# Wheel full-cycle backtest — 2026-09-30

SIP daily bars since 2016-01-01, 50 symbols, IV proxy = realized vol × 1. One contract per symbol. **Stock P&L included** (assignments, covered calls, called away). Research only — Black-Scholes, no real historical option prices; compare, don't bank.

## 1. Live config (Δ0.30 put, ~3 weeks, 50% early close, no stock stop) — per symbol

| Symbol | Wheel /yr | Buy&hold /yr | Max DD | Assignments | Called away | Days holding shares | Realized vol | Worst stock exit |
|---|--:|--:|--:|--:|--:|--:|--:|--:|
| MU | +40.4% | +53.4% | 172% | 20 | 20 | 59% | 48% | $-22000 |
| ANET | +32.8% | +46.2% | 83% | 25 | 25 | 41% | 43% | $-4600 |
| AMD | +31.5% | +72.3% | 70% | 28 | 28 | 53% | 56% | $-4500 |
| NVDA | +29.1% | +71.5% | 47% | 26 | 25 | 53% | 46% | $-2500 |
| SMCI ★ | +22.3% | +31.2% | 223% | 16 | 15 | 74% | 65% | $-4500 |
| AVGO | +21.6% | +36.9% | 83% | 25 | 24 | 42% | 36% | $-4900 |
| PLTR | +21.4% | +54.6% | 69% | 9 | 9 | 65% | 65% | $-4400 |
| HOOD | +16.4% | +23.3% | 69% | 6 | 6 | 77% | 65% | $-1800 |
| MA | +14.9% | +19.4% | 38% | 32 | 31 | 48% | 24% | $-4000 |
| AMZN | +13.6% | +23.6% | 48% | 22 | 22 | 51% | 30% | $-3600 |
| TSLA | +13.5% | +38.6% | 95% | 22 | 21 | 70% | 55% | $-11000 |
| MSFT | +13.1% | +24.0% | 58% | 24 | 23 | 50% | 25% | $-4000 |
| INTC | +12.7% | +13.8% | 65% | 18 | 18 | 72% | 39% | $-3100 |
| GOOGL | +12.0% | +23.7% | 45% | 24 | 24 | 46% | 27% | $-5500 |
| V | +11.9% | +16.7% | 31% | 29 | 29 | 45% | 22% | $-3000 |
| META | +11.5% | +20.4% | 71% | 24 | 24 | 55% | 35% | $-12000 |
| JPM | +11.2% | +18.0% | 38% | 29 | 28 | 54% | 24% | $-1500 |
| QCOM | +10.8% | +13.3% | 41% | 24 | 24 | 60% | 36% | $-5300 |
| GM | +10.7% | +10.1% | 61% | 18 | 18 | 72% | 33% | $-900 |
| AAPL | +10.3% | +28.0% | 55% | 31 | 31 | 45% | 26% | $-2500 |
| SHOP | +10.1% | +49.8% | 124% | 20 | 19 | 61% | 55% | $-2900 |
| ABBV | +10.0% | +16.0% | 28% | 26 | 26 | 59% | 24% | $-2800 |
| C | +9.6% | +12.1% | 56% | 19 | 19 | 64% | 29% | $-1400 |
| CRM | +9.0% | +13.0% | 67% | 22 | 22 | 58% | 33% | $-8000 |
| COST | +9.0% | +18.8% | 33% | 28 | 27 | 48% | 20% | $-11000 |
| CSCO | +8.2% | +14.1% | 39% | 20 | 19 | 66% | 24% | $-700 |
| WMT | +8.1% | +16.4% | 44% | 27 | 26 | 54% | 20% | $-700 |
| PG | +7.5% | +5.8% | 21% | 22 | 21 | 55% | 17% | $-1100 |
| NFLX ★ | +7.5% | +21.4% | 81% | 25 | 24 | 60% | 39% | $-3300 |
| JNJ | +7.3% | +9.3% | 25% | 25 | 25 | 58% | 17% | $-1500 |
| XOM | +7.1% | +6.5% | 50% | 18 | 18 | 70% | 25% | $-2600 |
| UNH | +6.5% | +11.6% | 73% | 24 | 23 | 55% | 26% | $-7000 |
| IBM | +6.4% | +4.9% | 43% | 22 | 21 | 67% | 25% | $-3500 |
| CVX | +6.4% | +8.4% | 45% | 20 | 20 | 67% | 25% | $-2900 |
| BAC | +6.3% | +15.2% | 50% | 20 | 19 | 64% | 28% | $-700 |
| KO | +6.0% | +6.7% | 36% | 24 | 24 | 64% | 16% | $-900 |
| HDB | +5.3% | +4.8% | 50% | 20 | 19 | 62% | 26% | $-400 |
| WFC | +5.1% | +5.1% | 60% | 14 | 14 | 76% | 28% | $-1600 |
| ORCL | +3.8% | +13.3% | 146% | 26 | 25 | 54% | 30% | $-2300 |
| PEP | +3.3% | +2.4% | 28% | 24 | 23 | 63% | 17% | $-1200 |
| COIN | +3.3% | -4.8% | 84% | 6 | 5 | 83% | 80% | $-13000 |
| SOFI ★ | +2.8% | -3.2% | 72% | 6 | 5 | 84% | 66% | $-1350 |
| HD | +2.0% | +8.6% | 39% | 24 | 23 | 65% | 22% | $-5500 |
| VZ | +0.9% | -1.0% | 44% | 12 | 11 | 78% | 19% | $-700 |
| F | +0.5% | +0.0% | 62% | 5 | 4 | 91% | 34% | $-100 |
| DIS ★ | +0.4% | +1.0% | 62% | 15 | 14 | 74% | 26% | $-1900 |
| PFE | -1.4% | -0.3% | 67% | 14 | 13 | 80% | 22% | $-1000 |
| T | -2.2% | -3.8% | 61% | 4 | 3 | 94% | 22% | $-100 |
| MARA ★ | -3.0% | -7.1% | 115% | 4 | 3 | 94% | 115% | $-1700 |
| APP | -3.9% | +30.5% | 121% | 9 | 8 | 68% | 72% | $-18500 |
| **Median** | **+8.6%** | +14.0% | 59% | | | | | |

