PEP wheel: cash-secured put & covered-call yields
PepsiCo, Inc. · Consumer staples · $128.50 close on Sep 28, 2026
What the Sep 28, 2026 close says about PEP
At 23.0% implied volatility, the options market is pricing a one-standard-deviation move of about $8.76 (6.8%) in PEP by Oct 30, 2026, 32 days out.
Selling the $124 put (−0.30Δ) for $1.90 means assignment would leave a cost basis of $122.10, 5.0% below the $128.50 close.
The 81-day 0.30Δ put pays 1.2× the premium of the 32-day one for 2.5× the time — more premium per day on the 32-day contract ($0.059 vs $0.029).
At 0.30Δ on the Oct 30 expiry the put yields 1.53% on its strike and the call 1.52% on spot: puts and calls pay within 10% of each other on PEP this session.
Moving down to the $121 put (−0.19Δ) buys 2.3% more room below spot and keeps 59% of the 0.30Δ premium.
Open interest in the stored window totals 31,578 contracts; the largest single line is the $140 call expiring Dec 18 with 21,288 (67.4% of the window).
By options volume PEP ranks #105 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 PEP
| Target | Strike | Δ | Last trade | Premium / contract | Cash secured | Period yield | Annualized | Breakeven | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $124 | −0.30 | $1.90 Sep 28 | $190.00 | $12,400 | 1.53% | 17.5% | $122.10 | 70 | 72 |
| 0.20Δ | $121 | −0.19 | $1.13 Sep 28 | $113.00 | $12,100 | 0.93% | 10.7% | $119.87 | 0 | 6 |
Snapshot #211 · session 2026-09-28 · captured 22:41 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 | $120 | −0.26 | $2.33 Sep 28 | $233.00 | $12,000 | 1.94% | 8.7% | $117.67 | 1,201 | 57 |
| 0.20Δ | $115 | −0.16 | $1.28 Sep 28 | $128.00 | $11,500 | 1.11% | 5.0% | $113.72 | 479 | 21 |
Snapshot #211 · session 2026-09-28 · captured 22:41 UTC · 15-min delayed · yield = premium ÷ strike · annualized = yield × 365 ÷ 81
Covered calls on PEP
| Target | Strike | Δ | Last trade | Premium / contract | Yield on spot | Annualized | If called | If called, ann. | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $134 | 0.30 | $1.95 Sep 28 | $195.00 | 1.52% | 17.3% | 5.80% | 66.1% | 23 | 8 |
| 0.20Δ | $137 | 0.21 | $1.05 Sep 28 | $105.00 | 0.82% | 9.3% | 7.43% | 84.8% | 161 | 16 |
Snapshot #211 · session 2026-09-28 · captured 22:41 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 | $135 | 0.35 | $3.23 Sep 28 | $323.00 | 2.51% | 11.3% | 7.57% | 34.1% | 1,220 | 92 |
| 0.20Δ | $140 | 0.23 | $1.89 Sep 28 | $189.00 | 1.47% | 6.6% | 10.42% | 47.0% | 21,288 | 270 |
Snapshot #211 · session 2026-09-28 · captured 22:41 UTC · 15-min delayed · yield = premium ÷ spot · if called = (premium + strike − spot) ÷ spot · annualized × 365 ÷ 81
PEP volatility, dividends and liquidity
- Implied volatility (ATM, ≈30 days)
- 23.0%session 2026-09-28
- IV rank / IV percentile
- Unavailable1
- Next earnings
- Unavailable2
- Next ex-dividend
- None announcedchecked Sep 28, 2026
- Open interest, stored window
- 31,578 contractssession 2026-09-28
- Largest open-interest line
- $140 call · Dec 18 · 21,288
- Bid/ask spread
- Unavailable3
- Options liquidity rank
- #105 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.
- 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.