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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.

user640916
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1 Answers1

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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.

Bob Baerker
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