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 COST, one managed at 21 DTE. On this simulation the 21-Day Rule finished +5.1 pp ahead of holding to expiry.
| Metric | Standard (hold to expiry) | 21-Day Rule | Delta |
|---|---|---|---|
| Total return | 16.7% | 21.8% | +5.1 pp |
| Annualized return | 8.1% | 10.4% | +2.3 pp |
| Buy-and-hold return | 11.2% | 11.2% | 0.0 pp |
| Max drawdown (from peak equity) | 20.2% | 17.0% | -3.2 pp |
| Assignment rate | 62.5% | 31.8% | -30.7 pp |
| Call-away rate | 50.0% | 24.0% | -26.0 pp |
| Average cycle return | 2.1% | 1.0% | — |
| Sample cycles | 8 | 22 | — |
| History days | 728 | 728 | — |
| Entry fills | 16 | 47 | — |
| Entry fills priced from real option bars | 44% | 49% | — |
| 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 COST total-return delta of +5.1 pp ranks 12th of 37 (1st is where managing early helped most); the median delta is -1.4 pp.
Without the rule, the standard arm returned 16.7% against 11.2% for buy-and-hold, so the plain wheel beat holding the shares by 5.6 percentage points in this simulation.
Among its defensive, healthcare and income peers LLY, UNH, XLP and XLV, the rule finished ahead of holding to expiry on 2 of 4; COST itself came in at +5.1 pp.
The separate 10 DTE / 2% OTM wheel snapshot for COST shows a put assignment rate of 39.1% and wheel P&L of $7,647 against $9,955 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 | COST | Family median | Rank (highest first unless noted) |
|---|---|---|---|
| Rule total-return delta | +5.1 pp | -1.4 pp | 12th of 37 |
| Rule drawdown delta | -3.2 pp | -1.3 pp | 15th of 37 (lowest first) |
| 21-Day total return | 21.8% | 14.4% | 12th of 37 |
| 21-Day annualized return | 10.4% | 7.0% | 12th of 37 |
| Standard total return | 16.7% | 14.7% | 16th of 37 |
| 21-Day max drawdown | 17.0% | 20.8% | 14th of 37 (lowest first) |
| 21-Day call-away rate | 24.0% | 39.1% | 34th of 37 |
| Standard annualized return | 8.1% | 7.1% | 16th of 37 |
| Buy-and-hold return | 11.2% | 38.6% | 31st of 37 |
| Standard max drawdown | 20.2% | 24.3% | 15th of 37 (lowest first) |
| Standard assignment rate | 62.5% | 30.8% | 3rd of 37 |
| 21-Day assignment rate | 31.8% | 32.0% | 20th of 37 |
| 21-Day sample cycles | 22 | 27 | 30th of 37 |
| 21-Day average cycle return | 1.0% | 0.5% | 9th of 37 |
| Ticker | Standard return | 21-Day return | Rule delta | Buy-and-hold | Standard drawdown | 21-Day drawdown | Standard assignment | 21-Day assignment |
|---|---|---|---|---|---|---|---|---|
| COST | 16.7% | 21.8% | +5.1 pp | 11.2% | 20.2% | 17.0% | 62.5% | 31.8% |
| LLY | 14.7% | 22.0% | +7.3 pp | 36.9% | 17.1% | 22.9% | 36.4% | 32.3% |
| UNH | -31.2% | -25.1% | +6.1 pp | -29.5% | 49.7% | 46.1% | 62.5% | 28.6% |
| XLP | 18.1% | 3.1% | -15.0 pp | 6.5% | 7.9% | 8.0% | 40.0% | 20.8% |
| XLV | 10.9% | 4.7% | -6.2 pp | 15.4% | 10.5% | 10.9% | 30.0% | 36.4% |
COST wheel snapshot — the other published study on this ticker.
Month-end P&L of holding 100 COST 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 ($9,770) and the worst was 2025-03 (−$10,283).
| Month | Buy-and-hold P&L | Change in month | Running high | Below its peak | Worst fall so far |
|---|---|---|---|---|---|
| 2024-10 | −$1,538 | — | $961 | $2,499 | $2,499 |
| 2024-11 | $8,232 | $9,770 | $8,232 | $0 | $3,673 |
| 2024-12 | $2,671 | −$5,561 | $10,513 | $7,842 | $7,842 |
| 2025-01 | $9,032 | $6,361 | $10,513 | $1,481 | $8,488 |
| 2025-02 | $15,905 | $6,873 | $18,730 | $2,825 | $8,488 |
| 2025-03 | $5,622 | −$10,283 | $18,730 | $13,108 | $18,624 |
| 2025-04 | $10,494 | $4,872 | $18,730 | $8,236 | $18,624 |
| 2025-05 | $15,062 | $4,568 | $18,730 | $3,668 | $18,624 |
| 2025-06 | $10,038 | −$5,024 | $18,730 | $8,692 | $18,624 |
| 2025-07 | $5,008 | −$5,030 | $18,730 | $13,722 | $18,624 |
| 2025-08 | $5,376 | $368 | $18,730 | $13,354 | $18,624 |
| 2025-09 | $3,607 | −$1,769 | $18,730 | $15,123 | $18,624 |
| 2025-10 | $2,189 | −$1,418 | $18,730 | $16,541 | $18,624 |
| 2025-11 | $2,403 | $214 | $18,730 | $16,327 | $19,074 |
| 2025-12 | −$2,722 | −$5,125 | $18,730 | $21,452 | $22,686 |
| 2026-01 | $5,069 | $7,791 | $18,730 | $13,661 | $22,686 |
| 2026-02 | $12,123 | $7,054 | $18,730 | $6,607 | $22,686 |
| 2026-03 | $10,687 | −$1,436 | $18,730 | $8,043 | $22,686 |
| 2026-04 | $12,497 | $1,810 | $18,730 | $6,233 | $22,686 |
| 2026-05 | $6,676 | −$5,821 | $20,476 | $13,800 | $22,686 |
| 2026-06 | $4,591 | −$2,085 | $20,476 | $15,885 | $22,686 |
| 2026-07 | $6,233 | $1,642 | $20,476 | $14,243 | $22,686 |
| 2026-08 | $5,433 | −$800 | $20,476 | $15,043 | $22,686 |
| 2026-09 | $2,078 | −$3,355 | $20,476 | $18,398 | $22,686 |
| 2026-10 | $9,955 | $7,877 | $20,476 | $10,521 | $22,686 |
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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