VRTX wheel: cash-secured put & covered-call yields
Vertex Pharmaceuticals Inc · Healthcare · $506.74 close on Oct 1, 2026
What the Oct 1, 2026 close says about VRTX
At 31.9% implied volatility, the options market is pricing a one-standard-deviation move of about $50.84 (10.0%) in VRTX by Nov 6, 2026, 36 days out.
Selling the $485 put (−0.31Δ) for $10.80 means assignment would leave a cost basis of $474.20, 6.4% below the $506.74 close.
The 78-day 0.30Δ put pays 1.1× the premium of the 36-day one for 2.2× the time — more premium per day on the 36-day contract ($0.300 vs $0.157).
At 0.30Δ on the Nov 6 expiry the put yields 2.23% on its strike and the call 1.96% on spot: puts pay 1.1× what calls do on VRTX this session.
Moving down to the $465 put (−0.19Δ) buys 3.9% more room below spot and keeps 53% of the 0.30Δ premium.
Open interest in the stored window totals 2,866 contracts; the largest single line is the $600 call expiring Dec 18 with 474 (16.5% of the window).
By options volume VRTX ranks #120 of 441 names in our universe.
Near-the-money options volume (61) is 84% below its 3-session average.
The builder re-quotes every leg from the live chain when it opens; tracking is free to start.
Cash-secured puts on VRTX
| Target | Strike | Δ | Last trade | Premium / contract | Cash secured | Period yield | Annualized | Breakeven | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $485 | −0.31 | $10.80 Oct 1 | $1,080.00 | $48,500 | 2.23% | 22.6% | $474.20 | 4 | 2 |
| 0.20Δ | $465 | −0.19 | $5.72 Oct 1 | $572.00 | $46,500 | 1.23% | 12.5% | $459.28 | 1 | 2 |
Snapshot #1030 · session 2026-10-01 · captured 22:21 UTC · 15-min delayed · yield = premium ÷ strike · annualized = yield × 365 ÷ 36
| Target | Strike | Δ | Last trade | Premium / contract | Cash secured | Period yield | Annualized | Breakeven | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $470 | −0.26 | $12.26 Oct 1 | $1,226.00 | $47,000 | 2.61% | 12.2% | $457.74 | 62 | 1 |
| 0.20Δ | $460 | −0.21 | $10.30 Oct 1 | $1,030.00 | $46,000 | 2.24% | 10.5% | $449.70 | 89 | 2 |
Snapshot #1030 · session 2026-10-01 · captured 22:21 UTC · 15-min delayed · yield = premium ÷ strike · annualized = yield × 365 ÷ 78
Covered calls on VRTX
| Target | Strike | Δ | Last trade | Premium / contract | Yield on spot | Annualized | If called | If called, ann. | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $540 | 0.30 | $9.92 Oct 1 | $992.00 | 1.96% | 19.8% | 8.52% | 86.4% | 1 | 1 |
| 0.20Δ | $560 | 0.19 | $5.35 Oct 1 | $535.00 | 1.06% | 10.7% | 11.57% | 117.3% | 0 | 4 |
Snapshot #1030 · session 2026-10-01 · captured 22:21 UTC · 15-min delayed · yield = premium ÷ spot · if called = (premium + strike − spot) ÷ spot · annualized × 365 ÷ 36
| Target | Strike | Δ | Last trade | Premium / contract | Yield on spot | Annualized | If called | If called, ann. | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | Unavailable1 | |||||||||
| 0.20Δ | $580 | 0.22 | $8.40 Oct 1 | $840.00 | 1.66% | 7.8% | 16.11% | 75.4% | 148 | 2 |
Snapshot #1030 · session 2026-10-01 · captured 22:21 UTC · 15-min delayed · yield = premium ÷ spot · if called = (premium + strike − spot) ÷ spot · annualized × 365 ÷ 78
VRTX volatility, dividends and liquidity
- Implied volatility (ATM, ≈30 days)
- 31.9%session 2026-10-01
- IV rank / IV percentile
- Unavailable2
- Next earnings
- Unavailable3
- Next ex-dividend
- None announcedchecked Sep 28, 2026
- Open interest, stored window
- 2,866 contractssession 2026-10-01
- Largest open-interest line
- $600 call · Dec 18 · 474
- Bid/ask spread
- Unavailable4
- Options liquidity rank
- #120 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
- We are building our own daily implied-volatility history (4 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.