VNQ wheel: cash-secured put & covered-call yields
Vanguard Real Estate ETF · ETFs · $89.63 close on Sep 30, 2026
What the Sep 30, 2026 close says about VNQ
At 13.0% implied volatility, the options market is pricing a one-standard-deviation move of about $4.35 (4.9%) in VNQ by Nov 20, 2026, 51 days out.
Selling the $87 put (−0.27Δ) for $0.80 means assignment would leave a cost basis of $86.20, 3.8% below the $89.63 close.
The 79-day 0.30Δ put pays 1.0× the premium of the 51-day one for 1.5× the time — more premium per day on the 51-day contract ($0.016 vs $0.010).
At 0.30Δ on the Nov 20 expiry the put yields 0.92% on its strike and the call 1.12% on spot: calls pay 1.2× what puts do on VNQ this session.
Moving down to the $86 put (−0.22Δ) buys 1.1% more room below spot and keeps 81% of the 0.30Δ premium.
Open interest in the stored window totals 3,425 contracts; the largest single line is the $100 call expiring Dec 18 with 959 (28.0% of the window).
By options volume VNQ ranks #240 of 441 names in our universe.
Near-the-money options volume (167) is 26% below its 2-session average.
The builder re-quotes every leg from the live chain when it opens; tracking is free to start.
Cash-secured puts on VNQ
| Target | Strike | Δ | Last trade | Premium / contract | Cash secured | Period yield | Annualized | Breakeven | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $87 | −0.27 | $0.80 Sep 30 | $80.00 | $8,700 | 0.92% | 6.6% | $86.20 | 2 | 1 |
| 0.20Δ | $86 | −0.22 | $0.65 Sep 30 | $65.00 | $8,600 | 0.76% | 5.4% | $85.35 | 1 | 5 |
Snapshot #777 · session 2026-09-30 · captured 22:21 UTC · 15-min delayed · yield = premium ÷ strike · annualized = yield × 365 ÷ 51
| Target | Strike | Δ | Last trade | Premium / contract | Cash secured | Period yield | Annualized | Breakeven | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $86 | −0.25 | $0.79 Sep 30 | $79.00 | $8,600 | 0.92% | 4.2% | $85.21 | 23 | 1 |
| 0.20Δ | $84 | −0.16 | $0.50 Sep 30 | $50.00 | $8,400 | 0.60% | 2.8% | $83.50 | 7 | 1 |
Snapshot #777 · session 2026-09-30 · captured 22:21 UTC · 15-min delayed · yield = premium ÷ strike · annualized = yield × 365 ÷ 79
Covered calls on VNQ
| Target | Strike | Δ | Last trade | Premium / contract | Yield on spot | Annualized | If called | If called, ann. | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $93 | 0.29 | $1.00 Sep 30 | $100.00 | 1.12% | 8.0% | 4.88% | 34.9% | 112 | 1 |
| 0.20Δ | $94 | 0.22 | $0.65 Sep 30 | $65.00 | 0.73% | 5.2% | 5.60% | 40.1% | 130 | 3 |
Snapshot #777 · session 2026-09-30 · captured 22:21 UTC · 15-min delayed · yield = premium ÷ spot · if called = (premium + strike − spot) ÷ spot · annualized × 365 ÷ 51
| Target | Strike | Δ | Last trade | Premium / contract | Yield on spot | Annualized | If called | If called, ann. | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $94 | 0.28 | $1.12 Sep 30 | $112.00 | 1.25% | 5.8% | 6.13% | 28.3% | 7 | 5 |
| 0.20Δ | $96 | 0.19 | $0.70 Sep 30 | $70.00 | 0.78% | 3.6% | 7.89% | 36.4% | 49 | 1 |
Snapshot #777 · session 2026-09-30 · captured 22:21 UTC · 15-min delayed · yield = premium ÷ spot · if called = (premium + strike − spot) ÷ spot · annualized × 365 ÷ 79
VNQ volatility, dividends and liquidity
- Implied volatility (ATM, ≈30 days)
- 13.0%session 2026-09-30
- IV rank / IV percentile
- Unavailable1
- Next earnings
- Unavailable2
- Next ex-dividend
- None announcedchecked Sep 28, 2026
- Open interest, stored window
- 3,425 contractssession 2026-09-30
- Largest open-interest line
- $100 call · Dec 18 · 959
- Bid/ask spread
- Unavailable3
- Options liquidity rank
- #240 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 (3 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.