Public recipe: cash-secured wheel sized to equity, 35 DTE / 2% OTM puts and calls, manage at 21 DTE. Simulated window 2024-10-25 to 2026-10-23.
Two paired wheel simulations on JPM, one managed at 21 DTE. On this simulation the 21-Day Rule finished -4.1 pp behind holding to expiry — managing early hurt here.
| Metric | Standard (hold to expiry) | 21-Day Rule | Delta |
|---|---|---|---|
| Total return | 28.0% | 23.9% | -4.1 pp |
| Annualized return | 13.2% | 11.3% | -1.8 pp |
| Buy-and-hold return | 49.2% | 49.2% | 0.0 pp |
| Max drawdown (from peak equity) | 28.1% | 15.3% | -12.8 pp |
| Assignment rate | 20.0% | 19.4% | -0.6 pp |
| Call-away rate | 100.0% | 50.0% | -50.0 pp |
| Average cycle return | 1.9% | 0.7% | — |
| Sample cycles | 15 | 36 | — |
| History days | 728 | 728 | — |
| Entry fills | 18 | 48 | — |
| Entry fills priced from real option bars | 50% | 50% | — |
| 21-DTE buy-backs priced from real option bars | — | 52% | — |
Across the 37 published tickers, the 21-Day Rule finished ahead of holding to expiry on 16 and behind on 21. The JPM total-return delta of -4.1 pp ranks 24th of 37 (1st is where managing early helped most); the median delta is -0.4 pp.
Without the rule, the standard arm returned 28.0% against 49.2% for buy-and-hold, so the plain wheel trailed holding the shares by 21.2 percentage points in this simulation.
Among its financials peers BAC and XLF, the rule finished ahead of holding to expiry on 0 of 2; JPM itself came in at -4.1 pp.
The separate 10 DTE / 2% OTM wheel snapshot for JPM shows a put assignment rate of 20.0% and wheel P&L of $8,558 against $10,927 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 | JPM | Family median | Rank (highest first unless noted) |
|---|---|---|---|
| Rule total-return delta | -4.1 pp | -0.4 pp | 24th of 37 |
| Rule drawdown delta | -12.8 pp | -1.7 pp | 2nd of 37 (lowest first) |
| 21-Day total return | 23.9% | 16.8% | 10th of 37 |
| 21-Day annualized return | 11.3% | 8.1% | 10th of 37 |
| Standard total return | 28.0% | 19.6% | 9th of 37 |
| 21-Day max drawdown | 15.3% | 19.0% | 12th of 37 (lowest first) |
| 21-Day call-away rate | 50.0% | 42.1% | 8th of 37 |
| Standard annualized return | 13.2% | 9.4% | 9th of 37 |
| Buy-and-hold return | 49.2% | 42.2% | 13th of 37 |
| Standard max drawdown | 28.1% | 20.2% | 26th of 37 (lowest first) |
| Standard assignment rate | 20.0% | 33.3% | 33rd of 37 |
| 21-Day assignment rate | 19.4% | 31.0% | 29th of 37 |
| 21-Day sample cycles | 36 | 28 | 3rd of 37 |
| 21-Day average cycle return | 0.7% | 0.6% | 16th of 37 |
| Ticker | Standard return | 21-Day return | Rule delta | Buy-and-hold | Standard drawdown | 21-Day drawdown | Standard assignment | 21-Day assignment |
|---|---|---|---|---|---|---|---|---|
| JPM | 28.0% | 23.9% | -4.1 pp | 49.2% | 28.1% | 15.3% | 20.0% | 19.4% |
| BAC | 4.5% | -1.0% | -5.5 pp | 20.7% | 24.0% | 20.0% | 38.5% | 32.1% |
| XLF | 22.6% | 16.8% | -5.9 pp | 19.9% | 15.8% | 10.3% | 40.0% | 33.3% |
JPM wheel snapshot — the other published study on this ticker.
Month-end P&L of holding 100 JPM 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 2026-06 ($2,802) and the worst was 2026-09 (−$2,519).
| Month | Buy-and-hold P&L | Change in month | Running high | Below its peak | Worst fall so far |
|---|---|---|---|---|---|
| 2024-10 | −$39 | — | $319 | $358 | $358 |
| 2024-11 | $2,741 | $2,780 | $2,798 | $57 | $1,068 |
| 2024-12 | $1,740 | −$1,001 | $2,798 | $1,058 | $1,992 |
| 2025-01 | $4,499 | $2,759 | $4,592 | $93 | $1,992 |
| 2025-02 | $4,234 | −$265 | $5,764 | $1,530 | $2,255 |
| 2025-03 | $2,299 | −$1,935 | $5,764 | $3,465 | $5,476 |
| 2025-04 | $2,231 | −$68 | $5,764 | $3,533 | $6,967 |
| 2025-05 | $4,169 | $1,938 | $5,764 | $1,595 | $6,967 |
| 2025-06 | $6,760 | $2,591 | $6,760 | $0 | $6,967 |
| 2025-07 | $7,393 | $633 | $7,732 | $339 | $6,967 |
| 2025-08 | $7,911 | $518 | $7,911 | $0 | $6,967 |
| 2025-09 | $9,312 | $1,401 | $9,375 | $63 | $6,967 |
| 2025-10 | $8,881 | −$431 | $9,375 | $494 | $6,967 |
| 2025-11 | $9,077 | $196 | $9,810 | $733 | $6,967 |
| 2025-12 | $9,991 | $914 | $10,686 | $695 | $6,967 |
| 2026-01 | $8,358 | −$1,633 | $11,230 | $2,872 | $6,967 |
| 2026-02 | $7,799 | −$559 | $11,230 | $3,431 | $6,967 |
| 2026-03 | $7,185 | −$614 | $11,230 | $4,045 | $6,967 |
| 2026-04 | $9,092 | $1,907 | $11,230 | $2,138 | $6,967 |
| 2026-05 | $7,700 | −$1,392 | $11,230 | $3,530 | $6,967 |
| 2026-06 | $10,502 | $2,802 | $11,281 | $779 | $6,967 |
| 2026-07 | $12,948 | $2,446 | $13,500 | $552 | $6,967 |
| 2026-08 | $13,371 | $423 | $14,287 | $916 | $6,967 |
| 2026-09 | $10,852 | −$2,519 | $14,287 | $3,435 | $6,967 |
| 2026-10 | $10,927 | $75 | $14,287 | $3,360 | $6,967 |
One ticker and one window prove nothing general; the rule arm sometimes cannot exit at 21 DTE
Period 2024-10-25 to 2026-10-23, refreshed 2026-10-25.
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