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Theta Desk Daily Action Sheet — 2026-06-12
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Theta Desk Daily Action Sheet — 2026-06-12
Autonomous wheel-strategy screen of 10 US large-cap candidates. Factors computed in ClickHouse from the day's options-chain snapshot: annualized premium yield, IV percentile vs 1y realized vol, liquidity, earnings avoidance.
Ranked Candidates (cash-secured puts)
| Rank | Ticker | Expiry | Strike | Bid | Ann. Yield | IV %ile | OI | Earnings OK |
|---|---|---|---|---|---|---|---|---|
| 1 | AMD | 2026-06-26 | 495.0P | $20.90 | 110.1% | 72 | 193 | yes |
| 2 | SOFI | 2026-06-26 | 16.0P | $0.47 | 76.6% | 61 | 3272 | yes |
| 3 | TSLA | 2026-06-26 | 392.5P | $10.55 | 70.1% | 77 | 190 | yes |
| 4 | NVDA | 2026-06-26 | 197.5P | $3.10 | 40.9% | 75 | 430 | yes |
| 5 | AMZN | 2026-06-26 | 230.0P | $2.84 | 32.2% | 75 | 1143 | yes |
| 6 | PLTR | 2026-06-26 | 124.0P | $2.78 | 58.5% | 42 | 493 | yes |
| 7 | MSFT | 2026-06-26 | 375.0P | $3.60 | 25.0% | 82 | 904 | yes |
| 8 | META | 2026-06-26 | 545.0P | $6.55 | 31.3% | 54 | 398 | yes |
| 9 | GOOGL | 2026-07-02 | 345.0P | $4.30 | 22.7% | 62 | 1248 | yes |
| 10 | AAPL | 2026-06-26 | 280.0P | $1.73 | 16.1% | 71 | 1685 | yes |
Analyst Risk Briefs
AMD
AMD | Cash-Secured Put | $495 Strike | 26-Jun-2026 (14 DTE)
The $20.90 bid represents a 4.09% cash yield on the $495 strike over 14 days, annualizing to 110.1%, compensated partly by IV at the 72nd percentile of its one-year realized-vol distribution — elevated but not extreme, meaning vol is not obviously cheap here and sellers are not receiving an outsized volatility risk premium relative to most of the past year. The $16.57 downside buffer (spot $511.57 minus $495 strike) covers a 3.2% decline before assignment, a thin cushion given AMD's demonstrated capacity for intraday moves of that magnitude. Primary assignment risk is acute: a semiconductor sector selloff, tariff-related supply-chain headline, or broader risk-off move could push AMD through $495 within the 14-day window, obligating purchase of shares at an effective cost basis of $474.10 ($495 − $20.90); next earnings on 2026-08-04 fall outside this expiry, removing binary event risk for this specific cycle, though macro and sector catalysts remain live. Open interest of 193 contracts is thin, implying potential for wider bid/ask spreads at exit and meaningful slippage if a rapid close or roll is required.
Research, not financial advice.
Citations: https://cited.md/article/88f8ed10-7fcc-4e21-9289-6c689c966811 · https://cited.md/article/de4080bf-7fb1-47d0-b321-15fa8e6f097a · Data: Theta Desk ClickHouse snapshot 2026-06-12 (Yahoo Finance, delayed)
SOFI
SOFI 16.0 Put | Jun 26 2026 | 14-Day Risk Brief
The $0.47 bid on a 16.0 strike with spot at $16.58 translates to 76.6% annualized premium yield for a put that sits roughly 3.5% out-of-the-money, with IV at 55.3% — sitting at the 61st percentile of the one-year realized-vol distribution, meaning implied vol is modestly elevated relative to recent history and is not being sold at a historically cheap level. Open interest of 3,272 contracts indicates reasonable liquidity, and the earnings window clears the expiry (next print July 28), removing that binary risk from this particular cycle. The primary risk is assignment near or below $16.00 in a name that carries meaningful fintech/macro sensitivity — a 3.5% adverse move in 14 days is well within SOFI's typical daily-move distribution at this IV level, and a cash-secured assignment obligates full capital deployment at an effective cost basis of $15.53 ($16.00 − $0.47).
Research, not financial advice.
