Public recipe: cash-secured wheel sized to equity, 35 DTE / 2% OTM puts and calls, manage at 21 DTE. Simulated window 2024-09-27 to 2026-09-25.
This page is a published historical simulation for LLY — two paired wheel runs, identical inputs, one managed at 21 DTE. On this simulation the 21-Day Rule finished -25.2 pp behind holding to expiry — managing early hurt here.
| Metric | Standard (hold to expiry) | 21-Day Rule | Delta |
|---|---|---|---|
| Total return | 36.4% | 11.2% | -25.2 pp |
| Annualized return | 16.8% | 5.5% | -11.4 pp |
| Buy-and-hold return | 34.8% | 34.8% | 0.0 pp |
| Max drawdown (from peak equity) | 16.7% | 25.8% | +9.2 pp |
| Assignment rate | 40.0% | 35.7% | -4.3 pp |
| Call-away rate | 57.1% | 50.0% | -7.1 pp |
| Average cycle return | 3.6% | 0.4% | — |
| Entry fills priced from real option bars | 47% | 50% | — |
| 21-DTE buy-backs priced from real option bars | — | 40% | — |
Drawdown
Standard max drawdown 16.7% vs rule 25.8% (+9.2 pp).
Assignment
Assignment rate 40.0% standard vs 35.7% rule; call-away 57.1% vs 50.0%.
Fallbacks
The rule arm held 0 of 48 short options to expiry because no 21 DTE price was available for the buy-back.
Data quality
Real option bars priced 47% of the standard arm's entry fills, 50% of the 21-Day arm's, and 40% of its 21 DTE buy-backs. The rest are modelled from implied or realized volatility.
One ticker and one window cannot prove a rule works everywhere
Simulated fills can differ from what a real order would have gotten
The rule arm sometimes cannot exit at 21 DTE and falls back to expiry
A stale or failed refresh removes this page instead of updating it
On this simulation the 21-Day Rule finished -25.2 pp behind holding to expiry — managing early hurt here.
Standard max drawdown 16.7% vs rule 25.8% (+9.2 pp).
Assignment rate 40.0% standard vs 35.7% rule; call-away 57.1% vs 50.0%.
Period 2024-09-27 to 2026-09-25, refreshed 2026-09-27. This page disappears when the data goes stale.
The table below lists both arms metric by metric, with the rule delta signed — positive means the rule finished ahead.
Fallback counts, missing-pricing counts, and data-quality status come from the stored run and stay visible.
Open the gated wheel backtest for LLY and change DTE, OTM, dates, or the management rule itself.
Standard total return
36.4%
21-Day total return
11.2%
Rule delta
-25.2 pp
Real-bar entry fills (21-Day arm)
50%
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