Public recipe: cash-secured wheel sized to equity, 35 DTE / 2% OTM puts and calls, manage at 21 DTE. Simulated window 2024-10-18 to 2026-10-16.
Two paired wheel simulations on TLT, one managed at 21 DTE. On this simulation the 21-Day Rule finished +2.1 pp ahead of holding to expiry.
| Metric | Standard (hold to expiry) | 21-Day Rule | Delta |
|---|---|---|---|
| Total return | 0.4% | 2.5% | +2.1 pp |
| Annualized return | 0.2% | 1.2% | +1.0 pp |
| Buy-and-hold return | -14.7% | -14.7% | 0.0 pp |
| Max drawdown (from peak equity) | 11.7% | 10.1% | -1.6 pp |
| Assignment rate | 20.0% | 31.2% | +11.2 pp |
| Call-away rate | 12.5% | 12.9% | +0.4 pp |
| Average cycle return | 0.0% | 0.2% | — |
| Sample cycles | 10 | 16 | — |
| History days | 728 | 728 | — |
| Entry fills | 18 | 47 | — |
| Entry fills priced from real option bars | 50% | 49% | — |
| 21-DTE buy-backs priced from real option bars | — | 51% | — |
Across the 37 published tickers, the 21-Day Rule finished ahead of holding to expiry on 18 and behind on 19. The TLT total-return delta of +2.1 pp ranks 17th of 37 (1st is where managing early helped most); the median delta is -1.4 pp.
Without the rule, the standard arm returned 0.4% against -14.7% for buy-and-hold, so the plain wheel beat holding the shares by 15.1 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; TLT itself came in at +2.1 pp.
The separate 10 DTE / 2% OTM wheel snapshot for TLT shows a put assignment rate of 15.0% and wheel P&L of $1,084 against −$1,382 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 | TLT | Family median | Rank (highest first unless noted) |
|---|---|---|---|
| Rule total-return delta | +2.1 pp | -1.4 pp | 17th of 37 |
| Rule drawdown delta | -1.6 pp | -1.3 pp | 18th of 37 (lowest first) |
| 21-Day total return | 2.5% | 14.4% | 34th of 37 |
| 21-Day annualized return | 1.2% | 7.0% | 34th of 37 |
| Standard total return | 0.4% | 14.7% | 33rd of 37 |
| 21-Day max drawdown | 10.1% | 20.8% | 2nd of 37 (lowest first) |
| 21-Day call-away rate | 12.9% | 39.1% | 37th of 37 |
| Standard annualized return | 0.2% | 7.1% | 33rd of 37 |
| Buy-and-hold return | -14.7% | 38.6% | 35th of 37 |
| Standard max drawdown | 11.7% | 24.3% | 4th of 37 (lowest first) |
| Standard assignment rate | 20.0% | 30.8% | 33rd of 37 |
| 21-Day assignment rate | 31.2% | 32.0% | 21st of 37 |
| 21-Day sample cycles | 16 | 27 | 37th of 37 |
| 21-Day average cycle return | 0.2% | 0.5% | 31st of 37 |
| Ticker | Standard return | 21-Day return | Rule delta | Buy-and-hold | Standard drawdown | 21-Day drawdown | Standard assignment | 21-Day assignment |
|---|---|---|---|---|---|---|---|---|
| TLT | 0.4% | 2.5% | +2.1 pp | -14.7% | 11.7% | 10.1% | 20.0% | 31.2% |
| COST | 16.7% | 21.8% | +5.1 pp | 11.2% | 20.2% | 17.0% | 62.5% | 31.8% |
| KO | 13.7% | 16.0% | +2.2 pp | 33.3% | 11.2% | 10.5% | 45.5% | 40.0% |
| PG | 12.2% | 3.2% | -9.0 pp | -7.0% | 17.3% | 13.4% | 80.0% | 45.0% |
| WMT | 24.7% | 23.3% | -1.4 pp | 46.1% | 17.8% | 16.5% | 15.4% | 36.0% |
TLT wheel snapshot — the other published study on this ticker.
Month-end P&L of holding 100 TLT 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 2025-02 ($467) and the worst was 2024-12 (−$664).
| Month | Buy-and-hold P&L | Change in month | Running high | Below its peak | Worst fall so far |
|---|---|---|---|---|---|
| 2024-10 | −$142 | — | $0 | $142 | $198 |
| 2024-11 | $10 | $152 | $10 | $0 | $407 |
| 2024-12 | −$654 | −$664 | $52 | $706 | $729 |
| 2025-01 | −$611 | $43 | $52 | $663 | $910 |
| 2025-02 | −$144 | $467 | $52 | $196 | $910 |
| 2025-03 | −$284 | −$140 | $52 | $336 | $910 |
| 2025-04 | −$440 | −$156 | $52 | $492 | $910 |
| 2025-05 | −$759 | −$319 | $52 | $811 | $1,042 |
| 2025-06 | −$562 | $197 | $52 | $614 | $1,042 |
| 2025-07 | −$695 | −$133 | $52 | $747 | $1,042 |
| 2025-08 | −$727 | −$32 | $52 | $779 | $1,042 |
| 2025-09 | −$450 | $277 | $52 | $502 | $1,042 |
| 2025-10 | −$358 | $92 | $52 | $410 | $1,042 |
| 2025-11 | −$366 | −$8 | $52 | $418 | $1,042 |
| 2025-12 | −$671 | −$305 | $52 | $723 | $1,042 |
| 2026-01 | −$674 | −$3 | $52 | $726 | $1,042 |
| 2026-02 | −$305 | $369 | $52 | $357 | $1,042 |
| 2026-03 | −$718 | −$413 | $52 | $770 | $1,042 |
| 2026-04 | −$825 | −$107 | $52 | $877 | $1,042 |
| 2026-05 | −$811 | $14 | $52 | $863 | $1,137 |
| 2026-06 | −$745 | $66 | $52 | $797 | $1,137 |
| 2026-07 | −$1,162 | −$417 | $52 | $1,214 | $1,214 |
| 2026-08 | −$1,135 | $27 | $52 | $1,187 | $1,304 |
| 2026-09 | −$1,609 | −$474 | $52 | $1,661 | $1,661 |
| 2026-10 | −$1,382 | $227 | $52 | $1,434 | $1,728 |
One ticker and one window prove nothing general; the rule arm sometimes cannot exit at 21 DTE
Period 2024-10-18 to 2026-10-16, refreshed 2026-10-18.
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