HYPOTHETICAL PORTFOLIO, P&L AT EXPIRY MODEL ($5.0M RISK BUDGET)

v28 run 2026-08-14 15:20 SGT (run label HYPO_5M, 11 tickers; IGV mirrored from the 15:16 live IBKR run) · horizon to LEAPS expiry 2028-01-21 (525 days = 1.44 yr = 17.2 months) · companion page: structure dashboard

VIEW 1: RECOMMENDED MIX (v28 pick per ticker: BALANCED x10, SPY PIONEER)

Maximum income per dollar of max loss. Rolled near-term hedges (IGV held).
Net Income / Month
$140,444
145 of 295 ct; keep + hedge deducted; ≈$32,410/wk cycle
Total P&L at Expiry
$4,173,089
structure gains + net income
Structure P&L at Expiry
$1,750,642
all legs at +10%/yr drift
Net Delta (ex-CC)
$12.69M
1.08x notional $11.74M; 1% move ≈ $126,862
Max Loss / Invested
$5,126,352
IC $2,923,852 · budget $5,000,000
Annual ROIC (IC / ML / Notional)
99% / 57% / 25%
total P&L annualized over 1.44 yr
TickerArchetypeContracts
(inc / unc)		SpotSpot @ Expiry
(+10%/yr)		 LC / SP / HPInvestedMax LossNotionalLevNet Δ/sh
(ex-CC)		 Structure P&L
@ Expiry		Net Income
/ Mo		Net Income
to Expiry		 Total P&LROI / yr
on IC		ROI / yr
on ML		ROI / yr
on Notional
MU BALANCED 9
4 inc / 5 unc
 900.06 1,032.31 420.0 / 600.0 / 500.0 $426,015 $516,015
budget $500,000
 $810,054 1.90x 1.00
$0.81M
 $125,061 $29,227
keep 76%
 $504,115 $629,176 103% 85% 54%
QQQ BALANCED 33
16 inc / 17 unc
 731.38 838.84 580.0 / 720.0 / 640.0 $499,191 $763,191
budget $750,000
 $2,413,538 4.83x 1.07
$2.58M
 $354,971 $12,403
keep 76%
 $213,932 $568,903 79% 52% 16%
META BALANCED 20
10 inc / 10 unc
 591.86 678.82 460.0 / 550.0 / 425.0 $263,200 $513,200
budget $500,000
 $1,183,720 4.50x 1.06
$1.26M
 $174,446 $20,912
keep 75%
 $360,696 $535,142 141% 72% 31%
GOOG BALANCED 38
19 inc / 19 unc
 379.27 435.00 300.0 / 375.0 / 320.0 $292,220 $501,220
budget $500,000
 $1,441,226 4.93x 1.03
$1.48M
 $220,767 $13,131
keep 74%
 $226,484 $447,252 106% 62% 22%
GLD BALANCED 40
20 inc / 20 unc
 376.26 431.54 290.0 / 375.0 / 335.0 $343,680 $503,680
budget $500,000
 $1,505,040 4.38x 1.14
$1.71M
 $222,498 $12,029
keep 73%
 $207,487 $429,984 87% 59% 20%
NVDA BALANCED 59
29 inc / 30 unc
 219.99 252.31 160.0 / 200.0 / 175.0 $352,525 $500,025
budget $500,000
 $1,297,912 3.68x 1.00
$1.29M
 $192,090 $11,566
keep 66%
 $199,492 $391,583 77% 54% 21%
AMD BALANCED 12
6 inc / 6 unc
 494.00 566.58 420.0 / 490.0 / 350.0 $87,840 $255,840
budget $250,000
 $592,800 6.75x 0.98
$0.58M
 $88,061 $12,763
keep 72%
 $220,139 $308,200 244% 84% 36%
DELL BALANCED 9
4 inc / 5 unc
 477.00 547.09 240.0 / 300.0 / 240.0 $210,510 $264,510
budget $250,000
 $429,300 2.04x 1.00
$0.43M
 $65,868 $12,067
keep 71%
 $208,142 $274,010 90% 72% 44%
SPY PIONEER 13
6 inc / 7 unc
 778.19 892.53 635.0 / 780.0 / 300.0 $183,105 $807,105
budget $750,000
 $1,011,647 5.52x 1.37
$1.39M
 $151,685 $3,896
keep 65%
 $67,197 $218,882 83% 19% 15%
AMZN BALANCED 24
12 inc / 12 unc
 269.51 309.11 200.0 / 250.0 / 215.0 $166,728 $250,728
budget $250,000
 $646,824 3.88x 1.06
$0.69M
 $95,135 $6,368
keep 71%
 $109,845 $204,980 85% 57% 22%
IGV
live 15:16
 BALANCED 38
19 inc / 19 unc
 106.21 121.82 80.0 / 105.0 / 65.0 $98,838 $250,838
budget $250,000
 $403,598 4.08x 1.14
$0.46M
 $60,061 $6,083
keep 75%
 $104,917 $164,979 116% 46% 28%
PORTFOLIO (11 structures) 295
145 inc / 150 unc
 $2,923,852$5,126,352$11,735,658— $12.69M $1,750,642 $140,444 $2,422,447 $4,173,089 99% 57% 25%

