VXX wheel: cash-secured put & covered-call yields
iPath Series B S&P 500 VIX Short-Term Futures ETN · ETFs · $17.79 close on Oct 19, 2026
What the Oct 19, 2026 close says about VXX
At 70.5% implied volatility, the options market is pricing a one-standard-deviation move of about $3.71 (20.9%) in VXX by Nov 20, 2026, 32 days out.
Selling the $16.50 put (−0.31Δ) for $0.71 means assignment would leave a cost basis of $15.79, 11.2% below the $17.79 close.
At 0.30Δ on the Nov 20 expiry the put yields 4.30% on its strike and the call 4.33% on spot: puts and calls pay within 10% of each other on VXX this session.
Moving down to the $16 put (−0.25Δ) buys 2.8% more room below spot and keeps 77% of the 0.30Δ premium.
Open interest in the stored window totals 50,294 contracts; the largest single line is the $15 put expiring Nov 20 with 16,754 (33.3% of the window).
By options volume VXX ranks #219 of 608 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 VXX
| Target | Strike | Δ | Last trade | Premium / contract | Cash secured | Period yield | Annualized | Breakeven | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $16.50 | −0.31 | $0.71 Oct 19 | $71.00 | $1,650 | 4.30% | 49.1% | $15.79 | 0 | 10 |
| 0.20Δ | $16 | −0.25 | $0.55 Oct 19 | $55.00 | $1,600 | 3.44% | 39.2% | $15.45 | 1,841 | 206 |
Snapshot #4418 · session 2026-10-19 · captured 22:41 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 | $15 | −0.21 | $0.57 Oct 19 | $57.00 | $1,500 | 3.80% | 23.1% | $14.43 | 2,853 | 70 |
Snapshot #4418 · session 2026-10-19 · captured 22:41 UTC · 15-min delayed · yield = premium ÷ strike · annualized = yield × 365 ÷ 60
Covered calls on VXX
| Target | Strike | Δ | Last trade | Premium / contract | Yield on spot | Annualized | If called | If called, ann. | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $21 | 0.31 | $0.77 Oct 19 | $77.00 | 4.33% | 49.4% | 22.37% | 255.2% | 630 | 82 |
| 0.20Δ | $23 | 0.22 | $0.59 Oct 19 | $59.00 | 3.32% | 37.8% | 32.60% | 371.9% | 2,554 | 132 |
Snapshot #4418 · session 2026-10-19 · captured 22:41 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 | $23 | 0.31 | $1.07 Oct 19 | $107.00 | 6.01% | 36.6% | 35.30% | 214.7% | 317 | 19 |
| 0.20Δ | Unavailable2 | |||||||||
Snapshot #4418 · session 2026-10-19 · captured 22:41 UTC · 15-min delayed · yield = premium ÷ spot · if called = (premium + strike − spot) ÷ spot · annualized × 365 ÷ 60
VXX volatility, dividends and liquidity
- Implied volatility (ATM, ≈30 days)
- 70.5%session 2026-10-19
- IV rank / IV percentile
- Unavailable3
- Next earnings
- Unavailable4
- Next ex-dividend
- None announcedchecked Oct 19, 2026
- Open interest, stored window
- 50,294 contractssession 2026-10-19
- Largest open-interest line
- $15 put · Nov 20 · 16,754
- Bid/ask spread
- Unavailable5
- Options liquidity rank
- #219 of 608 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.