Public recipe: cash-secured wheel sized to equity, 35 DTE / 2% OTM puts and calls, manage at 21 DTE. Simulated window 2024-11-08 to 2026-11-06.
Two paired wheel simulations on COP, one managed at 21 DTE. On this simulation the 21-Day Rule finished -0.1 pp behind holding to expiry — managing early hurt here.
| Metric | Standard (hold to expiry) | 21-Day Rule | Delta |
|---|---|---|---|
| Total return | 15.0% | 14.8% | -0.1 pp |
| Annualized return | 7.2% | 7.2% | -0.1 pp |
| Buy-and-hold return | 22.1% | 22.1% | 0.0 pp |
| Max drawdown (from peak equity) | 20.5% | 15.6% | -4.9 pp |
| Assignment rate | 27.3% | 54.2% | +26.9 pp |
| Call-away rate | 42.9% | 54.5% | +11.6 pp |
| Average cycle return | 1.4% | 0.6% | — |
| Sample cycles | 11 | 24 | — |
| History days | 728 | 728 | — |
| Entry fills | 18 | 46 | — |
| Entry fills priced from real option bars | 50% | 48% | — |
| 21-DTE buy-backs priced from real option bars | — | 41% | — |
Across the 37 published tickers, the 21-Day Rule finished ahead of holding to expiry on 21 and behind on 16. The COP total-return delta of -0.1 pp ranks 22nd of 37 (1st is where managing early helped most); the median delta is +2.0 pp.
Without the rule, the standard arm returned 15.0% against 22.1% for buy-and-hold, so the plain wheel trailed holding the shares by 7.2 percentage points in this simulation.
Among its energy peers CVX and XOM, the rule finished ahead of holding to expiry on 0 of 2; COP itself came in at -0.1 pp.
The separate 10 DTE / 2% OTM wheel snapshot for COP shows a put assignment rate of 37.0% and wheel P&L of $566 against $2,468 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 | COP | Family median | Rank (highest first unless noted) |
|---|---|---|---|
| Rule total-return delta | -0.1 pp | +2.0 pp | 22nd of 37 |
| Rule drawdown delta | -4.9 pp | -0.6 pp | 7th of 37 (lowest first) |
| 21-Day total return | 14.8% | 16.0% | 24th of 37 |
| 21-Day annualized return | 7.2% | 7.7% | 24th of 37 |
| Standard total return | 15.0% | 15.0% | 19th of 37 |
| 21-Day max drawdown | 15.6% | 19.0% | 13th of 37 (lowest first) |
| 21-Day call-away rate | 54.5% | 42.1% | 5th of 37 |
| Standard annualized return | 7.2% | 7.2% | 19th of 37 |
| Buy-and-hold return | 22.1% | 26.4% | 24th of 37 |
| Standard max drawdown | 20.5% | 20.8% | 18th of 37 (lowest first) |
| Standard assignment rate | 27.3% | 36.4% | 25th of 37 |
| 21-Day assignment rate | 54.2% | 31.8% | 2nd of 37 |
| 21-Day sample cycles | 24 | 28 | 30th of 37 |
| 21-Day average cycle return | 0.6% | 0.6% | 19th of 37 |
| Ticker | Standard return | 21-Day return | Rule delta | Buy-and-hold | Standard drawdown | 21-Day drawdown | Standard assignment | 21-Day assignment |
|---|---|---|---|---|---|---|---|---|
| COP | 15.0% | 14.8% | -0.1 pp | 22.1% | 20.5% | 15.6% | 27.3% | 54.2% |
| CVX | 23.1% | 8.5% | -14.7 pp | 35.5% | 14.1% | 18.5% | 33.3% | 23.5% |
| XOM | 38.2% | 18.7% | -19.4 pp | 37.0% | 15.2% | 12.0% | 60.0% | 30.0% |
COP wheel snapshot — the other published study on this ticker.
Month-end P&L of holding 100 COP 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 2026-10 ($2,888) and the worst was 2026-11 (−$1,776).
| Month | Buy-and-hold P&L | Change in month | Running high | Below its peak | Worst fall so far |
|---|---|---|---|---|---|
| 2024-11 | −$325 | — | $217 | $542 | $766 |
| 2024-12 | −$1,242 | −$917 | $217 | $1,459 | $1,864 |
| 2025-01 | −$1,276 | −$34 | $217 | $1,493 | $1,864 |
| 2025-02 | −$1,244 | $32 | $217 | $1,461 | $1,864 |
| 2025-03 | −$657 | $587 | $217 | $874 | $2,516 |
| 2025-04 | −$2,247 | −$1,590 | $217 | $2,464 | $3,110 |
| 2025-05 | −$2,624 | −$377 | $217 | $2,841 | $3,110 |
| 2025-06 | −$2,185 | $439 | $217 | $2,402 | $3,110 |
| 2025-07 | −$1,625 | $560 | $217 | $1,842 | $3,110 |
| 2025-08 | −$1,262 | $363 | $217 | $1,479 | $3,110 |
| 2025-09 | −$1,700 | −$438 | $217 | $1,917 | $3,110 |
| 2025-10 | −$2,273 | −$573 | $217 | $2,490 | $3,110 |
| 2025-11 | −$2,290 | −$17 | $217 | $2,507 | $3,110 |
| 2025-12 | −$1,798 | $492 | $217 | $2,015 | $3,110 |
| 2026-01 | −$736 | $1,062 | $217 | $953 | $3,110 |
| 2026-02 | $187 | $923 | $217 | $30 | $3,110 |
| 2026-03 | $2,041 | $1,854 | $2,221 | $180 | $3,110 |
| 2026-04 | $1,419 | −$622 | $2,221 | $802 | $3,110 |
| 2026-05 | $239 | −$1,180 | $2,221 | $1,982 | $3,110 |
| 2026-06 | −$763 | −$1,002 | $2,221 | $2,984 | $3,110 |
| 2026-07 | $889 | $1,652 | $2,221 | $1,332 | $3,110 |
| 2026-08 | $2,090 | $1,201 | $2,330 | $240 | $3,110 |
| 2026-09 | $1,356 | −$734 | $2,963 | $1,607 | $3,110 |
| 2026-10 | $4,244 | $2,888 | $4,244 | $0 | $3,110 |
| 2026-11 | $2,468 | −$1,776 | $4,244 | $1,776 | $3,110 |
One ticker and one window prove nothing general; the rule arm sometimes cannot exit at 21 DTE
Period 2024-11-08 to 2026-11-06, refreshed 2026-11-08.
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