SPY wheel: cash-secured put & covered-call yields
State Street SPDR S&P 500 ETF Trust · ETFs · $759.81 close on Nov 11, 2026
What the Nov 11, 2026 close says about SPY
At 13.3% implied volatility, the options market is pricing a one-standard-deviation move of about $28.99 (3.8%) in SPY by Dec 11, 2026, 30 days out.
Selling the $744 put (−0.30Δ) for $6.40 means assignment would leave a cost basis of $737.60, 2.9% below the $759.81 close.
The 65-day 0.30Δ put pays 1.5× the premium of the 30-day one for 2.2× the time — more premium per day on the 30-day contract ($0.213 vs $0.151).
At 0.30Δ on the Dec 11 expiry the put yields 0.86% on its strike and the call 0.66% on spot: puts pay 1.3× what calls do on SPY this session.
Moving down to the $731 put (−0.20Δ) buys 1.7% more room below spot and keeps 67% of the 0.30Δ premium.
Open interest in the stored window totals 729,914 contracts; the largest single line is the $700 put expiring Jan 15 with 40,619 (5.6% of the window).
By options volume SPY ranks #1 of 679 names in our universe.
Near-the-money options volume (39k) is 14% above its 5-session average.
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 | $744 | −0.30 | $6.40 Nov 11 | $640.00 | $74,400 | 0.86% | 10.5% | $737.60 | 543 | 107 |
| 0.20Δ | $731 | −0.20 | $4.31 Nov 11 | $431.00 | $73,100 | 0.59% | 7.2% | $726.69 | 31 | 28 |
Snapshot #9232 · session 2026-11-11 · captured 22:21 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 | $735 | −0.29 | $9.83 Nov 11 | $983.00 | $73,500 | 1.34% | 7.5% | $725.17 | 19,340 | 374 |
| 0.20Δ | $715 | −0.19 | $6.60 Nov 11 | $660.00 | $71,500 | 0.92% | 5.2% | $708.40 | 13,111 | 387 |
Snapshot #9232 · session 2026-11-11 · captured 22:21 UTC · 15-min delayed · yield = premium ÷ strike · annualized = yield × 365 ÷ 65
Covered calls on SPY
| Target | Strike | Δ | Last trade | Premium / contract | Yield on spot | Annualized | If called | If called, ann. | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $777 | 0.29 | $5.00 Nov 11 | $500.00 | 0.66% | 8.0% | 2.92% | 35.5% | 336 | 119 |
| 0.20Δ | $785 | 0.19 | $2.85 Nov 11 | $285.00 | 0.38% | 4.6% | 3.69% | 44.9% | 1,118 | 303 |
Snapshot #9232 · session 2026-11-11 · captured 22:21 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 | $785 | 0.31 | $7.73 Nov 11 | $773.00 | 1.02% | 5.7% | 4.33% | 24.3% | 9,245 | 2,262 |
| 0.20Δ | $795 | 0.22 | $4.76 Nov 11 | $476.00 | 0.63% | 3.5% | 5.26% | 29.5% | 11,661 | 1,701 |
Snapshot #9232 · session 2026-11-11 · captured 22:21 UTC · 15-min delayed · yield = premium ÷ spot · if called = (premium + strike − spot) ÷ spot · annualized × 365 ÷ 65
SPY volatility, dividends and liquidity
- Implied volatility (ATM, ≈30 days)
- 13.3%session 2026-11-11
- IV rank / IV percentile
- Unavailable1
- Next earnings
- Unavailable2
- Next ex-dividend
- None announcedchecked Nov 9, 2026
- Open interest, stored window
- 729,914 contractssession 2026-11-11
- Largest open-interest line
- $700 put · Jan 15 · 40,619
- Bid/ask spread
- Unavailable3
- Options liquidity rank
- #1 of 679 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 (34 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.