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 SPY, one managed at 21 DTE. On this simulation the 21-Day Rule finished +0.2 pp ahead of holding to expiry.
| Metric | Standard (hold to expiry) | 21-Day Rule | Delta |
|---|---|---|---|
| Total return | 15.1% | 15.2% | +0.2 pp |
| Annualized return | 7.3% | 7.4% | +0.1 pp |
| Buy-and-hold return | 31.2% | 31.2% | 0.0 pp |
| Max drawdown (from peak equity) | 14.7% | 16.9% | +2.2 pp |
| Assignment rate | 12.5% | 8.3% | -4.2 pp |
| Call-away rate | 66.7% | 25.0% | -41.7 pp |
| Average cycle return | 0.9% | 0.4% | — |
| Sample cycles | 16 | 36 | — |
| History days | 728 | 728 | — |
| Entry fills | 19 | 48 | — |
| Entry fills priced from real option bars | 53% | 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 SPY total-return delta of +0.2 pp ranks 15th of 37 (1st is where managing early helped most); the median delta is -0.4 pp.
Without the rule, the standard arm returned 15.1% against 31.2% for buy-and-hold, so the plain wheel trailed holding the shares by 16.2 percentage points in this simulation.
Among its index and broad sector ETF peers DIA, IWM and QQQ, the rule finished ahead of holding to expiry on 0 of 3; SPY itself came in at +0.2 pp.
The separate 10 DTE / 2% OTM wheel snapshot for SPY shows a put assignment rate of 10.5% and wheel P&L of $10,974 against $18,093 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 | SPY | Family median | Rank (highest first unless noted) |
|---|---|---|---|
| Rule total-return delta | +0.2 pp | -0.4 pp | 15th of 37 |
| Rule drawdown delta | +2.2 pp | -1.7 pp | 35th of 37 (lowest first) |
| 21-Day total return | 15.2% | 16.8% | 22nd of 37 |
| 21-Day annualized return | 7.4% | 8.1% | 22nd of 37 |
| Standard total return | 15.1% | 19.6% | 23rd of 37 |
| 21-Day max drawdown | 16.9% | 19.0% | 14th of 37 (lowest first) |
| 21-Day call-away rate | 25.0% | 42.1% | 32nd of 37 |
| Standard annualized return | 7.3% | 9.4% | 23rd of 37 |
| Buy-and-hold return | 31.2% | 42.2% | 23rd of 37 |
| Standard max drawdown | 14.7% | 20.2% | 7th of 37 (lowest first) |
| Standard assignment rate | 12.5% | 33.3% | 37th of 37 |
| 21-Day assignment rate | 8.3% | 31.0% | 36th of 37 |
| 21-Day sample cycles | 36 | 28 | 3rd of 37 |
| 21-Day average cycle return | 0.4% | 0.6% | 24th of 37 |
| Ticker | Standard return | 21-Day return | Rule delta | Buy-and-hold | Standard drawdown | 21-Day drawdown | Standard assignment | 21-Day assignment |
|---|---|---|---|---|---|---|---|---|
| SPY | 15.1% | 15.2% | +0.2 pp | 31.2% | 14.7% | 16.9% | 12.5% | 8.3% |
| DIA | 21.2% | 13.7% | -7.5 pp | 23.8% | 14.8% | 13.0% | 30.8% | 10.3% |
| IWM | 21.4% | 9.2% | -12.3 pp | 26.0% | 20.0% | 19.4% | 27.3% | 20.0% |
| QQQ | 19.6% | 17.4% | -2.2 pp | 42.2% | 17.2% | 17.5% | 23.1% | 11.1% |
SPY wheel snapshot — the other published study on this ticker.
Month-end P&L of holding 100 SPY 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 2026-04 ($6,832) and the worst was 2026-03 (−$3,565).
| Month | Buy-and-hold P&L | Change in month | Running high | Below its peak | Worst fall so far |
|---|---|---|---|---|---|
| 2024-10 | −$1,040 | — | $273 | $1,313 | $1,313 |
| 2024-11 | $2,351 | $3,391 | $2,351 | $0 | $1,313 |
| 2024-12 | $704 | −$1,647 | $2,877 | $2,173 | $2,173 |
| 2025-01 | $2,278 | $1,574 | $3,071 | $793 | $2,732 |
| 2025-02 | $1,514 | −$764 | $3,389 | $1,875 | $2,788 |
| 2025-03 | −$1,965 | −$3,479 | $3,389 | $5,354 | $6,151 |
| 2025-04 | −$2,450 | −$485 | $3,389 | $5,839 | $11,645 |
| 2025-05 | $1,035 | $3,485 | $3,389 | $2,354 | $11,645 |
| 2025-06 | $3,881 | $2,846 | $3,881 | $0 | $11,645 |
| 2025-07 | $5,304 | $1,423 | $5,806 | $502 | $11,645 |
| 2025-08 | $6,601 | $1,297 | $6,988 | $387 | $11,645 |
| 2025-09 | $8,714 | $2,113 | $8,780 | $66 | $11,645 |
| 2025-10 | $10,302 | $1,588 | $10,835 | $533 | $11,645 |
| 2025-11 | $10,435 | $133 | $10,835 | $400 | $11,645 |
| 2025-12 | $10,288 | −$147 | $11,134 | $846 | $11,645 |
| 2026-01 | $11,293 | $1,005 | $11,645 | $352 | $11,645 |
| 2026-02 | $10,695 | −$598 | $11,645 | $950 | $11,645 |
| 2026-03 | $7,130 | −$3,565 | $11,645 | $4,515 | $11,645 |
| 2026-04 | $13,962 | $6,832 | $13,962 | $0 | $11,645 |
| 2026-05 | $17,744 | $3,782 | $17,744 | $0 | $11,645 |
| 2026-06 | $16,773 | −$971 | $18,053 | $1,280 | $11,645 |
| 2026-07 | $16,799 | $26 | $18,053 | $1,254 | $11,645 |
| 2026-08 | $18,801 | $2,002 | $19,884 | $1,083 | $11,645 |
| 2026-09 | $18,359 | −$442 | $19,884 | $1,525 | $11,645 |
| 2026-10 | $18,093 | −$266 | $20,005 | $1,912 | $11,645 |
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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