Nov 8, 2024 – Nov 6, 2026
Buy & hold finished $2393.87 ahead of the wheel (earned more: $13710.00 vs $11316.13).
Buy & hold Buy 100 shares and hold | Wheel strategy Puts → calls · keep premiums as cash | |
|---|---|---|
| Profit or loss | $13710.00 | $11316.13 |
| Largest drop | $11645.00 | $11148.78 |
This simulation ran 2024-11-08 to 2026-11-06 (51 trades, 4 cycles).
Simulated premium was $14,816. Simulated stock / assignment P&L was −$3,500. Combined realized P&L was $11,316.
Puts were assigned on 10.5% of put trades (4 of 38). Calls were assigned away on 30.8% of call trades (4 of 13).
This simulation’s wheel P&L ($11,316) trailed buy-and-hold P&L ($13,710) on the stored window.
Wheel drawdown was $11,149 on the engine's stored basis; measured as the deepest fall from a P&L peak on the daily P&L series it was $11,149, from the 2025-02-19 peak to the 2025-04-08 trough, and got back to that peak on 2025-11-24. Buy-and-hold drawdown was $11,645 on the engine's stored basis; measured as the deepest fall from a P&L peak on the daily P&L series it was $11,645, from the 2025-02-19 peak to the 2025-04-08 trough, and got back to that peak on 2025-06-27.
On the stored daily series the wheel was ahead of buy-and-hold on 120 of 500 days (24.0%). Its widest lead was $2,563 on 2025-04-28; its widest deficit was −$9,590 on 2026-06-02.
Wheel P&L peaked at $11,333 on 2026-08-04 and bottomed at −$8,169 on 2025-04-08. Buy-and-hold peaked at $18,090 on 2026-10-06 and bottomed at −$10,171 on 2025-04-08.
Of 51 priced entries, 6 used Black-Scholes fills from implied volatility, 27 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 | $282 | — | $436 | −$154 | $0 | $0 |
| 2024-12 | −$306 | −$588 | −$1,211 | $905 | $1,526 | $2,173 |
| 2025-01 | $1,607 | $1,913 | $363 | $1,244 | $793 | $793 |
| 2025-02 | $1,105 | −$502 | −$401 | $1,506 | $1,875 | $1,875 |
| 2025-03 | −$1,878 | −$2,983 | −$3,880 | $2,002 | $4,858 | $5,354 |
| 2025-04 | −$2,171 | −$293 | −$4,365 | $2,194 | $5,151 | $5,839 |
| 2025-05 | −$1,240 | $931 | −$880 | −$360 | $4,220 | $2,354 |
| 2025-06 | −$519 | $721 | $1,966 | −$2,485 | $3,499 | $0 |
| 2025-07 | $100 | $619 | $3,389 | −$3,289 | $2,880 | $502 |
| 2025-08 | $666 | $566 | $4,686 | −$4,020 | $2,314 | $387 |
| 2025-09 | $911 | $245 | $6,799 | −$5,888 | $2,069 | $66 |
| 2025-10 | $1,695 | $784 | $8,387 | −$6,692 | $1,285 | $533 |
| 2025-11 | $4,745 | $3,050 | $8,520 | −$3,775 | $0 | $400 |
| 2025-12 | $4,860 | $115 | $8,373 | −$3,513 | $0 | $846 |
| 2026-01 | $5,761 | $901 | $9,378 | −$3,617 | $0 | $352 |
| 2026-02 | $6,737 | $976 | $8,780 | −$2,043 | $0 | $950 |
| 2026-03 | $5,751 | −$986 | $5,215 | $536 | $1,455 | $4,515 |
| 2026-04 | $5,917 | $166 | $12,047 | −$6,130 | $2,791 | $0 |
| 2026-05 | $6,548 | $631 | $15,829 | −$9,281 | $2,160 | $0 |
| 2026-06 | $7,838 | $1,290 | $14,858 | −$7,020 | $870 | $1,280 |
| 2026-07 | $8,903 | $1,065 | $14,884 | −$5,981 | $0 | $1,254 |
| 2026-08 | $10,157 | $1,254 | $16,886 | −$6,729 | $1,176 | $1,083 |
| 2026-09 | $10,616 | $459 | $16,444 | −$5,828 | $717 | $1,525 |
| 2026-10 | $11,316 | $700 | $15,753 | −$4,437 | $17 | $2,337 |
| 2026-11 | $11,316 | $0 | $13,710 | −$2,394 | $17 | $4,380 |
18 of 45 snapshots show simulated wheel P&L above buy-and-hold over their windows. SPY is not one of them.
Simulated premium equals 130.9% of the combined wheel P&L here; the median across snapshots with positive wheel P&L is 238.8%.
Compared with its index and broad sector ETF peers DIA, IWM, QQQ and XLI, SPY sits below the peer median put assignment rate of 15.3%. 2 of those 4 peers had simulated wheel P&L above buy-and-hold, while SPY did not.
The separate 21-Day Rule study for SPY uses a longer 35 DTE recipe, so it is not additive to this snapshot. On that study the managed arm finished -12.3 pp behind holding to expiry, against a median of +2.0 pp across tickers.
| Metric | SPY | Family median | Rank (highest first unless noted) |
|---|---|---|---|
| Put assignment rate | 10.5% | 31.0% | 45th of 45 |
| Simulated premium | $14,816 | $10,128 | 17th of 45 |
| Wheel P&L | $11,316 | $2,828 | 8th of 45 |
| Buy-and-hold P&L | $13,710 | $3,901 | 5th of 45 |
| Wheel minus buy-and-hold | −$2,394 | −$495 | 34th of 45 |
| Ticker | Put assignment | Premium | Wheel P&L | Buy-and-hold P&L | Outcome |
|---|---|---|---|---|---|
| SPY | 10.5% | $14,816 | $11,316 | $13,710 | Wheel behind |
| DIA | 11.4% | $9,243 | $5,743 | $7,211 | Wheel behind |
| IWM | 20.0% | $10,257 | $3,757 | $3,555 | Wheel ahead |
| QQQ | 12.5% | $21,936 | $11,936 | $14,196 | Wheel behind |
| XLI | 18.2% | $4,742 | $4,992 | $2,058 | Wheel ahead |
SPY 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 / 27 bar / 18 HV
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