CI Covered Call Strategy
CI (Cigna Corporation), in the Healthcare sector, (Medical - Healthcare Plans industry), listed on NYSE.
The Cigna Group provides insurance and related products and services in the United States. Its Evernorth segment provides a range of coordinated and point solution health services, including pharmacy, benefits management, care delivery and management, and intelligence solutions to health plans, employers, government organizations, and health care providers. The company's Cigna Healthcare segment offers medical, pharmacy, behavioral health, dental, vision, health advocacy programs, and other products and services for insured and self-insured customers; Medicare Advantage, Medicare Supplement, and Medicare Part D plans for seniors, as well as individual health insurance plans to on and off the public exchanges; and health care coverage in its international markets, as well as health care benefits for mobile individuals and employees of multinational organizations. The company also offers permanent insurance contracts sold to corporations to provide coverage on the lives of certain employees for financing employer-paid future benefit obligations. It distributes its products and services through insurance brokers and consultants; directly to employers, unions and other groups, or individuals; and private and public exchanges. The company was founded in 1792 and is headquartered in Bloomfield, Connecticut.
CI (Cigna Corporation) trades in the Healthcare sector, specifically Medical - Healthcare Plans, with a market capitalization of approximately $79.55B, a trailing P/E of 12.56, a beta of 0.31 versus the broader market, a 52-week range of 239.51-338.89, average daily share volume of 1.8M, a public-listing history dating back to 1982, approximately 71K full-time employees. These structural characteristics shape how CI stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 0.31 indicates CI has historically moved less than the broader market, dampening realized volatility and producing tighter expected-move bands per unit of dollar exposure. CI pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.
What is a covered call on CI?
A covered call pairs long stock with a short out-of-the-money call, collecting premium and capping upside above the short strike in exchange for income.
Current CI snapshot
As of May 15, 2026, spot at $286.23, ATM IV 27.87%, IV rank 27.17%, expected move 7.99%. The covered call on CI below is built from the same end-of-day chain, with strikes snapped to listed contracts and premiums pulled from the bid/ask midpoint at a 28-day expiry.
Why this covered call structure on CI specifically: CI IV at 27.87% is on the cheap side of its 1-year range, which means a premium-selling CI covered call collects less credit per unit of strike-width risk, with a market-implied 1-standard-deviation move of approximately 7.99% (roughly $22.87 on the underlying). The 28-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated CI expiries trade a higher absolute premium for lower per-day decay. Position sizing on CI should anchor to the underlying notional of $286.23 per share and to the trader's directional view on CI stock.
CI covered call setup
The CI covered call below is built from the end-of-day chain, with each option leg priced at the bid/ask midpoint of its listed strike. With CI near $286.23, the first option leg uses a $300.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed CI chain at a 28-day expiry; the cross-strike IV skew is reflected directly in the per-leg values rather than approximated. Quantity sizing assumes one contract per option leg (or 100 CI shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 100 shares | Stock | $286.23 | long |
| Sell 1 | Call | $300.00 | $3.30 |
CI covered call risk and reward
- Net Premium / Debit
- -$28,293.00
- Max Profit (per contract)
- $1,707.00
- Max Loss (per contract)
- -$28,292.00
- Breakeven(s)
- $282.93
- Risk / Reward Ratio
- 0.060
Max profit equals short-strike minus cost basis plus premium times 100; max loss is cost basis minus premium (at zero). Breakeven is cost basis minus premium.
CI covered call payoff curve
Modeled P&L at expiration across a range of underlying prices for the covered call on CI. Each row is one sampled price point from the computed payoff curve; the full curve uses 200 price points internally before being summarized into 10 rows here.
| Underlying Price | % From Spot | P&L at Expiration |
|---|---|---|
| $0.01 | -100.0% | -$28,292.00 |
| $63.30 | -77.9% | -$21,963.41 |
| $126.58 | -55.8% | -$15,634.81 |
| $189.87 | -33.7% | -$9,306.22 |
| $253.15 | -11.6% | -$2,977.63 |
| $316.44 | +10.6% | +$1,707.00 |
| $379.73 | +32.7% | +$1,707.00 |
| $443.01 | +54.8% | +$1,707.00 |
| $506.30 | +76.9% | +$1,707.00 |
| $569.58 | +99.0% | +$1,707.00 |
When traders use covered call on CI
Covered calls on CI are an income strategy run on existing CI stock positions; traders typically sell calls at 25-35 delta with 30-45 days to expiration to balance premium against upside cap.
CI thesis for this covered call
The market-implied 1-standard-deviation range for CI extends from approximately $263.36 on the downside to $309.10 on the upside. A CI covered call collects premium on an existing long CI position, trading off upside above the short call strike for immediate income; the short strike selection should reflect the trader's view on whether CI will breach that level within the expiration window. Current CI IV rank near 27.17% sits in the lower third of its 1-year distribution, where IV often re-expands toward the mean; this favors premium-buying structures and disadvantages premium-selling structures on CI at 27.87%. As a Healthcare name, CI options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to CI-specific events.
CI covered call positions are structurally neutral to slightly bullish; the modeled P&L assumes European-style exercise at expiration and ignores early assignment, transaction costs, dividends paid before expiry on the stock leg (when present), and the bid-ask spread on the listed chain. CI positions also carry Healthcare sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move CI alongside the broader basket even when CI-specific fundamentals are unchanged. Short-premium structures like a covered call on CI carry tail risk when realized volatility exceeds the implied move; review historical CI earnings reactions and macro stress periods before sizing. Always rebuild the position from current CI chain quotes before placing a trade.
Frequently asked questions
- What is a covered call on CI?
- A covered call on CI is the covered call strategy applied to CI (stock). The strategy is structurally neutral to slightly bullish: A covered call pairs long stock with a short out-of-the-money call, collecting premium and capping upside above the short strike in exchange for income. With CI stock trading near $286.23, the strikes shown on this page are snapped to the nearest listed CI chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are CI covered call max profit and max loss calculated?
- Max profit equals short-strike minus cost basis plus premium times 100; max loss is cost basis minus premium (at zero). Breakeven is cost basis minus premium. For the CI covered call priced from the end-of-day chain at a 30-day expiry (ATM IV 27.87%), the computed maximum profit is $1,707.00 per contract and the computed maximum loss is -$28,292.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a CI covered call?
- The breakeven for the CI covered call priced on this page is roughly $282.93 at expiration, derived from end-of-day chain premiums. Breakeven is the underlying price at which the strategy's P&L crosses zero ignoring transaction costs and assignment risk. The current CI market-implied 1-standard-deviation expected move is approximately 7.99%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a covered call on CI?
- Covered calls on CI are an income strategy run on existing CI stock positions; traders typically sell calls at 25-35 delta with 30-45 days to expiration to balance premium against upside cap.
- How does current CI implied volatility affect this covered call?
- CI ATM IV is at 27.87% with IV rank near 27.17%, which is on the low end of its 1-year range. Premium-buying structures (long call, long put, debit spreads) are relatively cheap in this regime; premium-selling structures collect less credit per unit risk.