Nov 8, 2024 – Nov 6, 2026
The wheel finished $6957.62 ahead of buy & hold (earned more: $17933.62 vs $10976.00).
Buy & hold Buy 100 shares and hold | Wheel strategy Puts → calls · keep premiums as cash | |
|---|---|---|
| Profit or loss | $10976.00 | $17933.62 |
| Largest drop | $22686.00 | $15912.56 |
This simulation ran 2024-11-08 to 2026-11-06 (51 trades, 7 cycles).
Simulated premium was $38,434. Simulated stock / assignment P&L was −$20,500. Combined realized P&L was $17,934.
Puts were assigned on 36.8% of put trades (7 of 19). Calls were assigned away on 21.9% of call trades (7 of 32).
This simulation’s wheel P&L ($17,934) beat buy-and-hold P&L ($10,976) on the stored window.
Wheel drawdown was $15,913 on the engine's stored basis; measured as the deepest fall from a P&L peak on the daily P&L series it was $15,913, from the 2024-12-06 peak to the 2025-03-13 trough, and got back to that peak on 2025-06-06. Buy-and-hold drawdown was $22,686 on the engine's stored basis; measured as the deepest fall from a P&L peak on the daily P&L series it was $22,686, from the 2025-02-13 peak to the 2025-12-22 trough, and got back to that peak on 2026-05-19.
On the stored daily series the wheel was ahead of buy-and-hold on 330 of 500 days (66.0%). Its widest lead was $19,513 on 2026-09-25; its widest deficit was −$12,561 on 2025-02-13.
Wheel P&L peaked at $20,570 on 2026-08-24 and bottomed at −$13,866 on 2025-03-13. Buy-and-hold peaked at $15,052 on 2026-05-19 and bottomed at −$9,380 on 2025-12-22.
Of 51 priced entries, 7 used Black-Scholes fills from implied volatility, 27 used historical option bars, and 17 used Black-Scholes fills from realized volatility. The engine flagged this run as using modeled fills.
| Month | Wheel P&L | Wheel change in month | Buy-and-hold P&L | Wheel minus hold | Wheel below peak | Hold below peak |
|---|---|---|---|---|---|---|
| 2024-11 | $1,304 | — | $2,808 | −$1,504 | $0 | $0 |
| 2024-12 | −$3,294 | −$4,598 | −$2,753 | −$541 | $5,340 | $7,842 |
| 2025-01 | $745 | $4,039 | $3,608 | −$2,863 | $1,301 | $1,481 |
| 2025-02 | $1,297 | $552 | $10,481 | −$9,184 | $749 | $2,825 |
| 2025-03 | −$7,116 | −$8,414 | $198 | −$7,314 | $9,163 | $13,108 |
| 2025-04 | −$803 | $6,313 | $5,070 | −$5,873 | $2,850 | $8,236 |
| 2025-05 | $1,284 | $2,088 | $9,638 | −$8,354 | $762 | $3,668 |
| 2025-06 | $2,479 | $1,194 | $4,614 | −$2,135 | $1,454 | $8,692 |
| 2025-07 | −$1,140 | −$3,619 | −$416 | −$724 | $5,073 | $13,722 |
| 2025-08 | $351 | $1,492 | −$48 | $399 | $5,125 | $13,354 |
| 2025-09 | $2,293 | $1,941 | −$1,817 | $4,110 | $3,184 | $15,123 |
| 2025-10 | $2,013 | −$280 | −$3,235 | $5,248 | $3,828 | $16,541 |
| 2025-11 | $3,447 | $1,434 | −$3,021 | $6,468 | $2,394 | $16,327 |
| 2025-12 | $72 | −$3,375 | −$8,146 | $8,218 | $5,769 | $21,452 |
| 2026-01 | $4,122 | $4,050 | −$355 | $4,477 | $5,961 | $13,661 |
| 2026-02 | $12,280 | $8,158 | $6,699 | $5,581 | $0 | $6,607 |
| 2026-03 | $15,122 | $2,842 | $5,263 | $9,859 | $15 | $8,043 |
| 2026-04 | $17,029 | $1,907 | $7,073 | $9,956 | $1,653 | $6,233 |
| 2026-05 | $19,464 | $2,435 | $1,252 | $18,212 | $0 | $13,800 |
| 2026-06 | $13,881 | −$5,583 | −$833 | $14,714 | $5,583 | $15,885 |
| 2026-07 | $17,174 | $3,293 | $809 | $16,365 | $2,290 | $14,243 |
| 2026-08 | $17,819 | $645 | $9 | $17,810 | $2,751 | $15,043 |
| 2026-09 | $16,167 | −$1,652 | −$3,346 | $19,513 | $4,403 | $18,398 |
| 2026-10 | $17,934 | $1,767 | $6,848 | $11,086 | $2,636 | $8,204 |
| 2026-11 | $17,934 | $0 | $10,976 | $6,958 | $2,636 | $4,076 |
18 of 45 snapshots show simulated wheel P&L above buy-and-hold over their windows. COST is one of them.
Simulated premium equals 214.3% of the combined wheel P&L here; the median across snapshots with positive wheel P&L is 238.8%.
Compared with its defensive, healthcare and income peers LLY, UNH, XLP and XLU, COST sits above the peer median put assignment rate of 29.8%. 1 of those 4 peers had simulated wheel P&L above buy-and-hold, as did COST.
The separate 21-Day Rule study for COST uses a longer 35 DTE recipe, so it is not additive to this snapshot. On that study the managed arm finished +4.0 pp ahead of holding to expiry, against a median of +2.0 pp across tickers.
| Metric | COST | Family median | Rank (highest first unless noted) |
|---|---|---|---|
| Put assignment rate | 36.8% | 31.0% | 11th of 45 |
| Simulated premium | $38,434 | $10,128 | 7th of 45 |
| Wheel P&L | $17,934 | $2,828 | 5th of 45 |
| Buy-and-hold P&L | $10,976 | $3,901 | 9th of 45 |
| Wheel minus buy-and-hold | $6,958 | −$495 | 4th of 45 |
| Ticker | Put assignment | Premium | Wheel P&L | Buy-and-hold P&L | Outcome |
|---|---|---|---|---|---|
| COST | 36.8% | $38,434 | $17,934 | $10,976 | Wheel ahead |
| LLY | 31.0% | $79,237 | $19,237 | $52,246 | Wheel behind |
| UNH | 32.1% | $32,256 | −$25,244 | −$22,166 | Wheel behind |
| XLP | 28.6% | $1,671 | $421 | $926 | Wheel behind |
| XLU | 20.0% | $1,583 | $683 | $354 | Wheel ahead |
COST 21-Day Rule study — the other published study on this ticker.
One fixed recipe: no price tape, no trade list, and model fills where quotes were missing
Requested 2024-11-08–2026-11-08; actual 2024-11-08–2026-11-06.
Pricing sources: 7 IV / 27 bar / 17 HV
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