★ = current live wheel watchlist. /yr = simple annualized return on average collateral (strike × 100 while a put is open, assignment cost while holding shares).

## 2. Settings grid (all 50 symbols) — ranked by median return ÷ median drawdown

| Settings | Median /yr | Mean /yr | % symbols profitable | Median max DD | Return/DD | Beats buy&hold |
|---|--:|--:|--:|--:|--:|--:|
| Δ0.30 · 32td · hold · no stop | +8.4% | +9.3% | 94% | 56% | 0.15 | 18% |
| Δ0.30 · 10td · 50% close · no stop | +8.7% | +10.9% | 90% | 58% | 0.15 | 24% |
| Δ0.15 · 32td · hold · no stop | +6.7% | +7.6% | 90% | 49% | 0.13 | 16% |
| Δ0.20 · 10td · hold · no stop | +7.6% | +9.4% | 88% | 56% | 0.13 | 22% |
| Δ0.30 · 10td · hold · no stop | +8.3% | +10.5% | 88% | 62% | 0.13 | 24% |
| Δ0.20 · 21td · 50% close · no stop | +7.4% | +8.4% | 92% | 55% | 0.13 | 14% |
| Δ0.30 · 21td · 50% close · no stop | +7.7% | +9.7% | 90% | 58% | 0.13 | 18% |
| Δ0.15 · 10td · hold · no stop | +7.0% | +8.4% | 90% | 53% | 0.13 | 12% |
| Δ0.15 · 21td · 50% close · no stop | +7.1% | +7.8% | 92% | 54% | 0.13 | 14% |
| Δ0.15 · 10td · 50% close · no stop | +7.2% | +8.3% | 90% | 55% | 0.13 | 14% |
| Δ0.20 · 10td · 50% close · no stop | +7.7% | +9.3% | 92% | 59% | 0.13 | 24% |
| Δ0.30 · 10td · 50% close · 20% stop | +7.8% | +9.6% | 90% | 60% | 0.13 | 18% |
| Δ0.20 · 21td · hold · no stop | +7.3% | +9.2% | 92% | 56% | 0.13 | 12% |
| Δ0.30 · 21td · hold · no stop | +7.8% | +9.6% | 94% | 60% | 0.13 | 18% |
| Δ0.30 · 32td · 50% close · no stop | +6.9% | +8.8% | 92% | 54% | 0.13 | 14% |
| Δ0.20 · 32td · hold · no stop | +6.9% | +8.3% | 94% | 54% | 0.13 | 20% |
| Δ0.20 · 32td · 50% close · no stop | +6.1% | +7.7% | 92% | 50% | 0.12 | 14% |
| Δ0.15 · 21td · hold · no stop | +6.2% | +8.2% | 92% | 54% | 0.12 | 16% |
| Δ0.30 · 21td · hold · 20% stop | +6.5% | +8.4% | 88% | 56% | 0.12 | 12% |
| Δ0.20 · 10td · 50% close · 20% stop | +6.4% | +7.1% | 92% | 56% | 0.11 | 16% |
| Δ0.30 · 10td · hold · 20% stop | +6.9% | +8.0% | 86% | 60% | 0.11 | 18% |
| Δ0.15 · 32td · 50% close · no stop | +5.4% | +6.9% | 96% | 48% | 0.11 | 16% |
| Δ0.30 · 21td · 50% close · 20% stop | +6.2% | +8.1% | 90% | 60% | 0.10 | 12% |
| Δ0.30 · 32td · hold · 20% stop | +5.8% | +7.2% | 88% | 57% | 0.10 | 14% |
| Δ0.30 · 32td · 50% close · 20% stop | +5.4% | +7.1% | 84% | 55% | 0.10 | 8% |
| Δ0.20 · 10td · hold · 20% stop | +5.5% | +6.3% | 80% | 55% | 0.10 | 12% |
| Δ0.20 · 21td · 50% close · 20% stop | +4.9% | +5.9% | 80% | 54% | 0.09 | 8% |
| Δ0.15 · 10td · 50% close · 20% stop | +4.8% | +5.7% | 82% | 53% | 0.09 | 6% |
| Δ0.15 · 10td · hold · 20% stop | +4.9% | +5.7% | 78% | 54% | 0.09 | 8% |
| Δ0.15 · 21td · 50% close · 20% stop | +4.7% | +5.3% | 80% | 54% | 0.09 | 8% |
| Δ0.20 · 32td · 50% close · 20% stop | +4.5% | +6.4% | 88% | 57% | 0.08 | 12% |
| Δ0.15 · 32td · 50% close · 20% stop | +4.0% | +4.8% | 78% | 52% | 0.08 | 8% |
| Δ0.20 · 21td · hold · 20% stop | +4.2% | +4.6% | 80% | 57% | 0.07 | 8% |
| Δ0.20 · 32td · hold · 20% stop | +3.9% | +4.6% | 82% | 53% | 0.07 | 8% |
| Δ0.15 · 32td · hold · 20% stop | +3.4% | +4.0% | 82% | 52% | 0.07 | 14% |
| Δ0.15 · 21td · hold · 20% stop | +2.8% | +3.1% | 66% | 51% | 0.05 | 8% |

