CB wheel: cash-secured put & covered-call yields
Chubb Limited · Financials · $363.45 close on Nov 9, 2026
What the Nov 9, 2026 close says about CB
At 19.2% implied volatility, the options market is pricing a one-standard-deviation move of about $22.83 (6.3%) in CB by Dec 18, 2026, 39 days out.
Selling the $355 put (−0.33Δ) for $5.60 means assignment would leave a cost basis of $349.40, 3.9% below the $363.45 close.
The 67-day 0.30Δ put pays 1.1× the premium of the 39-day one for 1.7× the time — more premium per day on the 39-day contract ($0.144 vs $0.091).
At 0.30Δ on the Dec 18 expiry the put yields 1.58% on its strike and the call 1.43% on spot: puts pay 1.1× what calls do on CB this session.
Moving down to the $345 put (−0.21Δ) buys 2.8% more room below spot and keeps 55% of the 0.30Δ premium.
Open interest in the stored window totals 8,122 contracts; the largest single line is the $390 call expiring Jan 15 with 1,019 (12.5% of the window).
By options volume CB ranks #137 of 679 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 CB
| Target | Strike | Δ | Last trade | Premium / contract | Cash secured | Period yield | Annualized | Breakeven | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $355 | −0.33 | $5.60 Nov 9 | $560.00 | $35,500 | 1.58% | 14.8% | $349.40 | 62 | 2 |
| 0.20Δ | $345 | −0.21 | $3.10 Nov 9 | $310.00 | $34,500 | 0.90% | 8.4% | $341.90 | 76 | 9 |
Snapshot #8457 · session 2026-11-09 · captured 22:11 UTC · 15-min delayed · yield = premium ÷ strike · annualized = yield × 365 ÷ 39
| Target | Strike | Δ | Last trade | Premium / contract | Cash secured | Period yield | Annualized | Breakeven | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $350 | −0.30 | $6.11 Nov 9 | $611.00 | $35,000 | 1.75% | 9.5% | $343.89 | 180 | 53 |
| 0.20Δ | $340 | −0.20 | $3.79 Nov 9 | $379.00 | $34,000 | 1.11% | 6.1% | $336.21 | 750 | 21 |
Snapshot #8457 · session 2026-11-09 · captured 22:11 UTC · 15-min delayed · yield = premium ÷ strike · annualized = yield × 365 ÷ 67
Covered calls on CB
| Target | Strike | Δ | Last trade | Premium / contract | Yield on spot | Annualized | If called | If called, ann. | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $375 | 0.32 | $5.20 Nov 9 | $520.00 | 1.43% | 13.4% | 4.61% | 43.1% | 110 | 7 |
| 0.20Δ | $385 | 0.19 | $2.70 Nov 9 | $270.00 | 0.74% | 7.0% | 6.67% | 62.4% | 130 | 2 |
Snapshot #8457 · session 2026-11-09 · captured 22:11 UTC · 15-min delayed · yield = premium ÷ spot · if called = (premium + strike − spot) ÷ spot · annualized × 365 ÷ 39
| Target | Strike | Δ | Last trade | Premium / contract | Yield on spot | Annualized | If called | If called, ann. | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $380 | 0.33 | $6.20 Nov 9 | $620.00 | 1.71% | 9.3% | 6.26% | 34.1% | 398 | 13 |
| 0.20Δ | $390 | 0.24 | $3.40 Nov 9 | $340.00 | 0.94% | 5.1% | 8.24% | 44.9% | 1,019 | 8 |
Snapshot #8457 · session 2026-11-09 · captured 22:11 UTC · 15-min delayed · yield = premium ÷ spot · if called = (premium + strike − spot) ÷ spot · annualized × 365 ÷ 67
CB volatility, dividends and liquidity
- Implied volatility (ATM, ≈30 days)
- 19.2%session 2026-11-09
- IV rank / IV percentile
- Unavailable1
- Next earnings
- Unavailable2
- Next ex-dividend
- None announcedchecked Nov 9, 2026
- Open interest, stored window
- 8,122 contractssession 2026-11-09
- Largest open-interest line
- $390 call · Jan 15 · 1,019
- Bid/ask spread
- Unavailable3
- Options liquidity rank
- #137 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.
- 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.