Wheel + Anchor — Monte Carlo Simulator

Parameters

Underlying Spot price S₀ Annual drift (μ) 7% Annual volatility (σ) 12% Risk-free rate 4.5% Trading days simulated Strike increment ($)

Preset Load a preset

Presets pre-fill parameters below. Select "Custom" to freeze changes.

Front-month Wheel (0DTE) Contracts per position Put delta target 0.30 DTE IV premium on wheel puts (vol skew) +0%

Skew applies to BOTH front + back wheel puts. Set contracts to 0 to disable this leg.

Back-month Wheel (2DTE) Contracts Put delta target 0.30 DTE

Set contracts to 0 to disable this leg. The back leg opens new positions each cycle.

Covered Call (after assignment) Call delta target 0.40 DTE

Basis-aware call delta Min delta when underwater 0.10 Underwater sensitivity 1.0×

When spot < basis, scale call delta down; sell further OTM. Floors at min delta; higher sensitivity = more aggressive reduction.

Anchor Put (tail-risk hedge) Enable anchor Anchor delta 0.20 Anchor contracts Anchor DTE Roll when DTE ≤ IV premium on anchor (vol skew) +3%

Convert to vertical when ITM ITM trigger (% below long K) 3% Short strike selection Spread width ($) Short-leg delta target 0.30

Simulation Iterations

Contract counts are set per-leg above (front wheel, back wheel, anchor).

Random seed (blank = random)

Mean total P&L

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Median

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Std dev

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Win rate

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5% VaR (worst)

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95% best case

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Anchor mean P&L

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Wheel mean P&L

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Avg assignments

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Avg call-aways

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Anchor conversions

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Max drawdown (mean)

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Sharpe ratio (ann.)

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Equity curves — all paths

Total P&L (wheel + anchor) over time. Click any path to inspect its trades. Median dashed, selected path in blue.

Selected path return (on notional)

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Selected path P&L

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Spot price — same paths

Spot price over time. Selected path in blue, median dashed amber, mean dashed purple. Buy & hold 100 shares comparison below.

Selected path return

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Selected path P&L (100 sh)

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Mean return (all paths)

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Mean P&L (100 sh)

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P&L distribution

Terminal P&L across all iterations

Wheel vs Anchor — mean curves

Compare components. Anchor is your tail-risk hedge.

Trade log

Click any path on the equity chart to view it, or use the picker →

Path #

Day	Trade	Open Spot	Strike	Prem	Close Spot	Basis	Next Strike	P&L	Cum