VIEW 2 (OPTION): ALL DIAMOND, THE LOW-MTM-SENSITIVITY BOOK

Wider boxes, fewer contracts, LEAPS hedge puts held to expiry. Half the delta-dollars of View 1.
Net Income / Month
$94,238
73 of 148 ct; keep + hedge deducted; ≈$21,747/wk cycle
Total P&L at Expiry
$2,497,313
structure gains + net income
Structure P&L at Expiry
$871,856
all legs at +10%/yr drift
Net Delta (ex-CC)
$6.61M
1.14x notional $5.82M; 1% move ≈ $66,144
Max Loss / Invested
$5,204,741
IC $2,028,441 · budget $5,000,000
Annual ROIC (IC / ML / Notional)
86% / 33% / 30%
total P&L annualized over 1.44 yr
TickerArchetypeContracts
(inc / unc)		SpotSpot @ Expiry
(+10%/yr)		 LC / SP / HPInvestedMax LossNotionalLevNet Δ/sh
(ex-CC)		 Structure P&L
@ Expiry		Net Income
/ Mo		Net Income
to Expiry		 Total P&LROI / yr
on IC		ROI / yr
on ML		ROI / yr
on Notional
MU DIAMOND 7
3 inc / 4 unc
 900.06 1,032.31 700.0 / 870.0 / 280.0 $136,780 $549,780
budget $500,000
 $630,042 4.61x 1.03
$0.65M
 $95,835 $24,557
keep 76%
 $423,573 $519,408 264% 66% 57%
META DIAMOND 10
5 inc / 5 unc
 591.86 678.82 400.0 / 500.0 / 180.0 $189,970 $509,970
budget $500,000
 $591,860 3.12x 1.12
$0.66M
 $88,853 $11,430
keep 75%
 $197,146 $285,999 105% 39% 34%
QQQ DIAMOND 12
6 inc / 6 unc
 731.38 838.84 435.0 / 660.0 / 300.0 $355,392 $787,392
budget $750,000
 $877,650 2.47x 1.20
$1.05M
 $129,212 $6,871
keep 76%
 $118,521 $247,733 48% 22% 20%
NVDA DIAMOND 28
14 inc / 14 unc
 219.99 252.31 155.0 / 190.0 / 70.0 $181,160 $517,160
budget $500,000
 $615,958 3.40x 1.10
$0.68M
 $91,302 $8,519
keep 66%
 $146,934 $238,236 91% 32% 27%
GOOG DIAMOND 16
8 inc / 8 unc
 379.27 435.00 250.0 / 330.0 / 125.0 $204,144 $532,144
budget $500,000
 $606,832 2.97x 1.15
$0.70M
 $91,851 $8,102
keep 74%
 $139,740 $231,591 79% 30% 27%
DELL DIAMOND 6
3 inc / 3 unc
 477.00 547.09 390.0 / 460.0 / 145.0 $50,760 $239,760
budget $250,000
 $286,200 5.64x 1.02
$0.29M
 $43,492 $10,075
keep 71%
 $173,774 $217,266 298% 63% 53%
AMD DIAMOND 6
3 inc / 3 unc
 494.00 566.58 390.0 / 460.0 / 150.0 $60,450 $246,450
budget $250,000
 $296,400 4.90x 1.06
$0.31M
 $45,500 $7,783
keep 72%
 $134,252 $179,752 207% 51% 42%
GLD DIAMOND 14
7 inc / 7 unc
 376.26 431.54 170.0 / 330.0 / 160.0 $287,420 $525,420
budget $500,000
 $526,764 1.83x 1.22
$0.64M
 $78,742 $5,446
keep 73%
 $93,936 $172,679 42% 23% 23%
SPY DIAMOND 10
5 inc / 5 unc
 778.19 892.53 430.0 / 660.0 / 235.0 $348,060 $773,060
budget $750,000
 $778,190 2.24x 1.15
$0.90M
 $114,471 $3,260
keep 65%
 $56,236 $170,706 34% 15% 15%
AMZN DIAMOND 12
6 inc / 6 unc
 269.51 309.11 170.0 / 230.0 / 105.0 $118,428 $268,428
budget $250,000
 $323,412 2.73x 1.18
$0.38M
 $48,503 $4,033
keep 71%
 $69,560 $118,063 69% 31% 25%
IGV
live 15:16
 DIAMOND 27
13 inc / 14 unc
 106.21 121.82 70.0 / 99.0 / 40.0 $95,877 $255,177
budget $250,000
 $286,767 2.99x 1.20
$0.34M
 $44,095 $4,162
keep 75%
 $71,786 $115,881 84% 32% 28%
PORTFOLIO (11 structures) 148
73 inc / 75 unc
 $2,028,441$5,204,741$5,820,075— $6.61M $871,856 $94,238 $1,625,457 $2,497,313 86% 33% 30%