## 3. What kind of stock suits the wheel (best settings: Δ0.30 · 32td · hold · no stop)

### By volatility

| Realized vol | n | Wheel /yr | Buy&hold /yr | Max DD | Names |
|---|--:|--:|--:|--:|---|
| <30% (defensive) | 27 | +6.7% | +9.3% | 41% | DIS, AAPL, MSFT, GOOGL, JPM, XOM, UNH, HDB, KO, PEP, JNJ, PG, WMT, HD, COST, V, MA, BAC, WFC, C, CSCO, PFE, T, VZ, CVX, IBM, ABBV |
| 30–50% (large-cap growth) | 13 | +13.0% | +20.4% | 67% | NFLX, NVDA, AMZN, META, AVGO, CRM, ORCL, QCOM, MU, INTC, ANET, F, GM |
| 50–80% (volatile) | 8 | +12.5% | +34.9% | 106% | SOFI, SMCI, TSLA, AMD, PLTR, HOOD, SHOP, APP |
| ≥80% (speculative) | 2 | +5.1% | -5.9% | 87% | MARA, COIN |

### By trend (the stock's own buy&hold return)

| Trend | n | Wheel /yr | Buy&hold /yr | Max DD | Names |
|---|--:|--:|--:|--:|---|
| falling (<0%/yr) | 6 | +2.4% | -3.5% | 63% | MARA, SOFI, COIN, PFE, T, VZ |
| flat-ish (0–10%/yr) | 12 | +4.8% | +5.4% | 44% | DIS, XOM, HDB, KO, PEP, JNJ, PG, HD, WFC, F, CVX, IBM |
| rising (10–25%/yr) | 21 | +9.4% | +16.4% | 52% | NFLX, MSFT, AMZN, META, GOOGL, CRM, ORCL, QCOM, INTC, HOOD, JPM, UNH, WMT, COST, V, MA, BAC, C, CSCO, GM, ABBV |
| strong (≥25%/yr) | 11 | +17.9% | +46.2% | 90% | SMCI, AAPL, NVDA, TSLA, AVGO, AMD, MU, ANET, PLTR, SHOP, APP |

## Caveats

- Premiums are Black-Scholes on trailing realized vol × ivMult; real implied vol usually runs higher (more premium) and has skew (puts dearer). Re-run with `--ivmult=1.2` for sensitivity.
- No bid/ask spread, commissions, early assignment, or dividends on covered calls.
- Survivorship bias: today's names, run backwards. A wheel on a stock that later went to zero isn't in here.
- One contract per symbol, not a portfolio — no collateral cap, no concurrency limit.