Nov 8, 2024 – Nov 6, 2026
The wheel finished $834.11 ahead of buy & hold (lost less: $-222.89 vs $-1057.00).
Buy & hold Buy 100 shares and hold | Wheel strategy Puts → calls · keep premiums as cash | |
|---|---|---|
| Profit or loss | $-1057.00 | $-222.89 |
| Largest drop | $1728.00 | $1005.36 |
This simulation ran 2024-11-08 to 2026-11-06 (50 trades, 5 cycles).
Simulated premium was $1,277. Simulated stock / assignment P&L was −$1,500. Combined realized P&L was −$223.
Puts were assigned on 33.3% of put trades (5 of 15). Calls were assigned away on 14.3% of call trades (5 of 35).
This simulation’s wheel P&L (−$223) beat buy-and-hold P&L (−$1,057) on the stored window.
Wheel drawdown was $1,005 on the engine's stored basis; measured as the deepest fall from a P&L peak on the daily P&L series it was $1,005, from the 2025-09-11 peak to the 2026-10-02 trough, and had not got back to that peak by the end of the window. Buy-and-hold drawdown was $1,728 on the engine's stored basis; measured as the deepest fall from a P&L peak on the daily P&L series it was $1,728, from the 2024-12-06 peak to the 2026-10-05 trough, and had not got back to that peak by the end of the window.
On the stored daily series the wheel was ahead of buy-and-hold on 489 of 500 days (97.8%). Its widest lead was $1,241 on 2026-10-05; its widest deficit was −$140 on 2024-12-05.
Wheel P&L peaked at $675 on 2025-09-11 and bottomed at −$573 on 2025-01-14. Buy-and-hold peaked at $190 on 2024-12-06 and bottomed at −$1,538 on 2026-10-05.
Of 50 priced entries, 11 used Black-Scholes fills from implied volatility, 26 used historical option bars, and 13 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 | $36 | — | $148 | −$112 | $0 | $0 |
| 2024-12 | −$432 | −$468 | −$516 | $84 | $501 | $706 |
| 2025-01 | −$306 | $127 | −$473 | $167 | $374 | $663 |
| 2025-02 | −$34 | $272 | −$6 | −$28 | $196 | $196 |
| 2025-03 | $7 | $41 | −$146 | $153 | $155 | $336 |
| 2025-04 | $290 | $283 | −$302 | $592 | $73 | $492 |
| 2025-05 | $38 | −$252 | −$621 | $659 | $325 | $811 |
| 2025-06 | $315 | $277 | −$424 | $739 | $48 | $614 |
| 2025-07 | $241 | −$75 | −$557 | $798 | $123 | $747 |
| 2025-08 | $280 | $39 | −$589 | $869 | $84 | $779 |
| 2025-09 | $426 | $146 | −$312 | $738 | $249 | $502 |
| 2025-10 | $511 | $85 | −$220 | $731 | $164 | $410 |
| 2025-11 | $545 | $34 | −$228 | $773 | $130 | $418 |
| 2025-12 | $260 | −$285 | −$533 | $793 | $415 | $723 |
| 2026-01 | $313 | $53 | −$536 | $849 | $362 | $726 |
| 2026-02 | $373 | $60 | −$167 | $540 | $302 | $357 |
| 2026-03 | $391 | $18 | −$580 | $971 | $284 | $770 |
| 2026-04 | $328 | −$63 | −$687 | $1,015 | $347 | $877 |
| 2026-05 | $355 | $27 | −$673 | $1,028 | $320 | $863 |
| 2026-06 | $435 | $80 | −$607 | $1,042 | $240 | $797 |
| 2026-07 | $56 | −$379 | −$1,024 | $1,080 | $619 | $1,214 |
| 2026-08 | $139 | $83 | −$997 | $1,136 | $536 | $1,187 |
| 2026-09 | −$300 | −$439 | −$1,471 | $1,171 | $975 | $1,661 |
| 2026-10 | −$223 | $77 | −$1,065 | $842 | $898 | $1,255 |
| 2026-11 | −$223 | $0 | −$1,057 | $834 | $898 | $1,247 |
18 of 45 snapshots show simulated wheel P&L above buy-and-hold over their windows. TLT is one of them.
Compared with its defensive, healthcare and income peers HYG, KO, O and VNQ, TLT sits below the peer median put assignment rate of 36.0%. 3 of those 4 peers had simulated wheel P&L above buy-and-hold, as did TLT.
The separate 21-Day Rule study for TLT uses a longer 35 DTE recipe, so it is not additive to this snapshot. On that study the managed arm finished -8.2 pp behind holding to expiry, against a median of +2.0 pp across tickers.
| Metric | TLT | Family median | Rank (highest first unless noted) |
|---|---|---|---|
| Put assignment rate | 33.3% | 31.0% | 18th of 45 |
| Simulated premium | $1,277 | $10,128 | 44th of 45 |
| Wheel P&L | −$223 | $2,828 | 42nd of 45 |
| Buy-and-hold P&L | −$1,057 | $3,901 | 43rd of 45 |
| Wheel minus buy-and-hold | $834 | −$495 | 13th of 45 |
| Ticker | Put assignment | Premium | Wheel P&L | Buy-and-hold P&L | Outcome |
|---|---|---|---|---|---|
| TLT | 33.3% | $1,277 | −$223 | −$1,057 | Wheel ahead |
| HYG | 12.1% | $382 | $382 | −$257 | Wheel ahead |
| KO | 32.0% | $2,108 | $2,108 | $3,175 | Wheel behind |
| O | 41.7% | $1,629 | $879 | $153 | Wheel ahead |
| VNQ | 40.0% | $2,580 | $1,080 | −$15 | Wheel ahead |
TLT 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: 11 IV / 26 bar / 13 HV
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