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Theta Desk Daily Action Sheet — 2026-06-12
7 min read
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 | $95 Strike | 14 DTE (2026-06-26)
The $20.90 bid on a $95 strike represents an annualized premium yield of 110.1%, with the strike sitting ~3.2% below spot ($511.57), providing a modest downside buffer before assignment. IV at 71.7% ranks at the 72nd percentile of the trailing one-year realized-volatility distribution, meaning the market is pricing optionality at an elevated — though not extreme — level relative to recent history, which modestly favors the premium seller on a vol-mean-reversion basis. The primary risk is assignment: a move below $95 at expiry requires the seller to take on 100 shares of AMD at an effective cost basis of ~$74.10 ($95 − $20.90), implying a meaningful unrealized loss if the stock continues declining. With earnings not until 2026-08-04, there is no binary event risk within this expiry window, but AMD carries persistent single-stock tail risk tied to semiconductor cycle sentiment, AI capex narratives, and macro rate moves, all of which can reprice IV sharply and move the underlying well beyond the buffer in a 14-day window; open interest of 193 contracts also signals limited liquidity, which may widen spreads on any defensive roll.
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 | Exp 2026-06-26 | 14 DTE
The $0.47 bid on a 14-day, 2.8%-OTM put translates to a 76.6% annualized premium yield, compensating well for the short duration and reflecting IV at the 61st percentile of its one-year realized-vol distribution — elevated enough to offer meaningful edge without being a distressed-vol outlier. Earnings are cleared for this expiry window (next print 2026-07-28), removing the most acute binary event risk from the trade. The primary risk is assignment at $16.00 effective cost basis of $15.53 (net of premium) if SOFI sells off into expiration, a fintech name that carries meaningful sensitivity to rate expectations, credit cycle headlines, and regulatory developments in its bank-charter business. Open interest of 3,272 contracts indicates reasonable market depth, but at IV 55.3%, realized moves can be sharp — a single adverse macro session could push spot through the strike intraday.
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 CSP Risk Brief — Strike 392.5 | Exp 2026-06-26 | Snapshot Date implied ~2026-06-12
The $10.55 bid on a 14-day, 3.4%-OTM put translates to a 70.1% annualized premium yield, with IV at the 77th percentile of the trailing one-year realized-vol distribution — meaning the market is pricing uncertainty materially above recent realized levels, which is the structural basis for the premium appearing rich on a theta-per-day basis. Breakeven at assignment sits at $381.95 (392.50 − 10.55), approximately 6.0% below spot, providing a modest cushion but one that TSLA has historically consumed in a single session during high-volatility episodes. The primary risk is gap-down assignment: TSLA's realized daily moves frequently exceed 3–5%, and at IV 51.7% the market is already telegraphing elevated jump risk, so the OTM buffer should not be treated as structural protection. Open interest of 190 contracts is thin, which may widen the bid-ask on any defensive roll attempt; next earnings (2026-07-22) clears the expiry, but macro or model-delivery newsflow within the 14-day window remains a live catalyst risk.
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 | Cash-Secured Put | $197.50 Strike | 14-Day Expiry (2026-06-26)
The $3.10 bid represents a 1.51% return on capital in 14 days, annualizing to 40.9%, collected at an IV of 38.8% — sitting at the 75th percentile of the 1-year realized-vol distribution, meaning the market is pricing volatility above most historical observations and sellers are receiving above-average premium relative to recent realized moves. The $197.50 strike sits approximately 3.7% below spot ($205.19), providing a modest downside cushion before assignment triggers; however, given NVDA's demonstrated capacity for rapid 5–10%+ single-session moves, that buffer can erode quickly, and assignment risk at a $197.50 cost basis remains material if sentiment shifts on AI-sector positioning or macro risk-off episodes. No earnings event contaminates this expiry window — next report is flagged for 2026-08-26, well clear of June 26 — removing the most acute gap-risk catalyst, though sector newsflow, export-control headlines, and broader semiconductor tape risk remain live. Open interest of 430 contracts is moderate; position entry and exit at the bid/mid should be executable without significant market impact, but liquidity should be confirmed at time of order placement.
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 | $230 Strike | 2026-06-26 (14 DTE)
The $2.84 bid on a 14-day, ~3.6% out-of-the-money put translates to a 32.2% annualized premium yield, compensating sellers at a rate meaningfully above recent realized volatility given that current IV of 33.5% sits at the 75th percentile of the one-year realized-vol distribution — a modest but real edge for premium sellers. Open interest of 1,143 contracts indicates reasonable liquidity, and with next earnings dated 2026-07-30, this expiry is clean of event risk. The primary risk is assignment at $230.00: a spot decline of roughly 3.6% from $238.55 forces purchase of shares at an effective cost basis of $227.16 ($230 minus the $2.84 premium collected), which could represent a material unrealized loss if the stock continues lower. Additionally, IV at the 75th percentile — while elevated — is not extreme, meaning a volatility expansion on macro or sector news could widen the mark-to-market loss on the position before expiry.
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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