NU wheel: cash-secured put & covered-call yields
Nu Holdings Ltd. · $12.23 close on Sep 28, 2026
What the Sep 28, 2026 close says about NU
At 45.8% implied volatility, the options market is pricing a one-standard-deviation move of about $1.66 (13.6%) in NU by Oct 30, 2026, 32 days out.
Selling the $11.50 put (−0.28Δ) for $0.39 means assignment would leave a cost basis of $11.11, 9.2% below the $12.23 close.
The 81-day 0.30Δ put pays 1.3× the premium of the 32-day one for 2.5× the time — more premium per day on the 32-day contract ($0.012 vs $0.006).
At 0.30Δ on the Oct 30 expiry the put yields 3.39% on its strike and the call 2.94% on spot: puts pay 1.2× what calls do on NU this session.
Moving down to the $11 put (−0.20Δ) buys 4.1% more room below spot and keeps 62% of the 0.30Δ premium.
Open interest in the stored window totals 51,387 contracts; the largest single line is the $14 call expiring Dec 18 with 18,284 (35.6% of the window).
By options volume NU ranks #11 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 NU
| Target | Strike | Δ | Last trade | Premium / contract | Cash secured | Period yield | Annualized | Breakeven | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $11.50 | −0.28 | $0.39 Sep 28 | $39.00 | $1,150 | 3.39% | 38.7% | $11.11 | 85 | 408 |
| 0.20Δ | $11 | −0.20 | $0.24 Sep 28 | $24.00 | $1,100 | 2.18% | 24.9% | $10.76 | 73 | 224 |
Snapshot #198 · session 2026-09-28 · captured 22:40 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 | $11 | −0.26 | $0.50 Sep 28 | $50.00 | $1,100 | 4.55% | 20.5% | $10.50 | 1,396 | 206 |
| 0.20Δ | Unavailable1 | |||||||||
Snapshot #198 · session 2026-09-28 · captured 22:40 UTC · 15-min delayed · yield = premium ÷ strike · annualized = yield × 365 ÷ 81
Covered calls on NU
| Target | Strike | Δ | Last trade | Premium / contract | Yield on spot | Annualized | If called | If called, ann. | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $13.50 | 0.30 | $0.36 Sep 28 | $36.00 | 2.94% | 33.6% | 13.33% | 152.0% | 40 | 71 |
| 0.20Δ | $14 | 0.23 | $0.22 Sep 28 | $22.00 | 1.80% | 20.5% | 16.27% | 185.6% | 1,180 | 256 |
Snapshot #198 · session 2026-09-28 · captured 22:40 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 | $14 | 0.33 | $0.53 Sep 28 | $53.00 | 4.33% | 19.5% | 18.81% | 84.7% | 18,284 | 987 |
| 0.20Δ | $15 | 0.22 | $0.32 Sep 28 | $32.00 | 2.62% | 11.8% | 25.27% | 113.9% | 8,162 | 756 |
Snapshot #198 · session 2026-09-28 · captured 22:40 UTC · 15-min delayed · yield = premium ÷ spot · if called = (premium + strike − spot) ÷ spot · annualized × 365 ÷ 81
NU volatility, dividends and liquidity
- Implied volatility (ATM, ≈30 days)
- 45.8%session 2026-09-28
- IV rank / IV percentile
- Unavailable2
- Next earnings
- Unavailable3
- Next ex-dividend
- None announcedchecked Sep 28, 2026
- Open interest, stored window
- 51,387 contractssession 2026-09-28
- Largest open-interest line
- $14 call · Dec 18 · 18,284
- Bid/ask spread
- Unavailable4
- Options liquidity rank
- #11 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 (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.