SNOW wheel: cash-secured put & covered-call yields
Snowflake Inc. · Technology · $328.12 close on Sep 28, 2026
What the Sep 28, 2026 close says about SNOW
At 49.8% implied volatility, the options market is pricing a one-standard-deviation move of about $48.38 (14.7%) in SNOW by Oct 30, 2026, 32 days out.
Selling the $310 put (−0.31Δ) for $9.92 means assignment would leave a cost basis of $300.08, 8.5% below the $328.12 close.
The 81-day 0.30Δ put pays 2.0× the premium of the 32-day one for 2.5× the time — more premium per day on the 32-day contract ($0.310 vs $0.248).
At 0.30Δ on the Oct 30 expiry the put yields 3.20% on its strike and the call 2.54% on spot: puts pay 1.3× what calls do on SNOW this session.
Moving down to the $295 put (−0.20Δ) buys 4.6% more room below spot and keeps 60% of the 0.30Δ premium.
Open interest in the stored window totals 24,427 contracts; the largest single line is the $220 put expiring Dec 18 with 2,589 (10.6% of the window).
By options volume SNOW ranks #244 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 SNOW
| Target | Strike | Δ | Last trade | Premium / contract | Cash secured | Period yield | Annualized | Breakeven | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $310 | −0.31 | $9.92 Sep 28 | $992.00 | $31,000 | 3.20% | 36.5% | $300.08 | 150 | 6 |
| 0.20Δ | $295 | −0.20 | $6.00 Sep 28 | $600.00 | $29,500 | 2.03% | 23.2% | $289.00 | 50 | 1 |
Snapshot #235 · 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 | $300 | −0.31 | $20.10 Sep 28 | $2,010.00 | $30,000 | 6.70% | 30.2% | $279.90 | 2,467 | 112 |
| 0.20Δ | $270 | −0.19 | $10.88 Sep 28 | $1,088.00 | $27,000 | 4.03% | 18.2% | $259.12 | 940 | 10 |
Snapshot #235 · session 2026-09-28 · captured 22:41 UTC · 15-min delayed · yield = premium ÷ strike · annualized = yield × 365 ÷ 81
Covered calls on SNOW
| Target | Strike | Δ | Last trade | Premium / contract | Yield on spot | Annualized | If called | If called, ann. | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $360 | 0.30 | $8.32 Sep 28 | $832.00 | 2.54% | 28.9% | 12.25% | 139.7% | 97 | 18 |
| 0.20Δ | $375 | 0.21 | $5.71 Sep 28 | $571.00 | 1.74% | 19.8% | 16.03% | 182.8% | 23 | 22 |
Snapshot #235 · 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 | $400 | 0.29 | $15.30 Sep 28 | $1,530.00 | 4.66% | 21.0% | 26.57% | 119.7% | 1,344 | 24 |
| 0.20Δ | $430 | 0.21 | $8.57 Sep 28 | $857.00 | 2.61% | 11.8% | 33.66% | 151.7% | 285 | 6 |
Snapshot #235 · session 2026-09-28 · captured 22:41 UTC · 15-min delayed · yield = premium ÷ spot · if called = (premium + strike − spot) ÷ spot · annualized × 365 ÷ 81
SNOW volatility, dividends and liquidity
- Implied volatility (ATM, ≈30 days)
- 49.8%session 2026-09-28
- IV rank / IV percentile
- Unavailable1
- Next earnings
- Unavailable2
- Next ex-dividend
- None announcedchecked Sep 28, 2026
- Open interest, stored window
- 24,427 contractssession 2026-09-28
- Largest open-interest line
- $220 put · Dec 18 · 2,589
- Bid/ask spread
- Unavailable3
- Options liquidity rank
- #244 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.