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 '29 (855d) ★ | +$15C −$30P +$15P | 36 | +1.017/sh | +3,660 | $45,360 | $99,360 | $56,960 | $-14/d | BE $28.80 (+5%) CC-Safe ▾ | $+98,496 |
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% | $13.74 | $-99,360 | -219% |
| -25% | $20.61 | $-58,968 | -130% |
| +0% | $27.48 | $-9,504 | -21% |
| +25% | $34.35 | $+24,300 | +54% |
| +50% | $41.22 | $+49,032 | +108% |
| +75% | $48.09 | $+73,764 | +163% |
| +100% | $54.96 | $+98,496 | +217% |
| +125% | $61.83 | $+123,228 | +272% |
| +150% | $68.70 | $+147,960 | +326% |
| +175% | $75.57 | $+172,692 | +381% |
| +200% | $82.44 | $+197,424 | +435% |
| +225% | $89.31 | $+222,156 | +490% |
| +250% | $96.18 | $+246,888 | +544% |
| +275% | $103.05 | $+271,620 | +599% |
| +300% | $109.92 | $+296,352 | +653% |
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 '29 (855d) ★ | +$25C −$30P +$15P | 38 | +0.937/sh | +3,562 | $42,370 | $99,370 | $56,594 | $-22/d | BE $36.15 (+32%) CC-Safe ▾ | $+71,478 |
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% | $13.74 | $-99,370 | -235% |
| -25% | $20.61 | $-78,052 | -184% |
| +0% | $27.48 | $-42,522 | -100% |
| +25% | $34.35 | $-6,840 | -16% |
| +50% | $41.22 | $+19,266 | +45% |
| +75% | $48.09 | $+45,372 | +107% |
| +100% | $54.96 | $+71,478 | +169% |
| +125% | $61.83 | $+97,584 | +230% |
| +150% | $68.70 | $+123,690 | +292% |
| +175% | $75.57 | $+149,796 | +354% |
| +200% | $82.44 | $+175,902 | +415% |
| +225% | $89.31 | $+202,008 | +477% |
| +250% | $96.18 | $+228,114 | +538% |
| +275% | $103.05 | $+254,220 | +600% |
| +300% | $109.92 | $+280,326 | +662% |