Nov 8, 2024 – Nov 6, 2026
Buy & hold finished $33008.64 ahead of the wheel (earned more: $52246.00 vs $19237.36).
Buy & hold Buy 100 shares and hold | Wheel strategy Puts → calls · keep premiums as cash | |
|---|---|---|
| Profit or loss | $52246.00 | $19237.36 |
| Largest drop | $30407.00 | $24675.81 |
This simulation ran 2024-11-08 to 2026-11-06 (50 trades, 9 cycles).
Simulated premium was $79,237. Simulated stock / assignment P&L was −$60,000. Combined realized P&L was $19,237.
Puts were assigned on 31.0% of put trades (9 of 29). Calls were assigned away on 42.9% of call trades (9 of 21).
This simulation’s wheel P&L ($19,237) trailed buy-and-hold P&L ($52,246) on the stored window.
Wheel drawdown was $24,676 on the engine's stored basis; measured as the deepest fall from a P&L peak on the daily P&L series it was $24,676, from the 2025-01-30 peak to the 2025-05-23 trough, and got back to that peak on 2026-01-07. Buy-and-hold drawdown was $30,407 on the engine's stored basis; measured as the deepest fall from a P&L peak on the daily P&L series it was $30,407, from the 2025-03-03 peak to the 2025-08-08 trough, and got back to that peak on 2025-11-06.
On the stored daily series the wheel was ahead of buy-and-hold on 86 of 500 days (17.2%). Its widest lead was $11,606 on 2025-08-08; its widest deficit was −$39,408 on 2026-11-04.
Wheel P&L peaked at $19,237 on 2026-10-23 and bottomed at −$19,566 on 2025-05-23. Buy-and-hold peaked at $58,645 on 2026-11-04 and bottomed at −$20,589 on 2025-08-08.
Of 50 priced entries, 6 used Black-Scholes fills from implied volatility, 26 used historical option bars, and 18 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 | $122 | — | −$3,619 | $3,741 | $988 | $3,709 |
| 2024-12 | −$2,050 | −$2,172 | −$5,954 | $3,904 | $5,621 | $6,044 |
| 2025-01 | −$1,713 | $337 | −$2,046 | $333 | $6,823 | $2,136 |
| 2025-02 | $1,735 | $3,449 | $8,909 | −$7,174 | $3,374 | $0 |
| 2025-03 | −$3,236 | −$4,971 | −$563 | −$2,673 | $8,346 | $10,381 |
| 2025-04 | −$6,355 | −$3,119 | $6,741 | −$13,096 | $11,465 | $3,077 |
| 2025-05 | −$15,920 | −$9,565 | −$9,387 | −$6,533 | $21,030 | $19,205 |
| 2025-06 | −$12,844 | $3,076 | −$5,201 | −$7,643 | $17,954 | $15,019 |
| 2025-07 | −$11,173 | $1,671 | −$9,147 | −$2,026 | $16,283 | $18,965 |
| 2025-08 | −$11,488 | −$315 | −$9,896 | −$1,592 | $16,598 | $19,714 |
| 2025-09 | −$6,731 | $4,757 | −$6,854 | $123 | $11,840 | $16,672 |
| 2025-10 | −$5,901 | $830 | $3,132 | −$9,033 | $11,010 | $6,686 |
| 2025-11 | −$1,952 | $3,949 | $24,393 | −$26,345 | $7,061 | $3,447 |
| 2025-12 | $2,596 | $4,548 | $24,314 | −$21,718 | $2,513 | $3,526 |
| 2026-01 | $2,697 | $101 | $20,561 | −$17,864 | $3,240 | $7,279 |
| 2026-02 | $7,381 | $4,684 | $22,045 | −$14,664 | $2,313 | $5,795 |
| 2026-03 | −$1,666 | −$9,047 | $8,823 | −$10,489 | $11,360 | $19,017 |
| 2026-04 | $6,212 | $7,878 | $10,306 | −$4,094 | $3,482 | $17,534 |
| 2026-05 | $5,202 | −$1,010 | $27,346 | −$22,144 | $6,437 | $2,180 |
| 2026-06 | $8,831 | $3,629 | $36,789 | −$27,958 | $2,808 | $3,050 |
| 2026-07 | $14,080 | $5,249 | $31,730 | −$17,650 | $0 | $8,672 |
| 2026-08 | $17,830 | $3,750 | $32,519 | −$14,689 | $0 | $12,361 |
| 2026-09 | $13,550 | −$4,280 | $32,554 | −$19,004 | $4,280 | $12,326 |
| 2026-10 | $19,237 | $5,687 | $58,600 | −$39,363 | $0 | $0 |
| 2026-11 | $19,237 | $0 | $52,246 | −$33,009 | $0 | $6,399 |
18 of 45 snapshots show simulated wheel P&L above buy-and-hold over their windows. LLY is not one of them.
Simulated premium equals 411.9% 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 HYG, TLT, UNH and XLV, LLY sits above the peer median put assignment rate of 29.1%. 2 of those 4 peers had simulated wheel P&L above buy-and-hold, while LLY did not.
The separate 21-Day Rule study for LLY uses a longer 35 DTE recipe, so it is not additive to this snapshot. On that study the managed arm finished -47.9 pp behind holding to expiry, against a median of +2.0 pp across tickers.
| Metric | LLY | Family median | Rank (highest first unless noted) |
|---|---|---|---|
| Put assignment rate | 31.0% | 31.0% | 23rd of 45 |
| Simulated premium | $79,237 | $10,128 | 1st of 45 |
| Wheel P&L | $19,237 | $2,828 | 4th of 45 |
| Buy-and-hold P&L | $52,246 | $3,901 | 1st of 45 |
| Wheel minus buy-and-hold | −$33,009 | −$495 | 45th of 45 |
| Ticker | Put assignment | Premium | Wheel P&L | Buy-and-hold P&L | Outcome |
|---|---|---|---|---|---|
| LLY | 31.0% | $79,237 | $19,237 | $52,246 | Wheel behind |
| HYG | 12.1% | $382 | $382 | −$257 | Wheel ahead |
| TLT | 33.3% | $1,277 | −$223 | −$1,057 | Wheel ahead |
| UNH | 32.1% | $32,256 | −$25,244 | −$22,166 | Wheel behind |
| XLV | 26.1% | $3,529 | $2,029 | $3,462 | Wheel behind |
LLY 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: 6 IV / 26 bar / 18 HV
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