MRNA wheel: cash-secured put & covered-call yields
Moderna, Inc. Common Stock · Healthcare · $192.57 close on Sep 30, 2026
What the Sep 30, 2026 close says about MRNA
At 101.6% implied volatility, the options market is pricing a one-standard-deviation move of about $56.10 (29.1%) in MRNA by Oct 30, 2026, 30 days out.
Selling the $170 put (−0.28Δ) for $11.50 means assignment would leave a cost basis of $158.50, 17.7% below the $192.57 close.
The 79-day 0.30Δ put pays 1.7× the premium of the 30-day one for 2.6× the time — more premium per day on the 30-day contract ($0.383 vs $0.247).
At 0.30Δ on the Oct 30 expiry the put yields 6.76% on its strike and the call 4.78% on spot: puts pay 1.4× what calls do on MRNA this session.
Moving down to the $157.50 put (−0.20Δ) buys 6.5% more room below spot and keeps 67% of the 0.30Δ premium.
Open interest in the stored window totals 30,581 contracts; the largest single line is the $230 call expiring Dec 18 with 3,665 (12.0% of the window).
By options volume MRNA ranks #156 of 441 names in our universe.
Near-the-money options volume (551) is 44% below its 2-session average.
The builder re-quotes every leg from the live chain when it opens; tracking is free to start.
Cash-secured puts on MRNA
| Target | Strike | Δ | Last trade | Premium / contract | Cash secured | Period yield | Annualized | Breakeven | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $170 | −0.28 | $11.50 Sep 30 | $1,150.00 | $17,000 | 6.76% | 82.3% | $158.50 | 144 | 14 |
| 0.20Δ | $157.50 | −0.20 | $7.69 Sep 30 | $769.00 | $15,750 | 4.88% | 59.4% | $149.81 | 8 | 6 |
Snapshot #689 · session 2026-09-30 · captured 22:11 UTC · 15-min delayed · yield = premium ÷ strike · annualized = yield × 365 ÷ 30
| Target | Strike | Δ | Last trade | Premium / contract | Cash secured | Period yield | Annualized | Breakeven | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $170 | −0.30 | $19.50 Sep 30 | $1,950.00 | $17,000 | 11.47% | 53.0% | $150.50 | 423 | 11 |
| 0.20Δ | $150 | −0.20 | $10.97 Sep 30 | $1,097.00 | $15,000 | 7.31% | 33.8% | $139.03 | 1,316 | 57 |
Snapshot #689 · session 2026-09-30 · captured 22:11 UTC · 15-min delayed · yield = premium ÷ strike · annualized = yield × 365 ÷ 79
Covered calls on MRNA
| Target | Strike | Δ | Last trade | Premium / contract | Yield on spot | Annualized | If called | If called, ann. | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $235 | 0.30 | $9.20 Sep 30 | $920.00 | 4.78% | 58.1% | 26.81% | 326.2% | 8 | 4 |
| 0.20Δ | $260 | 0.20 | $5.60 Sep 30 | $560.00 | 2.91% | 35.4% | 37.92% | 461.4% | 13 | 26 |
Snapshot #689 · session 2026-09-30 · captured 22:11 UTC · 15-min delayed · yield = premium ÷ spot · if called = (premium + strike − spot) ÷ spot · annualized × 365 ÷ 30
| Target | Strike | Δ | Last trade | Premium / contract | Yield on spot | Annualized | If called | If called, ann. | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $260 | 0.31 | $13.10 Sep 30 | $1,310.00 | 6.80% | 31.4% | 41.82% | 193.2% | 836 | 9 |
| 0.20Δ | Unavailable1 | |||||||||
Snapshot #689 · session 2026-09-30 · captured 22:11 UTC · 15-min delayed · yield = premium ÷ spot · if called = (premium + strike − spot) ÷ spot · annualized × 365 ÷ 79
MRNA volatility, dividends and liquidity
- Implied volatility (ATM, ≈30 days)
- 101.6%session 2026-09-30
- IV rank / IV percentile
- Unavailable2
- Next earnings
- Unavailable3
- Next ex-dividend
- None announcedchecked Sep 28, 2026
- Open interest, stored window
- 30,581 contractssession 2026-09-30
- Largest open-interest line
- $230 call · Dec 18 · 3,665
- Bid/ask spread
- Unavailable4
- Options liquidity rank
- #156 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 (3 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.