CME wheel: cash-secured put & covered-call yields
CME Group Inc. · Financials · $277.24 close on Oct 12, 2026
What the Oct 12, 2026 close says about CME
At 26.3% implied volatility, the options market is pricing a one-standard-deviation move of about $21.59 (7.8%) in CME by Nov 13, 2026, 32 days out.
Selling the $265 put (−0.29Δ) for $4.06 means assignment would leave a cost basis of $260.94, 5.9% below the $277.24 close.
The 67-day 0.30Δ put pays 1.3× the premium of the 32-day one for 2.1× the time — more premium per day on the 32-day contract ($0.127 vs $0.078).
At 0.30Δ on the Nov 13 expiry the put yields 1.53% on its strike and the call 2.36% on spot: calls pay 1.5× what puts do on CME this session.
Moving down to the $260 put (−0.22Δ) buys 1.8% more room below spot and keeps 72% of the 0.30Δ premium.
Open interest in the stored window totals 3,943 contracts; the largest single line is the $300 call expiring Dec 18 with 1,039 (26.4% of the window).
By options volume CME ranks #227 of 572 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 CME
| Target | Strike | Δ | Last trade | Premium / contract | Cash secured | Period yield | Annualized | Breakeven | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $265 | −0.29 | $4.06 Oct 12 | $406.00 | $26,500 | 1.53% | 17.5% | $260.94 | 1 | 12 |
| 0.20Δ | $260 | −0.22 | $2.94 Oct 12 | $294.00 | $26,000 | 1.13% | 12.9% | $257.06 | 4 | 12 |
Snapshot #2759 · session 2026-10-12 · captured 22:11 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 | $260 | −0.28 | $5.22 Oct 12 | $522.00 | $26,000 | 2.01% | 10.9% | $254.78 | 240 | 2 |
| 0.20Δ | $250 | −0.17 | $3.40 Oct 12 | $340.00 | $25,000 | 1.36% | 7.4% | $246.60 | 618 | 8 |
Snapshot #2759 · session 2026-10-12 · captured 22:11 UTC · 15-min delayed · yield = premium ÷ strike · annualized = yield × 365 ÷ 67
Covered calls on CME
| Target | Strike | Δ | Last trade | Premium / contract | Yield on spot | Annualized | If called | If called, ann. | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $290 | 0.30 | $6.55 Oct 12 | $655.00 | 2.36% | 26.9% | 6.97% | 79.4% | 23 | 1 |
| 0.20Δ | $295 | 0.24 | $4.85 Oct 12 | $485.00 | 1.75% | 20.0% | 8.16% | 93.0% | 29 | 1 |
Snapshot #2759 · session 2026-10-12 · captured 22:11 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 | $300 | 0.25 | $4.94 Oct 12 | $494.00 | 1.78% | 9.7% | 9.99% | 54.4% | 1,039 | 21 |
| 0.20Δ | $310 | 0.17 | $3.06 Oct 12 | $306.00 | 1.10% | 6.0% | 12.92% | 70.4% | 199 | 2 |
Snapshot #2759 · session 2026-10-12 · captured 22:11 UTC · 15-min delayed · yield = premium ÷ spot · if called = (premium + strike − spot) ÷ spot · annualized × 365 ÷ 67
CME volatility, dividends and liquidity
- Implied volatility (ATM, ≈30 days)
- 26.3%session 2026-10-12
- IV rank / IV percentile
- Unavailable1
- Next earnings
- Unavailable2
- Next ex-dividend
- None announcedchecked Oct 12, 2026
- Open interest, stored window
- 3,943 contractssession 2026-10-12
- Largest open-interest line
- $300 call · Dec 18 · 1,039
- Bid/ask spread
- Unavailable3
- Options liquidity rank
- #227 of 572 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.