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 CVX, one managed at 21 DTE. On this simulation the 21-Day Rule finished -14.7 pp behind holding to expiry — managing early hurt here.
| Metric | Standard (hold to expiry) | 21-Day Rule | Delta |
|---|---|---|---|
| Total return | 23.1% | 8.5% | -14.7 pp |
| Annualized return | 11.0% | 4.2% | -6.8 pp |
| Buy-and-hold return | 35.5% | 35.5% | 0.0 pp |
| Max drawdown (from peak equity) | 14.1% | 18.5% | +4.3 pp |
| Assignment rate | 33.3% | 23.5% | -9.8 pp |
| Call-away rate | 80.0% | 57.1% | -22.9 pp |
| Average cycle return | 1.9% | 0.2% | — |
| Sample cycles | 12 | 34 | — |
| History days | 728 | 728 | — |
| Entry fills | 17 | 48 | — |
| Entry fills priced from real option bars | 47% | 50% | — |
| 21-DTE buy-backs priced from real option bars | — | 50% | — |
Across the 37 published tickers, the 21-Day Rule finished ahead of holding to expiry on 21 and behind on 16. The CVX total-return delta of -14.7 pp ranks 32nd of 37 (1st is where managing early helped most); the median delta is +2.0 pp.
Without the rule, the standard arm returned 23.1% against 35.5% for buy-and-hold, so the plain wheel trailed holding the shares by 12.3 percentage points in this simulation.
Among its energy peers COP and XOM, the rule finished ahead of holding to expiry on 0 of 2; CVX itself came in at -14.7 pp.
The separate 10 DTE / 2% OTM wheel snapshot for CVX shows a put assignment rate of 24.3% and wheel P&L of $2,600 against $5,568 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 | CVX | Family median | Rank (highest first unless noted) |
|---|---|---|---|
| Rule total-return delta | -14.7 pp | +2.0 pp | 32nd of 37 |
| Rule drawdown delta | +4.3 pp | -0.6 pp | 36th of 37 (lowest first) |
| 21-Day total return | 8.5% | 16.0% | 30th of 37 |
| 21-Day annualized return | 4.2% | 7.7% | 30th of 37 |
| Standard total return | 23.1% | 15.0% | 13th of 37 |
| 21-Day max drawdown | 18.5% | 19.0% | 17th of 37 (lowest first) |
| 21-Day call-away rate | 57.1% | 42.1% | 3rd of 37 |
| Standard annualized return | 11.0% | 7.2% | 13th of 37 |
| Buy-and-hold return | 35.5% | 26.4% | 17th of 37 |
| Standard max drawdown | 14.1% | 20.8% | 10th of 37 (lowest first) |
| Standard assignment rate | 33.3% | 36.4% | 20th of 37 |
| 21-Day assignment rate | 23.5% | 31.8% | 27th of 37 |
| 21-Day sample cycles | 34 | 28 | 7th of 37 |
| 21-Day average cycle return | 0.2% | 0.6% | 31st of 37 |
| Ticker | Standard return | 21-Day return | Rule delta | Buy-and-hold | Standard drawdown | 21-Day drawdown | Standard assignment | 21-Day assignment |
|---|---|---|---|---|---|---|---|---|
| CVX | 23.1% | 8.5% | -14.7 pp | 35.5% | 14.1% | 18.5% | 33.3% | 23.5% |
| COP | 15.0% | 14.8% | -0.1 pp | 22.1% | 20.5% | 15.6% | 27.3% | 54.2% |
| XOM | 38.2% | 18.7% | -19.4 pp | 37.0% | 15.2% | 12.0% | 60.0% | 30.0% |
CVX wheel snapshot — the other published study on this ticker.
Month-end P&L of holding 100 CVX 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 ($3,131) and the worst was 2025-04 (−$3,123).
| Month | Buy-and-hold P&L | Change in month | Running high | Below its peak | Worst fall so far |
|---|---|---|---|---|---|
| 2024-11 | $500 | — | $560 | $60 | $220 |
| 2024-12 | −$1,209 | −$1,709 | $560 | $1,769 | $2,138 |
| 2025-01 | −$774 | $435 | $560 | $1,334 | $2,138 |
| 2025-02 | $169 | $943 | $560 | $391 | $2,138 |
| 2025-03 | $1,036 | $867 | $1,104 | $68 | $2,138 |
| 2025-04 | −$2,087 | −$3,123 | $1,158 | $3,245 | $3,478 |
| 2025-05 | −$2,023 | $64 | $1,158 | $3,181 | $3,478 |
| 2025-06 | −$1,374 | $649 | $1,158 | $2,532 | $3,478 |
| 2025-07 | −$529 | $845 | $1,158 | $1,687 | $3,478 |
| 2025-08 | $367 | $896 | $1,158 | $791 | $3,478 |
| 2025-09 | −$164 | −$531 | $1,158 | $1,322 | $3,478 |
| 2025-10 | $79 | $243 | $1,158 | $1,079 | $3,478 |
| 2025-11 | −$580 | −$659 | $1,158 | $1,738 | $3,478 |
| 2025-12 | −$452 | $128 | $1,158 | $1,610 | $3,478 |
| 2026-01 | $1,997 | $2,449 | $1,997 | $0 | $3,478 |
| 2026-02 | $2,983 | $986 | $2,983 | $0 | $3,478 |
| 2026-03 | $4,997 | $2,014 | $5,422 | $425 | $3,478 |
| 2026-04 | $3,638 | −$1,359 | $5,422 | $1,784 | $3,478 |
| 2026-05 | $2,553 | −$1,085 | $5,422 | $2,869 | $3,478 |
| 2026-06 | $883 | −$1,670 | $5,422 | $4,539 | $4,539 |
| 2026-07 | $3,990 | $3,107 | $5,422 | $1,432 | $4,546 |
| 2026-08 | $4,921 | $931 | $5,422 | $501 | $4,546 |
| 2026-09 | $4,728 | −$193 | $6,084 | $1,356 | $4,546 |
| 2026-10 | $7,859 | $3,131 | $7,859 | $0 | $4,546 |
| 2026-11 | $5,568 | −$2,291 | $7,859 | $2,291 | $4,546 |
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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