Methodology
Wheel Watcher finds cash-secured put setups with a simple, documented rule: a price pullback to its lower Bollinger Band in an uptrend, using puts 45–75 days out at about 10 delta. This page defines every number the site shows, how it is calculated, and what it does not claim.
1. The entry rule
A ticker fires a CSP entry setup only when all of these hold on the daily bar:
- Bollinger Band (20, 2) lower-band touch — the day's low touches or crosses the lower band (20-day mean minus 2 standard deviations).
- Regime filter: close above the 200-day SMA — a band touch below the 200-day is blocked as bearish, not an entry. This is why BMNR (band touch, but 20.18 < 200-day 20.94 on Oct 30) produced no setup.
- Put window: 45–75 DTE, ~10 delta — the two nearest qualifying expiries are shown. The strike shown is the ~10-delta put among strikes with a real bid; if quotes are stale, the fallback is the ~10%-below-spot strike.
Watched tickers: SPY, QQQ, IWM, DIA, BMNR, NFLX.
Why "no setup" is shown too: every watched ticker is listed with its reason (no band touch, or blocked as bearish). A signal list that hides its misses cannot be checked.
2. CUSHION and ANN. YIELD
| Label | Meaning | Formula |
|---|---|---|
| CUSHION | How far the price can fall before hitting the strike. This is the old OTM%. | (spot − strike) / spot × 100 |
| ANN. YIELD | Premium annualised over the put's life. This is the old YIELD%, annualised. | (bid / strike) × (365 / DTE) × 100 |
Example — Oct 30, 2026 entries
| Put | Bid | CUSHION | ANN. YIELD | Excess vs T-bill |
|---|---|---|---|---|
| SPY 680, Dec 18 (49 DTE) | $3.81 | 10.0% | 4.17% | +0.26pp |
| SPY 673, Dec 31 (62 DTE) | $4.24 | 11.0% | 3.71% | −0.20pp |
| QQQ 600, Dec 18 (49 DTE) | $4.71 | 13.1% | 5.85% | +1.94pp |
| QQQ 590, Dec 31 (62 DTE) | $4.98 | 14.6% | 4.97% | +1.06pp |
3. Excess yield: what a put pays above a T-bill
ANN. YIELD alone flatters: it treats every premium dollar as return and ignores what the collateral could otherwise earn. Excess subtracts the short-term risk-free rate:
Excess = ANN. YIELD − 4-week T-bill rate
Rate: FRED series DTB4WK (4-week Treasury bill). Example: 3.91% as of Oct 29, 2026, used for the Oct 30 entries.
How to read it: a negative excess means the put, annualised, pays less than a T-bill while still carrying assignment risk. That does not automatically disqualify the setup — the rule fired on timing (band + regime), not on yield — but it is shown so a high premium is never mistaken for a high return. Excess is a ranking aid, not a return forecast: it assumes the same premium repeats every cycle for a year, which it will not.
4. Bag-hold flag (0–3)
A warning that a stock may be a problem to own at the strike if assigned. One point each, computed from daily closes:
| Trigger | Definition |
|---|---|
| Downtrend | 5-year return below 0%. |
| High vol | Realised volatility above 60% (annualised standard deviation of daily log returns). |
| Deep drawdown | 1-year max drawdown worse than −50% (peak-to-trough over the trailing 252 trading days). |
A component that cannot be computed is shown as unknown, never as clean. Example: BMNR's price history starts 2025-06-05, so its 5-year return is unknown — its score counts only the two computable components.
Oct 30, 2026 scores
| Ticker | Score | Detail |
|---|---|---|
| SPY | 0/3 | 5-yr +64.3%, vol 17.2%, 1-yr max drawdown −9.1% — clean |
| QQQ | 0/3 | 5-yr +78.2%, vol 23.1%, 1-yr max drawdown −11.8% — clean |
| IWM | 0/3 | 5-yr +19.4%, vol 22.4%, 1-yr max drawdown −11.4% — clean |
| DIA | 0/3 | 5-yr +44.0%, vol 14.8%, 1-yr max drawdown −10.1% — clean |
| BMNR | 2/3 | High vol 221.0%, 1-yr max drawdown −71.5%; 5-yr return unknown (history too short) |
| NFLX | 1/3 | Downtrend only: 5-yr −8.9%; vol 45.3%, 1-yr max drawdown −46.4% (near, but not past, the −50% trigger) |
The bag-hold flag does not block an entry by itself — it is context, not a rule. BMNR was already blocked by the regime filter; its 2/3 flag is additional context, not the reason.
5. Data sources
| Input | Source |
|---|---|
| Daily closes (Bollinger, 200-day, bag-hold) | Daily closes (yfinance). Put/call ratios: CBOE. |
| Option bids, strikes, IV, delta | Option chains (snapshot at publication); delta is a Black-Scholes estimate at the chain's IV, not a broker quote. |
| Risk-free rate | FRED DTB4WK (4-week T-bill). |
| Put/call, VIX, yields, macro | CBOE daily statistics, VIX / 10Y series, and FRED macro series. |
6. What this site does not do
- No backtest of this rule yet. No win rate or historical return is claimed for the BB + 200-day rule.
- No live quotes. Daily closes are end-of-day; option bids are a snapshot at run time and can be stale or move before any trade.
- No ranking by yield alone. ANN. YIELD and excess are shown for honesty, but entries are fired by the band + regime rule, not by sorting on yield.
- No recommendation, no positions. Nothing here says to buy, sell, or hold any security, and no actual trades are tracked or claimed.
- No breach / recovery probabilities yet. Historical breach rates, conditional loss, and post-assignment recovery are planned methods, not present ones.