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 HYG, one managed at 21 DTE. On this simulation the 21-Day Rule finished +0.9 pp ahead of holding to expiry.
| Metric | Standard (hold to expiry) | 21-Day Rule | Delta |
|---|---|---|---|
| Total return | 0.5% | 1.4% | +0.9 pp |
| Annualized return | 0.3% | 0.7% | +0.5 pp |
| Buy-and-hold return | -3.2% | -3.2% | 0.0 pp |
| Max drawdown (from peak equity) | 3.9% | 4.1% | +0.2 pp |
| Assignment rate | 7.1% | 11.4% | +4.3 pp |
| Call-away rate | 0.0% | 30.0% | +30.0 pp |
| Average cycle return | 0.0% | 0.0% | — |
| Sample cycles | 14 | 35 | — |
| History days | 728 | 728 | — |
| Entry fills | 18 | 45 | — |
| Entry fills priced from real option bars | 44% | 42% | — |
| 21-DTE buy-backs priced from real option bars | — | 40% | — |
Across the 37 published tickers, the 21-Day Rule finished ahead of holding to expiry on 21 and behind on 16. The HYG total-return delta of +0.9 pp ranks 20th of 37 (1st is where managing early helped most); the median delta is +2.0 pp.
Without the rule, the standard arm returned 0.5% against -3.2% for buy-and-hold, so the plain wheel beat holding the shares by 3.7 percentage points in this simulation.
Among its defensive, healthcare and income peers COST, KO, PG and WMT, the rule finished ahead of holding to expiry on 2 of 4; HYG itself came in at +0.9 pp.
The separate 10 DTE / 2% OTM wheel snapshot for HYG shows a put assignment rate of 12.1% and wheel P&L of $382 against −$257 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 | HYG | Family median | Rank (highest first unless noted) |
|---|---|---|---|
| Rule total-return delta | +0.9 pp | +2.0 pp | 20th of 37 |
| Rule drawdown delta | +0.2 pp | -0.6 pp | 22nd of 37 (lowest first) |
| 21-Day total return | 1.4% | 16.0% | 32nd of 37 |
| 21-Day annualized return | 0.7% | 7.7% | 32nd of 37 |
| Standard total return | 0.5% | 15.0% | 31st of 37 |
| 21-Day max drawdown | 4.1% | 19.0% | 1st of 37 (lowest first) |
| 21-Day call-away rate | 30.0% | 42.1% | 29th of 37 |
| Standard annualized return | 0.3% | 7.2% | 31st of 37 |
| Buy-and-hold return | -3.2% | 26.4% | 34th of 37 |
| Standard max drawdown | 3.9% | 20.8% | 1st of 37 (lowest first) |
| Standard assignment rate | 7.1% | 36.4% | 37th of 37 |
| 21-Day assignment rate | 11.4% | 31.8% | 34th of 37 |
| 21-Day sample cycles | 35 | 28 | 5th of 37 |
| 21-Day average cycle return | 0.0% | 0.6% | 32nd of 37 |
| Ticker | Standard return | 21-Day return | Rule delta | Buy-and-hold | Standard drawdown | 21-Day drawdown | Standard assignment | 21-Day assignment |
|---|---|---|---|---|---|---|---|---|
| HYG | 0.5% | 1.4% | +0.9 pp | -3.2% | 3.9% | 4.1% | 7.1% | 11.4% |
| COST | 16.5% | 20.4% | +4.0 pp | 11.6% | 14.1% | 14.9% | 57.1% | 31.8% |
| KO | 28.9% | 26.1% | -2.8 pp | 49.7% | 11.2% | 7.5% | 28.6% | 26.9% |
| PG | 9.0% | 17.3% | +8.3 pp | -1.4% | 12.4% | 8.6% | 75.0% | 42.1% |
| WMT | 35.0% | 10.2% | -24.8 pp | 48.0% | 16.2% | 18.3% | 30.0% | 35.7% |
HYG wheel snapshot — the other published study on this ticker.
Month-end P&L of holding 100 HYG 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 2025-06 ($108) and the worst was 2026-09 (−$260).
| Month | Buy-and-hold P&L | Change in month | Running high | Below its peak | Worst fall so far |
|---|---|---|---|---|---|
| 2024-11 | $24 | — | $24 | $0 | $57 |
| 2024-12 | −$115 | −$139 | $24 | $139 | $195 |
| 2025-01 | −$8 | $107 | $24 | $32 | $195 |
| 2025-02 | $33 | $41 | $33 | $0 | $195 |
| 2025-03 | −$91 | −$124 | $33 | $124 | $195 |
| 2025-04 | −$120 | −$29 | $33 | $153 | $438 |
| 2025-05 | −$23 | $97 | $33 | $56 | $438 |
| 2025-06 | $85 | $108 | $85 | $0 | $438 |
| 2025-07 | $58 | −$27 | $85 | $27 | $438 |
| 2025-08 | $106 | $48 | $121 | $15 | $438 |
| 2025-09 | $139 | $33 | $152 | $13 | $438 |
| 2025-10 | $100 | −$39 | $152 | $52 | $438 |
| 2025-11 | $119 | $19 | $152 | $33 | $438 |
| 2025-12 | $83 | −$36 | $152 | $69 | $438 |
| 2026-01 | $132 | $49 | $152 | $20 | $438 |
| 2026-02 | $92 | −$40 | $152 | $60 | $438 |
| 2026-03 | −$24 | −$116 | $152 | $176 | $438 |
| 2026-04 | $58 | $82 | $152 | $94 | $438 |
| 2026-05 | $51 | −$7 | $152 | $101 | $438 |
| 2026-06 | $17 | −$34 | $152 | $135 | $438 |
| 2026-07 | −$32 | −$49 | $152 | $184 | $438 |
| 2026-08 | $1 | $33 | $152 | $151 | $438 |
| 2026-09 | −$259 | −$260 | $152 | $411 | $438 |
| 2026-10 | −$237 | $22 | $152 | $389 | $451 |
| 2026-11 | −$257 | −$20 | $152 | $409 | $451 |
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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