SPY wheel: cash-secured put & covered-call yields
State Street SPDR S&P 500 ETF Trust · ETFs · $771.35 close on Sep 25, 2026
What the Sep 25, 2026 close says about SPY
At 12.6% implied volatility, the options market is pricing a one-standard-deviation move of about $30.20 (3.9%) in SPY by Oct 30, 2026, 35 days out.
Selling the $756 put (−0.30Δ) for $6.27 means assignment would leave a cost basis of $749.73, 2.8% below the $771.35 close.
The 66-day 0.30Δ put pays 1.5× the premium of the 35-day one for 1.9× the time — more premium per day on the 35-day contract ($0.179 vs $0.146).
At 0.30Δ on the Oct 30 expiry the put yields 0.83% on its strike and the call 0.74% on spot: puts pay 1.1× what calls do on SPY this session.
Moving down to the $744 put (−0.20Δ) buys 1.6% more room below spot and keeps 68% of the 0.30Δ premium.
Open interest in the stored window totals 666,814 contracts; the largest single line is the $670 put expiring Oct 30 with 76,225 (11.4% of the window).
The builder re-quotes every leg from the live chain when it opens; tracking is free to start.
Cash-secured puts on SPY
| Target | Strike | Δ | Last trade | Premium / contract | Cash secured | Period yield | Annualized | Breakeven | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $756 | −0.30 | $6.27 Sep 25 | $627.00 | $75,600 | 0.83% | 8.6% | $749.73 | 583 | 156 |
| 0.20Δ | $744 | −0.20 | $4.24 Sep 25 | $424.00 | $74,400 | 0.57% | 5.9% | $739.76 | 795 | 88 |
Snapshot #1 · session 2026-09-25 · captured 08:07 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 | $752 | −0.31 | $9.66 Sep 25 | $966.00 | $75,200 | 1.28% | 7.1% | $742.34 | 253 | 4 |
| 0.20Δ | $732 | −0.20 | $6.32 Sep 25 | $632.00 | $73,200 | 0.86% | 4.8% | $725.68 | 53 | 5 |
Snapshot #1 · session 2026-09-25 · captured 08:07 UTC · 15-min delayed · yield = premium ÷ strike · annualized = yield × 365 ÷ 66
Covered calls on SPY
| Target | Strike | Δ | Last trade | Premium / contract | Yield on spot | Annualized | If called | If called, ann. | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $788 | 0.31 | $5.68 Sep 25 | $568.00 | 0.74% | 7.7% | 2.89% | 30.2% | 564 | 125 |
| 0.20Δ | $797 | 0.20 | $3.13 Sep 25 | $313.00 | 0.41% | 4.2% | 3.73% | 38.9% | 1,815 | 57 |
Snapshot #1 · session 2026-09-25 · captured 08:07 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 | $798 | 0.30 | $7.29 Sep 25 | $729.00 | 0.95% | 5.2% | 4.40% | 24.3% | 105 | 15 |
| 0.20Δ | $811 | 0.19 | $4.02 Sep 25 | $402.00 | 0.52% | 2.9% | 5.66% | 31.3% | 199 | 1 |
Snapshot #1 · session 2026-09-25 · captured 08:07 UTC · 15-min delayed · yield = premium ÷ spot · if called = (premium + strike − spot) ÷ spot · annualized × 365 ÷ 66
SPY volatility, dividends and liquidity
- Implied volatility (ATM, ≈30 days)
- 12.6%session 2026-09-25
- IV rank / IV percentile
- Unavailable1
- Next earnings
- Unavailable2
- Next ex-dividend
- None announcedchecked Sep 27, 2026
- Open interest, stored window
- 666,814 contractssession 2026-09-25
- Largest open-interest line
- $670 put · Oct 30 · 76,225
- Bid/ask spread
- Unavailable3
- Options liquidity rank
- Unavailable4
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.
- Not ranked yet — liquidity ranks are computed at the weekly re-rank of the whole universe.