Public recipe: cash-secured wheel sized to equity, 35 DTE / 2% OTM puts and calls, manage at 21 DTE. Simulated window 2024-11-08 to 2026-11-06.
Two paired wheel simulations on XLV, one managed at 21 DTE. On this simulation the 21-Day Rule finished +4.1 pp ahead of holding to expiry.
| Metric | Standard (hold to expiry) | 21-Day Rule | Delta |
|---|---|---|---|
| Total return | 5.7% | 9.8% | +4.1 pp |
| Annualized return | 2.8% | 4.8% | +2.0 pp |
| Buy-and-hold return | 23.1% | 23.1% | 0.0 pp |
| Max drawdown (from peak equity) | 13.0% | 10.2% | -2.7 pp |
| Assignment rate | 23.1% | 38.1% | +15.0 pp |
| Call-away rate | 60.0% | 33.3% | -26.7 pp |
| Average cycle return | 0.4% | 0.5% | — |
| Sample cycles | 13 | 21 | — |
| History days | 728 | 728 | — |
| Entry fills | 18 | 45 | — |
| Entry fills priced from real option bars | 50% | 47% | — |
| 21-DTE buy-backs priced from real option bars | — | 36% | — |
Across the 37 published tickers, the 21-Day Rule finished ahead of holding to expiry on 21 and behind on 16. The XLV total-return delta of +4.1 pp ranks 16th of 37 (1st is where managing early helped most); the median delta is +2.0 pp.
Without the rule, the standard arm returned 5.7% against 23.1% for buy-and-hold, so the plain wheel trailed holding the shares by 17.4 percentage points in this simulation.
Among its defensive, healthcare and income peers HYG, KO, PG and TLT, the rule finished ahead of holding to expiry on 2 of 4; XLV itself came in at +4.1 pp.
The separate 10 DTE / 2% OTM wheel snapshot for XLV shows a put assignment rate of 26.1% and wheel P&L of $2,029 against $3,462 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 | XLV | Family median | Rank (highest first unless noted) |
|---|---|---|---|
| Rule total-return delta | +4.1 pp | +2.0 pp | 16th of 37 |
| Rule drawdown delta | -2.7 pp | -0.6 pp | 14th of 37 (lowest first) |
| 21-Day total return | 9.8% | 16.0% | 29th of 37 |
| 21-Day annualized return | 4.8% | 7.7% | 29th of 37 |
| Standard total return | 5.7% | 15.0% | 27th of 37 |
| 21-Day max drawdown | 10.2% | 19.0% | 5th of 37 (lowest first) |
| 21-Day call-away rate | 33.3% | 42.1% | 26th of 37 |
| Standard annualized return | 2.8% | 7.2% | 27th of 37 |
| Buy-and-hold return | 23.1% | 26.4% | 22nd of 37 |
| Standard max drawdown | 13.0% | 20.8% | 8th of 37 (lowest first) |
| Standard assignment rate | 23.1% | 36.4% | 29th of 37 |
| 21-Day assignment rate | 38.1% | 31.8% | 8th of 37 |
| 21-Day sample cycles | 21 | 28 | 33rd of 37 |
| 21-Day average cycle return | 0.5% | 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 |
|---|---|---|---|---|---|---|---|---|
| XLV | 5.7% | 9.8% | +4.1 pp | 23.1% | 13.0% | 10.2% | 23.1% | 38.1% |
| HYG | 0.5% | 1.4% | +0.9 pp | -3.2% | 3.9% | 4.1% | 7.1% | 11.4% |
| KO | 28.9% | 26.1% | -2.8 pp | 49.7% | 11.2% | 7.5% | 28.6% | 26.9% |
| PG | 9.0% | 17.3% | +8.3 pp | -1.4% | 12.4% | 8.6% | 75.0% | 42.1% |
| TLT | 5.9% | -2.3% | -8.2 pp | -11.4% | 12.0% | 11.4% | 60.0% | 23.8% |
XLV wheel snapshot — the other published study on this ticker.
Month-end P&L of holding 100 XLV 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 2026-10 ($1,645) and the worst was 2026-03 (−$1,359).
| Month | Buy-and-hold P&L | Change in month | Running high | Below its peak | Worst fall so far |
|---|---|---|---|---|---|
| 2024-11 | −$277 | — | $0 | $277 | $897 |
| 2024-12 | −$1,261 | −$984 | $0 | $1,261 | $1,390 |
| 2025-01 | −$331 | $930 | $0 | $331 | $1,390 |
| 2025-02 | −$125 | $206 | $0 | $125 | $1,390 |
| 2025-03 | −$417 | −$292 | $0 | $417 | $1,390 |
| 2025-04 | −$971 | −$554 | $0 | $971 | $1,761 |
| 2025-05 | −$1,754 | −$783 | $0 | $1,754 | $2,141 |
| 2025-06 | −$1,539 | $215 | $0 | $1,539 | $2,141 |
| 2025-07 | −$1,975 | −$436 | $0 | $1,975 | $2,141 |
| 2025-08 | −$1,275 | $700 | $0 | $1,275 | $2,141 |
| 2025-09 | −$1,101 | $174 | $0 | $1,101 | $2,141 |
| 2025-10 | −$593 | $508 | $0 | $593 | $2,141 |
| 2025-11 | $747 | $1,340 | $859 | $112 | $2,141 |
| 2025-12 | $462 | −$285 | $859 | $397 | $2,141 |
| 2026-01 | $456 | −$6 | $948 | $492 | $2,141 |
| 2026-02 | $1,002 | $546 | $1,002 | $0 | $2,141 |
| 2026-03 | −$357 | −$1,359 | $1,002 | $1,359 | $2,141 |
| 2026-04 | −$419 | −$62 | $1,002 | $1,421 | $2,141 |
| 2026-05 | −$71 | $348 | $1,002 | $1,073 | $2,141 |
| 2026-06 | $848 | $919 | $1,056 | $208 | $2,141 |
| 2026-07 | $1,237 | $389 | $1,708 | $471 | $2,141 |
| 2026-08 | $2,036 | $799 | $2,550 | $514 | $2,141 |
| 2026-09 | $1,824 | −$212 | $2,550 | $726 | $2,141 |
| 2026-10 | $3,469 | $1,645 | $3,469 | $0 | $2,141 |
| 2026-11 | $3,462 | −$7 | $3,948 | $486 | $2,141 |
One ticker and one window prove nothing general; the rule arm sometimes cannot exit at 21 DTE
Period 2024-11-08 to 2026-11-06, refreshed 2026-11-08.
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