Every chain's best Fortress sized to the SAME contract count for apples-to-apples capital / max-loss / margin comparison. Change the dropdown to resize. Tick up to 2 chains in the ☑ column to compare them side by side. Structure: + = bought (long), − = sold (short). Click any BE & CC-Safe cell to open that chain's CC-Safe Strike card.
★ Score = (Weighted P&L ÷ Max Loss) × horizon-fit. Weighted P&L = expected expiry dollars across a weighted scenario basket. Moderate-bull basket (Bucket A weights): +25% carries the biggest weight, then +50% / +75%; flat and -20% count (they penalize high breakevens); +100% / +200% taper off — rewards stock-replacement structures that pay across the likely-bull range. ÷ Max Loss turns it into return-per-dollar-at-risk (capital efficiency, so a deeper/longer structure is not rewarded just for costing more). × horizon-fit peaks in the 1-2yr window (365-730 DTE) and tapers outside it, keeping the pick inside the thesis horizon. All three terms are size-invariant, so the ★ does not move when you change the contract count.
| ☑ | Chain | Structure | Ct | Delta | Sh Eqv | IC | ML | Margin | Theta | BE & CC-Safe | PnL @ +100% |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Jan '28 (518d) ★ | +$8C −$17P +$8P | 33 | +1.069/sh | +3,527 | $19,833 | $49,533 | $33,362 | $-7/d | BE $15.51 (-3%) CC-Safe ▾ | $+59,235 |
Margin = real IBKR portfolio (TIMS) maintenance margin from a whatIf order on the 3-leg open combo (BUY LC / SELL SP / BUY HP), the same engine TWS shows. This is the ongoing capital held; the one-time initial requirement to open is higher. Stored at the analyzed contract count and rescaled linearly by the dropdown (TIMS has mild concentration non-linearity, so verify the exact figure in TWS before sizing). For net-long Bucket A synthetics this runs well above the old Reg-T put-spread width, which ignored the long call's directional risk.
| Move | Stock at | P&L (expiry) | ROI on IC |
|---|---|---|---|
| -50% | $7.99 | $-49,533 | -250% |
| -25% | $11.98 | $-23,232 | -117% |
| +0% | $15.98 | $+3,135 | +16% |
| +25% | $19.98 | $+19,685 | +99% |
| +50% | $23.97 | $+32,868 | +166% |
| +75% | $27.96 | $+46,052 | +232% |
| +100% | $31.96 | $+59,235 | +299% |
| +125% | $35.95 | $+72,418 | +365% |
| +150% | $39.95 | $+85,602 | +432% |
| +175% | $43.95 | $+98,786 | +498% |
| +200% | $47.94 | $+111,969 | +565% |
| +225% | $51.94 | $+125,152 | +631% |
| +250% | $55.93 | $+138,336 | +698% |
| +275% | $59.93 | $+151,520 | +764% |
| +300% | $63.92 | $+164,703 | +830% |
Every chain's best Fortress sized to the SAME contract count for apples-to-apples capital / max-loss / margin comparison. Change the dropdown to resize. Tick up to 2 chains in the ☑ column to compare them side by side. Structure: + = bought (long), − = sold (short). Click any BE & CC-Safe cell to open that chain's CC-Safe Strike card.
★ Score = (Weighted P&L ÷ Max Loss) × horizon-fit. Weighted P&L = expected expiry dollars across a weighted scenario basket. Convexity basket (Bucket B weights): +75% and +100% carry the biggest weight, +200% tail counted, downside (-20% / flat) lightly weighted — rewards OTM structures that pay big on a strong move. ÷ Max Loss turns it into return-per-dollar-at-risk (capital efficiency, so a deeper/longer structure is not rewarded just for costing more). × horizon-fit peaks in the 1-2yr window (365-730 DTE) and tapers outside it, keeping the pick inside the thesis horizon. All three terms are size-invariant, so the ★ does not move when you change the contract count.
| ☑ | Chain | Structure | Ct | Delta | Sh Eqv | IC | ML | Margin | Theta | BE & CC-Safe | PnL @ +100% |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Jan '28 (518d) ★ | +$15C −$17P +$10P | 45 | +0.894/sh | +4,022 | $18,450 | $49,950 | $37,340 | $-22/d | BE $19.10 (+20%) CC-Safe ▾ | $+57,870 |
Margin = real IBKR portfolio (TIMS) maintenance margin from a whatIf order on the 3-leg open combo (BUY LC / SELL SP / BUY HP), the same engine TWS shows. This is the ongoing capital held; the one-time initial requirement to open is higher. Stored at the analyzed contract count and rescaled linearly by the dropdown (TIMS has mild concentration non-linearity, so verify the exact figure in TWS before sizing). For net-long Bucket A synthetics this runs well above the old Reg-T put-spread width, which ignored the long call's directional risk.
| Move | Stock at | P&L (expiry) | ROI on IC |
|---|---|---|---|
| -50% | $7.99 | $-49,950 | -271% |
| -25% | $11.98 | $-41,018 | -222% |
| +0% | $15.98 | $-18,630 | -101% |
| +25% | $19.98 | $+3,938 | +21% |
| +50% | $23.97 | $+21,915 | +119% |
| +75% | $27.96 | $+39,892 | +216% |
| +100% | $31.96 | $+57,870 | +314% |
| +125% | $35.95 | $+75,848 | +411% |
| +150% | $39.95 | $+93,825 | +509% |
| +175% | $43.95 | $+111,802 | +606% |
| +200% | $47.94 | $+129,780 | +703% |
| +225% | $51.94 | $+147,758 | +801% |
| +250% | $55.93 | $+165,735 | +898% |
| +275% | $59.93 | $+183,712 | +996% |
| +300% | $63.92 | $+201,690 | +1093% |