UPRO wheel: cash-secured put & covered-call yields
ProShares UltraPro S&P 500 · ETFs · $148.75 close on Sep 28, 2026
What the Sep 28, 2026 close says about UPRO
At 44.1% implied volatility, the options market is pricing a one-standard-deviation move of about $19.41 (13.0%) in UPRO by Oct 30, 2026, 32 days out.
Selling the $140 put (−0.29Δ) for $3.90 means assignment would leave a cost basis of $136.10, 8.5% below the $148.75 close.
At 0.30Δ on the Oct 30 expiry the put yields 2.79% on its strike and the call 1.86% on spot: puts pay 1.5× what calls do on UPRO this session.
Moving down to the $136 put (−0.23Δ) buys 2.7% more room below spot and keeps 74% of the 0.30Δ premium.
Open interest in the stored window totals 6,586 contracts; the largest single line is the $135 put expiring Oct 30 with 880 (13.4% of the window).
By options volume UPRO ranks #186 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 UPRO
| Target | Strike | Δ | Last trade | Premium / contract | Cash secured | Period yield | Annualized | Breakeven | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $140 | −0.29 | $3.90 Sep 28 | $390.00 | $14,000 | 2.79% | 31.8% | $136.10 | 296 | 4 |
| 0.20Δ | $136 | −0.23 | $2.89 Sep 28 | $289.00 | $13,600 | 2.13% | 24.2% | $133.11 | 3 | 7 |
Snapshot #265 · session 2026-09-28 · captured 22:42 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 | Unavailable1 | |||||||||
| 0.20Δ | $125 | −0.20 | $4.50 Sep 28 | $450.00 | $12,500 | 3.60% | 16.2% | $120.50 | 104 | 10 |
Snapshot #265 · session 2026-09-28 · captured 22:42 UTC · 15-min delayed · yield = premium ÷ strike · annualized = yield × 365 ÷ 81
Covered calls on UPRO
| Target | Strike | Δ | Last trade | Premium / contract | Yield on spot | Annualized | If called | If called, ann. | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $160 | 0.28 | $2.77 Sep 28 | $277.00 | 1.86% | 21.2% | 9.43% | 107.5% | 76 | 1 |
| 0.20Δ | $165 | 0.19 | $1.50 Sep 28 | $150.00 | 1.01% | 11.5% | 11.93% | 136.1% | 24 | 62 |
Snapshot #265 · session 2026-09-28 · captured 22:42 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 | $165 | 0.32 | $5.02 Sep 28 | $502.00 | 3.37% | 15.2% | 14.30% | 64.4% | 170 | 356 |
| 0.20Δ | Unavailable2 | |||||||||
Snapshot #265 · session 2026-09-28 · captured 22:42 UTC · 15-min delayed · yield = premium ÷ spot · if called = (premium + strike − spot) ÷ spot · annualized × 365 ÷ 81
UPRO volatility, dividends and liquidity
- Implied volatility (ATM, ≈30 days)
- 44.1%session 2026-09-28
- IV rank / IV percentile
- Unavailable3
- Next earnings
- Unavailable4
- Next ex-dividend
- None announcedchecked Sep 28, 2026
- Open interest, stored window
- 6,586 contractssession 2026-09-28
- Largest open-interest line
- $135 put · Oct 30 · 880
- Bid/ask spread
- Unavailable5
- Options liquidity rank
- #186 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 0.30Δ traded this session
- 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.