ZS wheel: cash-secured put & covered-call yields
Zscaler, Inc. Common Stock · Technology · $198.36 close on Sep 29, 2026
What the Sep 29, 2026 close says about ZS
At 55.9% implied volatility, the options market is pricing a one-standard-deviation move of about $32.30 (16.3%) in ZS by Oct 30, 2026, 31 days out.
Selling the $185 put (−0.30Δ) for $7.30 means assignment would leave a cost basis of $177.70, 10.4% below the $198.36 close.
The 80-day 0.30Δ put pays 1.7× the premium of the 31-day one for 2.6× the time — more premium per day on the 31-day contract ($0.235 vs $0.151).
At 0.30Δ on the Oct 30 expiry the put yields 3.95% on its strike and the call 2.75% on spot: puts pay 1.4× what calls do on ZS this session.
Moving down to the $175 put (−0.19Δ) buys 5.0% more room below spot and keeps 57% of the 0.30Δ premium.
Open interest in the stored window totals 17,326 contracts; the largest single line is the $130 put expiring Dec 18 with 2,728 (15.7% of the window).
By options volume ZS ranks #154 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 ZS
| Target | Strike | Δ | Last trade | Premium / contract | Cash secured | Period yield | Annualized | Breakeven | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $185 | −0.30 | $7.30 Sep 29 | $730.00 | $18,500 | 3.95% | 46.5% | $177.70 | 22 | 5 |
| 0.20Δ | $175 | −0.19 | $4.15 Sep 29 | $415.00 | $17,500 | 2.37% | 27.9% | $170.85 | 48 | 2 |
Snapshot #302 · session 2026-09-29 · captured 22:00 UTC · 15-min delayed · yield = premium ÷ strike · annualized = yield × 365 ÷ 31
| Target | Strike | Δ | Last trade | Premium / contract | Cash secured | Period yield | Annualized | Breakeven | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $175 | −0.28 | $12.10 Sep 29 | $1,210.00 | $17,500 | 6.91% | 31.5% | $162.90 | 325 | 2 |
| 0.20Δ | $165 | −0.21 | $8.38 Sep 29 | $838.00 | $16,500 | 5.08% | 23.2% | $156.62 | 167 | 6 |
Snapshot #302 · session 2026-09-29 · captured 22:00 UTC · 15-min delayed · yield = premium ÷ strike · annualized = yield × 365 ÷ 80
Covered calls on ZS
| Target | Strike | Δ | Last trade | Premium / contract | Yield on spot | Annualized | If called | If called, ann. | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $220 | 0.29 | $5.45 Sep 29 | $545.00 | 2.75% | 32.4% | 13.66% | 160.8% | 155 | 7 |
| 0.20Δ | $230 | 0.20 | $3.95 Sep 29 | $395.00 | 1.99% | 23.4% | 17.95% | 211.3% | 112 | 2 |
Snapshot #302 · session 2026-09-29 · captured 22:00 UTC · 15-min delayed · yield = premium ÷ spot · if called = (premium + strike − spot) ÷ spot · annualized × 365 ÷ 31
| Target | Strike | Δ | Last trade | Premium / contract | Yield on spot | Annualized | If called | If called, ann. | OI | Volume |
|---|---|---|---|---|---|---|---|---|---|---|
| 0.30Δ | $240 | 0.32 | $10.70 Sep 29 | $1,070.00 | 5.39% | 24.6% | 26.39% | 120.4% | 368 | 3 |
| 0.20Δ | Unavailable1 | |||||||||
Snapshot #302 · session 2026-09-29 · captured 22:00 UTC · 15-min delayed · yield = premium ÷ spot · if called = (premium + strike − spot) ÷ spot · annualized × 365 ÷ 80
ZS volatility, dividends and liquidity
- Implied volatility (ATM, ≈30 days)
- 55.9%session 2026-09-29
- IV rank / IV percentile
- Unavailable2
- Next earnings
- Unavailable3
- Next ex-dividend
- None announcedchecked Sep 29, 2026
- Open interest, stored window
- 17,326 contractssession 2026-09-29
- Largest open-interest line
- $130 put · Dec 18 · 2,728
- Bid/ask spread
- Unavailable4
- Options liquidity rank
- #154 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 0.20Δ 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.