SPY @ $651.41 UNDERWATER $39.59 (5.7% below SS)
10 contracts (1,000 sh) | SS: $691.00 | IV: LOW
LC: $450 exp 2028-01-21 (entry $274.563/sh)
SP: $675 exp 2028-01-21 (entry $59.913/sh)
HP: $655 exp 2026-07-31 (entry $23.765/sh)
Economics
| Max Loss | $258,416 | (ND $238.42 + SW $20) x 1000 |
| Normal income ref | $9,691/mo | 45% ann ROI on ML |
| Hedge rolling cost | $7,375/mo | |
| FIGHT CC | $658 call, $6.22 bid | exp 2 Apr 2026 (7d DTE) |
| Conservative CC | $691 call, $0.14 bid | exp 6 Apr 2026 (11d DTE) |
FIGHT Allocation
| Contracts | Income/mo | Net/mo | CC→SS Gap | Net@SS |
|---|
| Cover hedge | 3/10 | $8,264 | $890 | $8,034 | $27,399 |
| Match normal | 7/10 | $18,775 | $11,400 | $18,746 | $16,687 |
| Full FIGHT | 10/10 | $26,657 | $19,282 | $26,780 | $8,653 |
FIGHT Options (exp 2 Apr 2026, 7d DTE)
Fortress delta: 0.895 (IBKR) | Gain@SS: $35,433
| OTM% | Strike | Bid | $/ct/mo | Survival | Hedge Ct | Match Ct | Gap/ct | Gap@Match | Net@Match | Net@Strike | Net@SS |
|---|
| 1% | $658 | $6.22 | $2,666 | 64% | 3/10 | 7/10 | $2,678 | $18,746 | $11,400 | $10,252 | $16,687 |
| 2% | $664 | $3.77 | $1,616 | 76% | 5/10 | 10/10 | $2,323 | $23,230 | $8,782 | $15,038 | $12,203 |
| 3% | $671 | $1.75 | $750 | 86% | 10/10 | 10/10 | $1,825 | $18,250 | $125 | $19,283 | $17,183 |
| 5% | $684 | $0.23 | $99 | 96% | 10/10 | 10/10 | $677 | $6,770 | $-6,389 | $29,398 | $28,663 |
* = cannot fully match normal income with 10 contracts
TRADE RECOMMENDATION (match normal income)
Sell 7: SPY $658 call (exp 2 Apr 2026, 7d DTE, ~$6.22 bid)
Keep 3: $691 CC (~$0.14 bid)
Net income: $11,400/mo (target $9,691)
Gap CC→SS: $2,678/ct ($18,746 across 7 contracts)
Legend
| Max Loss (ML) | Worst-case loss: (Net Debit + Spread Width) x shares. ND = LC entry - SP entry + HP entry. SW = SP strike - HP strike. |
| Normal income ref | Target monthly income: IV-based annual ROI on ML / 12 (LOW 45%, MED 75%, HIGH 95%) |
| Hedge rolling cost | Monthly cost to maintain the HP (protective put): (30 / HP_DTE) x HP_ask x shares |
| FIGHT CC | Short-dated, near-ATM covered call for income recovery |
| Conservative CC | Standard CC at safe strike (far OTM when underwater) |
| Cover hedge | Min FIGHT contracts to pay for the hedge rolling cost |
| Match normal | FIGHT contracts needed to reach normal income target |
| Gap/ct | Net gap risk per contract: (SS - strike - bid) x 100. Max loss if stock rallies to SS, net of premium received. |
| Gap@Hedge | Total gap risk at cover-hedge contract count |
| Gap@Match | Total gap risk at match-normal contract count |
| Net@Match | Monthly income after hedge cost at match-normal level |