For cash-secured-puts I know how to calculate the annual return of a single one like:

(Returns divided by Capital at Risk) x (365 divided by Holding Period in days)

With a "wheel" strategy (selling puts until assignment, selling calls until stocks being called away) how could one calculate the ROI for any number of cash-secured-puts on different stocks, different opening/closing dates, overlapping periods etc.?

Example trades:

2022-01-02 Sell 1 AAA Put with Strike 10 and receive 100$ after commissions
2022-01-07 Sell 1 BBB Put with Strike 20 and receive 120$ after commissions
2022-01-10 Buy  1 AAA Put with Strike 10 for 50$ incl. commissions
2022-01-18      1 BBB Put expires out of money

It of course would eventually also hold trades that ended in an assignment or a realized loss. My aim would be to compare that rate to an index like the S&P500.


1 Answer 1


Plan A: Search this web site for previous explanations about this. For example: How to Calculate Return of Multi Positional Trading Strategy

Plan B: Keep it simple. Determine your daily P&L total for these positions based on a predetermined starting date and each day, calculate the ROI based on that starting date. At the same time, calculate the return of the base index from that same starting date.

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