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 (561d) ★ | +$10C −$15P +$5P | 37 | +1.112/sh | +4,113 | $11,766 | $48,766 | $36,690 | $-6/d | BE $14.09 (-2%) CC-Safe ▾ | $+57,165 | |
| Jun '28 (708d) | +$10C −$15P +$5P | 37 | +1.042/sh | +3,855 | $12,617 | $49,617 | $36,495 | $-15/d | BE $14.21 (-1%) CC-Safe ▾ | $+56,314 |
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% | $7.16 | $-40,783 | -347% |
| -25% | $10.74 | $-24,818 | -211% |
| +0% | $14.31 | $+1,665 | +14% |
| +25% | $17.89 | $+17,441 | +148% |
| +50% | $21.47 | $+30,682 | +261% |
| +75% | $25.05 | $+43,924 | +373% |
| +100% | $28.63 | $+57,165 | +486% |
| +125% | $32.21 | $+70,406 | +598% |
| +150% | $35.79 | $+83,648 | +711% |
| +175% | $39.37 | $+96,889 | +823% |
| +200% | $42.95 | $+110,130 | +936% |
| +225% | $46.52 | $+123,372 | +1049% |
| +250% | $50.10 | $+136,613 | +1161% |
| +275% | $53.68 | $+149,855 | +1274% |
| +300% | $57.26 | $+163,096 | +1386% |
| Move | Stock at | P&L (expiry) | ROI on IC |
|---|---|---|---|
| -50% | $7.16 | $-41,634 | -330% |
| -25% | $10.74 | $-25,669 | -203% |
| +0% | $14.31 | $+814 | +6% |
| +25% | $17.89 | $+16,590 | +131% |
| +50% | $21.47 | $+29,831 | +236% |
| +75% | $25.05 | $+43,073 | +341% |
| +100% | $28.63 | $+56,314 | +446% |
| +125% | $32.21 | $+69,555 | +551% |
| +150% | $35.79 | $+82,797 | +656% |
| +175% | $39.37 | $+96,038 | +761% |
| +200% | $42.95 | $+109,280 | +866% |
| +225% | $46.52 | $+122,521 | +971% |
| +250% | $50.10 | $+135,762 | +1076% |
| +275% | $53.68 | $+149,004 | +1181% |
| +300% | $57.26 | $+162,245 | +1286% |
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 (561d) ★ | +$13C −$15P +$10P | 54 | +0.822/sh | +4,439 | $22,626 | $49,626 | $41,067 | $-60/d | BE $17.19 (+20%) CC-Safe ▾ | $+61,776 | |
| Jun '28 (708d) | +$13C −$15P +$10P | 54 | +0.790/sh | +4,264 | $25,920 | $52,920 ▲ | $42,862 | $-45/d | BE $17.80 (+24%) CC-Safe ▾ | $+58,482 |
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% | $7.16 | $-49,626 | -219% |
| -25% | $10.74 | $-45,650 | -202% |
| +0% | $14.31 | $-19,224 | -85% |
| +25% | $17.89 | $+3,800 | +17% |
| +50% | $21.47 | $+23,126 | +102% |
| +75% | $25.05 | $+42,451 | +188% |
| +100% | $28.63 | $+61,776 | +273% |
| +125% | $32.21 | $+81,101 | +358% |
| +150% | $35.79 | $+100,426 | +444% |
| +175% | $39.37 | $+119,752 | +529% |
| +200% | $42.95 | $+139,077 | +615% |
| +225% | $46.52 | $+158,402 | +700% |
| +250% | $50.10 | $+177,728 | +786% |
| +275% | $53.68 | $+197,053 | +871% |
| +300% | $57.26 | $+216,378 | +956% |
| Move | Stock at | P&L (expiry) | ROI on IC |
|---|---|---|---|
| -50% | $7.16 | $-52,920 | -204% |
| -25% | $10.74 | $-48,944 | -189% |
| +0% | $14.31 | $-22,518 | -87% |
| +25% | $17.89 | $+506 | +2% |
| +50% | $21.47 | $+19,832 | +77% |
| +75% | $25.05 | $+39,157 | +151% |
| +100% | $28.63 | $+58,482 | +226% |
| +125% | $32.21 | $+77,807 | +300% |
| +150% | $35.79 | $+97,132 | +375% |
| +175% | $39.37 | $+116,458 | +449% |
| +200% | $42.95 | $+135,783 | +524% |
| +225% | $46.52 | $+155,108 | +598% |
| +250% | $50.10 | $+174,434 | +673% |
| +275% | $53.68 | $+193,759 | +748% |
| +300% | $57.26 | $+213,084 | +822% |