Public recipe: cash-secured wheel sized to equity, 35 DTE / 2% OTM puts and calls, manage at 21 DTE. Simulated window 2024-10-18 to 2026-10-16.
Two paired wheel simulations on BAC, one managed at 21 DTE. On this simulation the 21-Day Rule finished -17.5 pp behind holding to expiry — managing early hurt here.
| Metric | Standard (hold to expiry) | 21-Day Rule | Delta |
|---|---|---|---|
| Total return | 1.7% | -15.8% | -17.5 pp |
| Annualized return | 0.8% | -8.3% | -9.1 pp |
| Buy-and-hold return | 21.1% | 21.1% | 0.0 pp |
| Max drawdown (from peak equity) | 25.3% | 21.9% | -3.4 pp |
| Assignment rate | 30.8% | 24.2% | -6.6 pp |
| Call-away rate | 60.0% | 58.3% | -1.7 pp |
| Average cycle return | 0.1% | -0.5% | — |
| Sample cycles | 13 | 33 | — |
| History days | 728 | 728 | — |
| Entry fills | 18 | 45 | — |
| Entry fills priced from real option bars | 50% | 47% | — |
| 21-DTE buy-backs priced from real option bars | — | 47% | — |
Across the 37 published tickers, the 21-Day Rule finished ahead of holding to expiry on 18 and behind on 19. The BAC total-return delta of -17.5 pp ranks 33rd of 37 (1st is where managing early helped most); the median delta is -1.4 pp.
Without the rule, the standard arm returned 1.7% against 21.1% for buy-and-hold, so the plain wheel trailed holding the shares by 19.4 percentage points in this simulation.
Among its financials peers JPM and XLF, the rule finished ahead of holding to expiry on 0 of 2; BAC itself came in at -17.5 pp.
The separate 10 DTE / 2% OTM wheel snapshot for BAC shows a put assignment rate of 23.5% and wheel P&L of $541 against $891 for buy-and-hold. That is a different recipe from the 35 DTE study on this page, so the two results are not additive.
| Metric | BAC | Family median | Rank (highest first unless noted) |
|---|---|---|---|
| Rule total-return delta | -17.5 pp | -1.4 pp | 33rd of 37 |
| Rule drawdown delta | -3.4 pp | -1.3 pp | 14th of 37 (lowest first) |
| 21-Day total return | -15.8% | 14.4% | 35th of 37 |
| 21-Day annualized return | -8.3% | 7.0% | 35th of 37 |
| Standard total return | 1.7% | 14.7% | 32nd of 37 |
| 21-Day max drawdown | 21.9% | 20.8% | 21st of 37 (lowest first) |
| 21-Day call-away rate | 58.3% | 39.1% | 2nd of 37 |
| Standard annualized return | 0.8% | 7.1% | 32nd of 37 |
| Buy-and-hold return | 21.1% | 38.6% | 26th of 37 |
| Standard max drawdown | 25.3% | 24.3% | 23rd of 37 (lowest first) |
| Standard assignment rate | 30.8% | 30.8% | 18th of 37 |
| 21-Day assignment rate | 24.2% | 32.0% | 25th of 37 |
| 21-Day sample cycles | 33 | 27 | 5th of 37 |
| 21-Day average cycle return | -0.5% | 0.5% | 35th of 37 |
| Ticker | Standard return | 21-Day return | Rule delta | Buy-and-hold | Standard drawdown | 21-Day drawdown | Standard assignment | 21-Day assignment |
|---|---|---|---|---|---|---|---|---|
| BAC | 1.7% | -15.8% | -17.5 pp | 21.1% | 25.3% | 21.9% | 30.8% | 24.2% |
| JPM | 36.4% | 18.2% | -18.2 pp | 50.7% | 25.8% | 19.9% | 21.4% | 21.2% |
| XLF | 13.5% | 8.7% | -4.8 pp | 16.6% | 15.0% | 13.1% | 55.6% | 33.3% |
BAC wheel snapshot — the other published study on this ticker.
Month-end P&L of holding 100 BAC shares over the same window as this study, taken from the stored series of the 10 DTE wheel snapshot. The best month for holders was 2024-11 ($569) and the worst was 2026-09 (−$751).
| Month | Buy-and-hold P&L | Change in month | Running high | Below its peak | Worst fall so far |
|---|---|---|---|---|---|
| 2024-10 | −$50 | — | $33 | $83 | $83 |
| 2024-11 | $519 | $569 | $545 | $26 | $132 |
| 2024-12 | $163 | −$356 | $545 | $382 | $439 |
| 2025-01 | $398 | $235 | $545 | $147 | $439 |
| 2025-02 | $378 | −$20 | $545 | $167 | $439 |
| 2025-03 | −$59 | −$437 | $545 | $604 | $816 |
| 2025-04 | −$244 | −$185 | $545 | $789 | $1,338 |
| 2025-05 | $181 | $425 | $545 | $364 | $1,338 |
| 2025-06 | $500 | $319 | $545 | $45 | $1,338 |
| 2025-07 | $495 | −$5 | $661 | $166 | $1,338 |
| 2025-08 | $842 | $347 | $842 | $0 | $1,338 |
| 2025-09 | $927 | $85 | $1,010 | $83 | $1,338 |
| 2025-10 | $1,113 | $186 | $1,113 | $0 | $1,338 |
| 2025-11 | $1,133 | $20 | $1,179 | $46 | $1,338 |
| 2025-12 | $1,268 | $135 | $1,393 | $125 | $1,338 |
| 2026-01 | $1,088 | −$180 | $1,493 | $405 | $1,338 |
| 2026-02 | $751 | −$337 | $1,493 | $742 | $1,338 |
| 2026-03 | $643 | −$108 | $1,493 | $850 | $1,338 |
| 2026-04 | $1,114 | $471 | $1,493 | $379 | $1,338 |
| 2026-05 | $928 | −$186 | $1,493 | $565 | $1,338 |
| 2026-06 | $1,466 | $538 | $1,587 | $121 | $1,338 |
| 2026-07 | $1,963 | $497 | $2,030 | $67 | $1,338 |
| 2026-08 | $1,962 | −$1 | $2,249 | $287 | $1,338 |
| 2026-09 | $1,211 | −$751 | $2,249 | $1,038 | $1,338 |
| 2026-10 | $891 | −$320 | $2,249 | $1,358 | $1,358 |
One ticker and one window prove nothing general; the rule arm sometimes cannot exit at 21 DTE
Period 2024-10-18 to 2026-10-16, refreshed 2026-10-18.
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