MTM SENSITIVITY: INSTANT DRAWDOWN, BOTH BOOKS REPRICED

Black-Scholes reprice of LC + SP + HP (CC leg excluded) at spot x (1 - DD), entry tenors, flat IV. Mark-to-market only; nothing is realized unless you unwind.
Instant
Drawdown		RECOMMENDED MIX (delta $12.69M) ALL DIAMOND (delta $6.61M) DIAMOND
damage saved		DIAMOND hit as
% of REC hit
MTM P&Lvs ML $5.13MAmp
factor		 MTM P&Lvs ML $5.20MAmp
factor
-5% -$599,862-11.7%2.34x -$380,178-7.3%1.46x $219,683 less 63%
-10% -$1,188,661-23.2%2.32x -$715,038-13.7%1.37x $473,624 less 60%
-15% -$1,732,775-33.8%2.25x -$1,055,621-20.3%1.35x $677,153 less 61%
-20% -$2,221,165-43.3%2.17x -$1,401,889-26.9%1.35x $819,276 less 63%
-25% -$2,651,663-51.7%2.07x -$1,753,321-33.7%1.35x $898,342 less 66%
-30% -$3,028,619-59.1%1.97x -$2,108,718-40.5%1.35x $919,901 less 70%
-40% -$3,639,788-71.0%1.78x -$2,821,897-54.2%1.36x $817,892 less 78%
-50% -$4,076,347-79.5%1.59x -$3,510,917-67.5%1.35x $565,430 less 86%
-60% -$4,359,793-85.0%1.42x -$4,127,943-79.3%1.32x $231,849 less 95%
-70% -$4,515,049-88.1%1.26x -$4,611,669-88.6%1.27x $96,621 MORE 102%
-80% -$4,576,570-89.3%1.12x -$4,888,096-93.9%1.17x $311,526 MORE 107%
-90% -$4,596,674-89.7%1.00x -$4,995,789-96.0%1.07x $399,115 MORE 109%
Amp factor = (MTM loss as % of Max Loss) ÷ drawdown %. Example: 2.32x means a 10% market drop marks the book down 23.2% of its risk budget. First-order anchor: delta-dollars / ML = 2.47x (REC) vs 1.27x (DIAMOND); the realized factor drifts below it as drawdowns deepen and the hedges/convexity kick in. Note the deep-tail crossover: past about -70% both books saturate near their max loss and DIAMOND's dollar hit overtakes REC's (it simply carries slightly more ML); DIAMOND's edge lives in the -5% to -50% range where drawdowns actually happen.

