FORTRESS REPAIRHP Roll-Down Analysis
Generated: 2026-05-04 23:16:27
Payback gate: 12mo (1.0yr)
SS = Max(LC+ND, (LC+SP+ND)/2)
TOTAL HEDGE (CURRENT)
$117,611/yr
TOTAL HEDGE (CHEAPEST)
$82,591/yr
Δ HEDGE (CHEAPEST vs CURRENT)
-$35,020/yr
ROLL DEBIT (CHEAPEST)
-$20,250
MAX LOSS REDUCTION (PROTECTIVE)
-$0
Fortress Position Overview
| TICKER | STOCK | LC | SP | HP | SC |
SS | GAP | RM | HP OTM% | STATUS | CTRS | IC | NOTIONAL | URGENCY |
| COPX → |
$77.97 |
50 | 90 |
71 | 85 |
$84.00 |
19 | 1.68x |
8.9% |
OK |
50 |
$140,000 | $389,825 |
ROLL NOW (45d) |
COPX: HP 71P Maintenance Roll-Out · exp Jun 18 '26, 45d
Stock: $77.97
Current HP: 71P (45d, 8.9% OTM)
Current hedge: $117,611/yr
Current ML: $235,000
CC income: $121,382/yr
Cost cap: 150% of CC = $182,073/yr
IV: HIGH
2 qualifying
CHEAPEST PICK (lowest annual cost, ML preserved): HP 71 → 71P
(Sep 18 '26, 137d, 8.9% OTM) |
Cost: $82,591/yr (68% of CC) |
New ML: $235,000 = ML |
Roll DEBIT $20,250
PROTECTIVE PICK: same as CHEAPEST (no higher-strike candidate clears the cost cap).
| # | NEW HP | EXPIRY | DTE | OTM% |
BID | ASK | HEDGE/YR | %CC |
NEW ML | ΔML | ROLL |
| ▶ 1 |
71 CHEAP PROT |
Sep 18 |
137d |
8.9% |
$5.30 |
$6.20 |
$82,591 |
68% |
$235,000 |
= |
D $20,250 |
| 2 |
71 |
Oct 16 |
165d |
8.9% |
$5.00 |
$8.10 |
$89,591 |
74% |
$235,000 |
= |
D $29,750 |
POST-REPAIR SUSTAINABILITY
CC chain Jun 05 (32d)
| SCENARIO |
CC INCOME |
HEDGE COST |
VERDICT |
| CC at SS $84, B $1.75 |
$98,438/yr |
$82,591/yr |
SELF-FUNDING |
| CC at MID $86 0.6σ, B $1.35 |
$75,938/yr |
$82,591/yr |
DEFICIT $554/mo |
SUSTAINABLE AT SS Conservative CC covers repaired hedge
CC WRITING STRATEGY
WRITE CCs at SS ($84, bid $1.75). Conservative far-OTM strike covers the hedge in BOTH normal and 0% drawdown — minimal assignment risk.
HP roll-downs do not change Safe Strike. SS = Max(LC+ND, (LC+SP+ND)/2). HP is not in the formula.
Monthly hedge cost prorated: (30/DTE) × (Ask × Shares). Payback = ML increase / Annual savings.
EST = ask price estimated as mid × 1.10 (10% safety buffer). Verify with live prices before executing.
Always prefer longest viable DTE for repair rolls (fewer rolls/yr = lower annual cost).