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Theta Desk Daily Action Sheet — 2026-06-19
7 min read
Theta Desk Daily Action Sheet — 2026-06-19
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 | SOFI | 2026-07-17 | 17.0P | $0.69 | 52.9% | 95 | 12855 | yes |
| 2 | AMD | 2026-07-10 | 520.0P | $26.05 | 87.1% | 87 | 196 | yes |
| 3 | PLTR | 2026-07-10 | 124.0P | $3.45 | 48.4% | 86 | 300 | yes |
| 4 | TSLA | 2026-07-10 | 385.0P | $8.95 | 40.4% | 90 | 706 | yes |
| 5 | NVDA | 2026-07-17 | 200.0P | $4.00 | 26.1% | 98 | 104471 | yes |
| 6 | META | 2026-07-10 | 555.0P | $8.60 | 26.9% | 78 | 664 | yes |
| 7 | GOOGL | 2026-07-10 | 355.0P | $5.05 | 24.7% | 88 | 1332 | yes |
| 8 | AMZN | 2026-07-10 | 235.0P | $3.20 | 23.7% | 91 | 821 | yes |
| 9 | MSFT | 2026-07-31 | 365.0P | $10.85 | 25.8% | 96 | 440 | NO — earnings before expiry |
| 10 | AAPL | 2026-07-31 | 285.0P | $4.45 | 13.6% | 97 | 104 | NO — earnings before expiry |
Analyst Risk Briefs
SOFI
SOFI 17.0 Put | Exp 2026-07-17 | 28 Days
The $0.69 bid represents a 52.9% annualized premium yield on a $17.00 strike sitting 5.1% below spot, compensating sellers meaningfully for the downside buffer provided. IV at 55.9% sits at the 95th percentile of the one-year realized-vol distribution, meaning the market is pricing options rich relative to recent history — a favorable environment for premium collection. The primary structural risk here is IV-crush reversal: at the 95th percentile, any mean-reversion in implied volatility compresses the mark-to-market value of the short put favorably on close, but a sharp drawdown in SOFI shares toward or through $17.00 creates assignment exposure at a cost basis of approximately $16.31 (strike minus premium). Critically, earnings are confirmed outside this expiry (2026-07-28 vs. expiry 2026-07-17), removing the binary event risk that would otherwise dominate this position — though traders should note that pre-earnings price drift or macro sector moves can still pressure the stock within the 28-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 2026-06-19 (Yahoo Finance, delayed)
AMD
AMD $120 CSP · Strike $120 · 21 DTE · Exp 2026-07-10
Theta Desk Risk Brief
The $26.05 bid on this 21-day put represents an annualized premium yield of 87.1% against the $120 strike, with the spot at $136.99 providing approximately 3.2% of downside buffer before assignment; at current IV of 68.5% (87th percentile vs. the trailing one-year realized-vol distribution), the market is pricing meaningful fear into the contract, which is where seller edge typically concentrates. The primary risk is assignment: a gap below $120 would leave the seller long AMD shares at an effective cost basis of roughly $93.95 ($120 strike minus $26.05 premium), in a name with beta sensitivity to semiconductor cycle news and AI-spending sentiment shifts. IV at the 87th percentile cuts both ways — premium is elevated precisely because the market anticipates volatility, meaning realized moves could validate that pricing; additionally, open interest of 196 contracts signals a relatively thin market, so mid-market fills may be difficult to achieve and bid/ask slippage should be factored into any yield calculation. Earnings on 2026-08-04 fall outside this expiry, which removes the binary event risk from this specific structure, but macro catalysts (export controls, NVDA competitive updates, broader risk-off) remain live threats within the 21-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 2026-06-19 (Yahoo Finance, delayed)
PLTR
PLTR 124.0 Put | Exp 2026-07-10 | 21 DTE
The $3.45 bid represents a 2.69% premium on the $128.47 spot over 21 days, annualizing to 48.4% — a yield that compensates meaningfully relative to the underlying's realized volatility, with IV at the 86th percentile of its one-year distribution indicating sellers are being paid an above-average vol risk premium. The earnings window is clean: next report is 2026-08-03, so this expiry avoids the binary event entirely, removing the most common source of gap-down assignment risk for short-dated puts. Primary risk is assignment at $124.00 on a spot decline of 3.5% or more ($4.47 of buffer including premium), a move well within PLTR's ordinary daily range given 46.6% IV — elevated IV is attractive for premium sellers but simultaneously signals the market prices a non-trivial probability of exactly that drawdown. Open interest of 300 contracts is thin; limit orders are advisable, as market orders at this liquidity level may execute materially away from the $3.45 bid.
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 2026-06-19 (Yahoo Finance, delayed)
TSLA
TSLA 385 Put | Exp 2026-07-10 | Theta Desk Risk Brief
The $8.95 bid delivers a 40.4% annualized premium yield on a strike sitting 3.9% below spot ($400.49), compensating sellers meaningfully for a 21-day holding period. IV at 40.8% represents the 90th percentile of the one-year realized-vol distribution, meaning the market is pricing uncertainty at an elevated level relative to recent history — a favorable environment for premium sellers when the vol risk premium holds. Open interest of 706 contracts indicates adequate but not deep liquidity, so fill quality at the bid should be verified before entry. The primary risk is assignment at $385 if TSLA sells off sharply; effective cost basis on assignment would be $376.05 ($385 − $8.95), and with TSLA's historical single-week move distribution, a 3.9% drawdown in 21 days is well within normal range — note also that next earnings (2026-07-22) fall outside this expiry, removing event-vol bleed risk for this specific contract, though any pre-announcement volatility compression could erode the premium if the position is exited early.
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 2026-06-19 (Yahoo Finance, delayed)
NVDA
NVDA | Cash-Secured Put | $200 Strike | 17 Jul 2026 (28 DTE)
The $4.00 bid represents a 2.0% cash yield on the $200 strike over 28 days (annualized ~26.1%), collected with spot at $210.33, providing approximately 4.9% of downside buffer before assignment. IV at 36.8% sits at the 98th percentile of the one-year realized-vol distribution, meaning the market is pricing fear well above recent realized movement — historically a condition where short-vol strategies collect elevated premiums relative to subsequent realized moves. Open interest of 104,471 contracts confirms deep liquidity at this strike, supporting efficient fill execution without material slippage. The primary risks are: (1) assignment risk if NVDA drops through $200 — a 5% decline from spot — obligating purchase of shares at an effective cost basis of $196.00 ($200 strike minus $4.00 premium); (2) IV-crush risk in reverse — at the 98th IV percentile, any volatility expansion would widen losses on a marked-to-market basis if the position needs to be closed early; and (3) while next earnings (2026-08-26) fall outside this expiry, macro or sector catalysts (export controls, hyperscaler capex guidance, GPU demand data) can move NVDA sharply within the 28-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 2026-06-19 (Yahoo Finance, delayed)
Research, not financial advice. Data is delayed; verify quotes before trading.
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