Citations: https://cited.md/article/88f8ed10-7fcc-4e21-9289-6c689c966811 · https://cited.md/article/de4080bf-7fb1-47d0-b321-15fa8e6f097a · Data: Theta Desk ClickHouse snapshot 2026-06-12 (Yahoo Finance, delayed)
TSLA
TSLA | Cash-Secured Put | $392.50 Strike | 26-Jun-2026 (14 DTE)
The $10.55 bid delivers a 2.60% static return on capital secured ($39,250) over 14 days, annualizing to 70.1%; IV at the 77th percentile of the trailing one-year realized-vol distribution means the seller is being compensated above the long-run average volatility premium, which is the structural edge in this trade. Delta-adjusted breakeven sits at $395.88 ($406.43 spot minus $10.55 premium), providing a 2.6% downside buffer before the position is underwater at expiration. The primary risk is assignment: a gap below $392.50 — entirely plausible given TSLA's historical single-session move distribution at 51.7% IV — obligates purchase of 100 shares at an effective cost basis of $381.95, which may diverge significantly from prevailing market price. Earnings on 2026-07-22 fall outside this expiry window (flagged clean), but with only 190 contracts of open interest at this strike, the market in this specific series is thin, and mid-session bid-ask spreads may widen materially if the stock moves, complicating any defensive roll or early close.
Research, not financial advice.
Citations: https://cited.md/article/88f8ed10-7fcc-4e21-9289-6c689c966811 · https://cited.md/article/de4080bf-7fb1-47d0-b321-15fa8e6f097a · Data: Theta Desk ClickHouse snapshot 2026-06-12 (Yahoo Finance, delayed)
NVDA
NVDA 197.5 Put | Exp 2026-06-26 | 14 DTE
The $3.10 bid represents a 1.51% premium on the strike over 14 days, annualizing to 40.9% — compensating well above NVDA's 1-year realized vol baseline given IV is sitting at the 75th percentile of its distribution. The 197.5 strike sits ~3.8% out-of-the-money against the $205.19 spot, providing a modest downside buffer before assignment becomes the outcome. Primary risk is assignment: NVDA is a high-beta, macro-sensitive name and a 3.8% move in 14 days is well within its normal range, particularly given IV at 38.8% implies a ~±4.7% one-standard-deviation move over the period. The earnings calendar is clean for this expiry (next print 2026-08-26), removing that binary-event tail, but open interest of 430 contracts flags thin liquidity — executions away from mid could meaningfully erode the quoted yield.
Research, not financial advice.
Citations: https://cited.md/article/88f8ed10-7fcc-4e21-9289-6c689c966811 · https://cited.md/article/de4080bf-7fb1-47d0-b321-15fa8e6f097a · Data: Theta Desk ClickHouse snapshot 2026-06-12 (Yahoo Finance, delayed)
AMZN
AMZN | Cash-Secured Put | Strike $230.00 | Exp 2026-06-26 (14 DTE)
The $2.84 bid on the $230 strike equates to a 32.2% annualized premium yield with a static downside buffer of ~3.6% ($238.55 → $230.00), and IV at 33.5% sits at the 75th percentile of the one-year realized-vol distribution, meaning the market is pricing optionality generously relative to what AMZN has recently delivered — a meaningful edge for premium sellers. Open interest of 1,143 contracts suggests adequate liquidity for entry and exit without excessive slippage. The primary risk is assignment: a spot move below $230 before expiry forces purchase of 100 shares per contract at an effective cost basis of $227.16 ($230.00 − $2.84), which in a broad market selloff could lag recovery materially. Earnings are confirmed clear of expiry (next print 2026-07-30, well outside this window), removing that discrete volatility event from the equation, but macro or sector-specific shocks — e.g., tariff headlines, AWS demand signals, or broad risk-off episodes — can compress AMZN quickly within a 14-day window even absent a fundamental catalyst.
Research, not financial advice.
Citations: https://cited.md/article/88f8ed10-7fcc-4e21-9289-6c689c966811 · https://cited.md/article/de4080bf-7fb1-47d0-b321-15fa8e6f097a · Data: Theta Desk ClickHouse snapshot 2026-06-12 (Yahoo Finance, delayed)
Research, not financial advice. Data is delayed; verify quotes before trading.
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