 10.1% | 12.67% | 57.1% | 2,125 | 83 |
| 0.20Δ | $150 | 0.19 | $2.02 Sep 28 | $202.00 | 1.54% | 6.9% | 15.77% | 71.1% | 5,793 | 96 |
Snapshot #79 · session 2026-09-28 · captured 22:21 UTC · 15-min delayed · yield = premium ÷ spot · if called = (premium + strike − spot) ÷ spot · annualized × 365 ÷ 81
C volatility, dividends and liquidity
- Implied volatility (ATM, ≈30 days)
- 31.9%session 2026-09-28
- IV rank / IV percentile
- Unavailable1
- Next earnings
- Unavailable2
- Next ex-dividend
- None announcedchecked Sep 28, 2026
- Open interest, stored window
- 40,156 contractssession 2026-09-28
- Largest open-interest line
- $150 call · Dec 18 · 5,793
- Bid/ask spread
- Unavailable3
- Options liquidity rank
- #128 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.
- 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.