EFA wheel: cash-secured put & covered-call yields
iShares MSCI EAFE ETF · ETFs · $103.96 close on Oct 2, 2026
What the Oct 2, 2026 close says about EFA
At 21.6% implied volatility, the options market is pricing a one-standard-deviation move of about $6.97 (6.7%) in EFA by Nov 6, 2026, 35 days out.
Selling the $100.50 put (−0.35Δ) for $0.92 means assignment would leave a cost basis of $99.58, 4.2% below the $103.96 close.
The 77-day 0.30Δ put pays 1.3× the premium of the 35-day one for 2.2× the time — more premium per day on the 35-day contract ($0.026 vs $0.016).
At 0.30Δ on the Nov 6 expiry the put yields 0.92% on its strike and the call 0.38% on spot: puts pay 2.4× what calls do on EFA this session.
Moving down to the $98 put (−0.24Δ) buys 2.4% more room below spot and keeps 65% of the 0.30Δ premium.
Open interest in the stored window totals 137,758 contracts; the largest single line is the $90 put expiring Dec 18 with 23,686 (17.2% of the window).
By options volume EFA ranks #14 of 441 names in our universe.
Near-the-money options volume (1.8k) is 80% below its 4-session average.
The builder re-quotes every leg from the live chain when it opens; tracking is free to start.
Cash-secured puts on EFA
| Target | Strike | Δ | Last trade | Premium / contract | Cash secured | Period yield | Annualized | Breakeven | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $100.50 | −0.35 | $0.92 Oct 2 | $92.00 | $10,050 | 0.92% | 9.5% | $99.58 | 693 | 34 |
| 0.20Δ | $98 | −0.24 | $0.60 Oct 2 | $60.00 | $9,800 | 0.61% | 6.4% | $97.40 | 4 | 1 |
Snapshot #1121 · session 2026-10-02 · captured 22:01 UTC · 15-min delayed · yield = premium ÷ strike · annualized = yield × 365 ÷ 35
| Target | Strike | Δ | Last trade | Premium / contract | Cash secured | Period yield | Annualized | Breakeven | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $98 | −0.29 | $1.24 Oct 2 | $124.00 | $9,800 | 1.27% | 6.0% | $96.76 | 8,912 | 323 |
| 0.20Δ | $90 | −0.20 | $0.50 Oct 2 | $50.00 | $9,000 | 0.56% | 2.6% | $89.50 | 23,686 | 100 |
Snapshot #1121 · session 2026-10-02 · captured 22:01 UTC · 15-min delayed · yield = premium ÷ strike · annualized = yield × 365 ÷ 77
Covered calls on EFA
| Target | Strike | Δ | Last trade | Premium / contract | Yield on spot | Annualized | If called | If called, ann. | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $108.50 | 0.31 | $0.40 Oct 2 | $40.00 | 0.38% | 4.0% | 4.75% | 49.6% | 11 | 10 |
| 0.20Δ | Unavailable1 | |||||||||
Snapshot #1121 · session 2026-10-02 · captured 22:01 UTC · 15-min delayed · yield = premium ÷ spot · if called = (premium + strike − spot) ÷ spot · annualized × 365 ÷ 35
| Target | Strike | Δ | Last trade | Premium / contract | Yield on spot | Annualized | If called | If called, ann. | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $110 | 0.30 | $0.77 Oct 2 | $77.00 | 0.74% | 3.5% | 6.55% | 31.1% | 6,459 | 9 |
| 0.20Δ | $111 | 0.19 | $0.65 Oct 2 | $65.00 | 0.63% | 3.0% | 7.40% | 35.1% | 3,545 | 1 |
Snapshot #1121 · session 2026-10-02 · captured 22:01 UTC · 15-min delayed · yield = premium ÷ spot · if called = (premium + strike − spot) ÷ spot · annualized × 365 ÷ 77
EFA volatility, dividends and liquidity
- Implied volatility (ATM, ≈30 days)
- 21.6%session 2026-10-02
- IV rank / IV percentile
- Unavailable2
- Next earnings
- Unavailable3
- Next ex-dividend
- None announcedchecked Sep 28, 2026
- Open interest, stored window
- 137,758 contractssession 2026-10-02
- Largest open-interest line
- $90 put · Dec 18 · 23,686
- Bid/ask spread
- Unavailable4
- Options liquidity rank
- #14 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 (5 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.