WHAT THIS PAGE SAYS, IN PLAIN ENGLISH

  • View 1 holds the v28-RECOMMENDED archetype per ticker, View 2 forces DIAMOND everywhere. Budgets both ways: SPY/QQQ $750K each, GLD/MU/NVDA/GOOG/META $500K each, AMD/AMZN/DELL/IGV $250K each, $5.0M total.
  • NET Δ/SH is the fortress's share-equivalent exposure per contract, CC leg excluded: LEAPS call delta, plus the short put's delta, minus the hedge put's. A value near 1.00 means each contract moves like 100 shares. SPY PIONEER's 1.37 is the outlier: an at-the-money short put stacks delta on top of a 0.96-delta call while its deep hedge gives nothing back.
  • TO THE QUESTION "LESS MTM SENSITIVITY = DIAMOND?": yes. The recommended book carries $12.69M of delta-dollars, the all-DIAMOND book $6.61M, about half, because DIAMOND's wider boxes cost more max loss per contract, so the same budget holds half the notional. The MTM table shows the consequence: at every drawdown level the DIAMOND book loses roughly 60 cents on the dollar of the recommended book's mark-to-market hit (for example -10%: -$715,038 vs -$1,188,661). The AMP FACTOR column makes the comparison one number: per 1% of market drop, the recommended book marks down ~2.3% of its risk budget, the DIAMOND book ~1.4%.
  • The price of that smoothness: net income drops from $140,444/mo to $94,238/mo and total P&L at expiry from $4,173,089 to $2,497,313. You give up about 40% of the upside for about 37% less pain at a -20% mark.
  • NET INCOME / MO is the one income number: gross weekly CC premium on the income half, cut to each ticker's graded keep rate (65-76%), minus the hedge bill. Total P&L = structure gains + net income; the ROI columns annualize it against invested capital, max loss, and notional exposure.

    • ASSUMPTIONS AND CAVEATS

  • Chain marks: SPY/QQQ and AMD from 2026-08-14, AMZN from 2026-08-12, GOOG/NVDA/MU/META/DELL and GLD from 2026-08-05 (9 days stale), IGV live 15:16 SGT today. Re-run with fresh chains before acting.
  • Deltas use each leg's stored IBKR delta where the chain CSV had one, else Black-Scholes off the leg IV (ATM IV fallback). Deep-ITM LEAPS deltas fill slightly LOW this way; true net deltas run a touch higher.
  • MTM curve is an INSTANT shock at entry tenors with FLAT IV. A real drawdown raises IV, which helps the long hedge puts (especially DIAMOND's long-dated ones) and hurts the short puts; flat IV therefore overstates DIAMOND's MTM loss relative to REC's, making the DIAMOND advantage conservative. CC legs excluded on both sides.
  • SPY and QQQ land over budget (SPY $807K/$773K vs $750K across the two views); book totals run $5,126,352 (REC) and $5,204,741 (DIAMOND) vs the $5.0M budget. Flagged, not rescaled. IGV DIAMOND's Dec-2028 hedge outlives the horizon; its residual value at expiry is credited.
  • Income holds the v28 DTE-prorated figure flat; keep factor absorbs escapes, not an IV collapse. Covered half booked as income plus full upside (CCs rolled, never assigned). ROI/yr is simple annualization, not CAGR. Read-only hypothetical; nothing here places orders.