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% static yield on the $495 cash requirement over 14 days, annualizing to 110.1%, with the strike sitting 3.2% below spot — a buffer that must absorb any drawdown before assignment becomes the outcome. IV at 71.7% ranks in the 72nd percentile of the trailing one-year realized-vol distribution, meaning the market is pricing optionality above its historical median, which directionally favors premium sellers relative to recent norms. The primary risk is assignment: a move to or through $495 obligates purchase of 100 shares at an effective cost basis of approximately $474.10 ($495 minus the $20.90 premium), and AMD's beta and semiconductor sector sensitivity can produce intraday moves that compress that 3.2% buffer rapidly. Open interest of 193 contracts indicates thin liquidity at this strike, which could widen the bid-ask spread materially at exit; earnings are cleared (next print 2026-08-04, outside this expiry), removing that binary event risk, but macro catalysts — export controls, NVDA competitive updates, or broad risk-off — remain live over the 14-day window.

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 DTE

The $0.47 bid on a 14-day, ~3.5%-OTM put annualizes to 76.6% against the $16.00 strike, with IV at 55.3%—sitting at the 61st percentile of the trailing one-year realized-vol distribution, meaning options are pricing modestly above average historical movement and providing a slight structural edge to the short-vol seller. Open interest of 3,272 contracts indicates reasonable liquidity for entry and exit without excessive slippage. The earnings window clears this expiry cleanly, with the next print dated 2026-07-28, removing binary event risk from this specific tenor.

The primary risk is assignment: a close below $16.00 at expiry requires purchasing 100 shares per contract at that strike, resulting in a cost basis of $15.53 after premium—a drawdown scenario in a name that carries meaningful fintech/credit-cycle sensitivity and historically elevated realized volatility. IV at the 61st percentile is not extreme; a volatility expansion event (macro shock, sector rotation, credit-quality headlines) could mark the position against you before expiry even if assignment is ultimately avoided. Monitor the $15.50–$16.00 zone as a key technical support region; a decisive break there would materially change the risk profile of any ongoing or rolled position.

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 392.5 Put | Exp 2026-06-26 | 14 DTE

The $10.55 bid delivers a 2.60% cash yield on the $392.50 strike over 14 days, annualizing to 70.1% — compensation that reflects IV at the 77th percentile of its one-year realized-vol distribution, meaning the market is currently pricing volatility meaningfully above its recent historical norm and the premium is above-average on a relative basis. Earnings clears after expiry (next report 2026-07-22), removing event-vol risk from this specific window, which is a structural positive for a short-vol position. The primary risk is assignment: spot is ~3.5% above the strike, a cushion that TSLA can erase in a single session given its beta and news sensitivity; at 51.7% IV, realized moves of 4–6% in a single day are within historical base rates for this name. Open interest of 190 contracts is thin, which may widen the bid-ask at exit and complicate rolling if the position moves against you.

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 on a 14-day cycle produces an annualized premium yield of 40.9% against the $197.50 cash-secured strike, with the put sitting approximately 3.7% out-of-the-money relative to the $205.19 spot — a cushion that covers moderate near-term drawdowns before assignment pressure materializes. IV at 38.8% sits at the 75th percentile of the one-year realized-vol distribution, meaning the market is paying above-average premium for this tenor, which is structurally favorable for the seller. Earnings are confirmed clear of expiry (next print 2026-08-26), removing the most acute binary event risk from this specific cycle. The primary risks are rapid spot deterioration toward or below $197.50 — NVDA is a high-beta, macro-sensitive name and a 4% move in 14 days is well within historical range — and the possibility that IV mean-reverts sharply mid-cycle, reducing any mark-to-market flexibility; open interest of 430 contracts suggests adequate but not deep liquidity, so mid-trade exits may carry meaningful bid-ask slippage.

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 230 Put | 26-Jun-2026 | 14-Day Expiry

The $2.84 bid on the 230 strike translates to a 32.2% annualized premium yield with spot at $238.55, placing the short strike approximately 3.6% out-of-the-money — a spread that requires roughly a $10.39 intraday drawdown before the position moves into assignment territory at expiration. IV at 33.5% sits at the 75th percentile of the 1-year realized-vol distribution, meaning the market is pricing in elevated uncertainty relative to recent history, which is the source of the premium richness; sellers are being compensated above the long-run fair-value baseline. The primary risk is hard assignment if AMZN sells off sharply toward or through 230 before expiry, obligating purchase of 100 shares at an effective cost basis of $227.16 (strike minus premium); while the earnings event on 2026-07-30 clears the expiry window, any macro or sector shock in the 14-day window could rapidly compress that OTM cushion. Open interest of 1,143 contracts indicates adequate but not deep liquidity, so wide bid-ask spreads at entry or exit remain a secondary execution risk worth monitoring.

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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