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 XLF, one managed at 21 DTE. On this simulation the 21-Day Rule finished -5.9 pp behind holding to expiry — managing early hurt here.
| Metric | Standard (hold to expiry) | 21-Day Rule | Delta |
|---|---|---|---|
| Total return | 22.6% | 16.8% | -5.9 pp |
| Annualized return | 10.8% | 8.1% | -2.7 pp |
| Buy-and-hold return | 19.9% | 19.9% | 0.0 pp |
| Max drawdown (from peak equity) | 15.8% | 10.3% | -5.5 pp |
| Assignment rate | 40.0% | 33.3% | -6.7 pp |
| Call-away rate | 42.9% | 47.4% | +4.5 pp |
| Average cycle return | 2.3% | 0.6% | — |
| Sample cycles | 10 | 27 | — |
| History days | 728 | 728 | — |
| Entry fills | 17 | 46 | — |
| Entry fills priced from real option bars | 47% | 48% | — |
| 21-DTE buy-backs priced from real option bars | — | 43% | — |
Across the 37 published tickers, the 21-Day Rule finished ahead of holding to expiry on 16 and behind on 21. The XLF total-return delta of -5.9 pp ranks 27th of 37 (1st is where managing early helped most); the median delta is -0.4 pp.
Without the rule, the standard arm returned 22.6% against 19.9% for buy-and-hold, so the plain wheel beat holding the shares by 2.7 percentage points in this simulation.
Among its financials peers BAC and JPM, the rule finished ahead of holding to expiry on 0 of 2; XLF itself came in at -5.9 pp.
The separate 10 DTE / 2% OTM wheel snapshot for XLF shows a put assignment rate of 21.9% and wheel P&L of $545 against $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 | XLF | Family median | Rank (highest first unless noted) |
|---|---|---|---|
| Rule total-return delta | -5.9 pp | -0.4 pp | 27th of 37 |
| Rule drawdown delta | -5.5 pp | -1.7 pp | 9th of 37 (lowest first) |
| 21-Day total return | 16.8% | 16.8% | 19th of 37 |
| 21-Day annualized return | 8.1% | 8.1% | 19th of 37 |
| Standard total return | 22.6% | 19.6% | 14th of 37 |
| 21-Day max drawdown | 10.3% | 19.0% | 6th of 37 (lowest first) |
| 21-Day call-away rate | 47.4% | 42.1% | 12th of 37 |
| Standard annualized return | 10.8% | 9.4% | 14th of 37 |
| Buy-and-hold return | 19.9% | 42.2% | 29th of 37 |
| Standard max drawdown | 15.8% | 20.2% | 10th of 37 (lowest first) |
| Standard assignment rate | 40.0% | 33.3% | 11th of 37 |
| 21-Day assignment rate | 33.3% | 31.0% | 12th of 37 |
| 21-Day sample cycles | 27 | 28 | 21st of 37 |
| 21-Day average cycle return | 0.6% | 0.6% | 18th of 37 |
| Ticker | Standard return | 21-Day return | Rule delta | Buy-and-hold | Standard drawdown | 21-Day drawdown | Standard assignment | 21-Day assignment |
|---|---|---|---|---|---|---|---|---|
| XLF | 22.6% | 16.8% | -5.9 pp | 19.9% | 15.8% | 10.3% | 40.0% | 33.3% |
| BAC | 4.5% | -1.0% | -5.5 pp | 20.7% | 24.0% | 20.0% | 38.5% | 32.1% |
| JPM | 28.0% | 23.9% | -4.1 pp | 49.2% | 28.1% | 15.3% | 20.0% | 19.4% |
XLF wheel snapshot — the other published study on this ticker.
Month-end P&L of holding 100 XLF 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 2024-11 ($486) and the worst was 2026-09 (−$431).
| Month | Buy-and-hold P&L | Change in month | Running high | Below its peak | Worst fall so far |
|---|---|---|---|---|---|
| 2024-10 | −$15 | — | $58 | $73 | $73 |
| 2024-11 | $471 | $486 | $471 | $0 | $93 |
| 2024-12 | $170 | −$301 | $471 | $301 | $371 |
| 2025-01 | $484 | $314 | $514 | $30 | $402 |
| 2025-02 | $555 | $71 | $556 | $1 | $402 |
| 2025-03 | $318 | −$237 | $556 | $238 | $477 |
| 2025-04 | $213 | −$105 | $556 | $343 | $827 |
| 2025-05 | $433 | $220 | $556 | $123 | $827 |
| 2025-06 | $574 | $141 | $574 | $0 | $827 |
| 2025-07 | $574 | $0 | $681 | $107 | $827 |
| 2025-08 | $736 | $162 | $736 | $0 | $827 |
| 2025-09 | $724 | −$12 | $762 | $38 | $827 |
| 2025-10 | $574 | −$150 | $762 | $188 | $827 |
| 2025-11 | $670 | $96 | $762 | $92 | $827 |
| 2025-12 | $814 | $144 | $910 | $96 | $827 |
| 2026-01 | $681 | −$133 | $977 | $296 | $827 |
| 2026-02 | $480 | −$201 | $977 | $497 | $827 |
| 2026-03 | $274 | −$206 | $977 | $703 | $859 |
| 2026-04 | $550 | $276 | $977 | $427 | $859 |
| 2026-05 | $495 | −$55 | $977 | $482 | $859 |
| 2026-06 | $698 | $203 | $977 | $279 | $859 |
| 2026-07 | $1,031 | $333 | $1,097 | $66 | $859 |
| 2026-08 | $1,108 | $77 | $1,168 | $60 | $859 |
| 2026-09 | $677 | −$431 | $1,193 | $516 | $859 |
| 2026-10 | $927 | $250 | $1,193 | $266 | $859 |
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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