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 (581d) ★ | +$8C −$17P +$5P | 29 | +1.329/sh | +3,854 | $18,647 | $53,447 ▲ | $19,929 | $+14/d | BE $15.71 (-8%) CC-Safe ▾ | $+57,739 | |
| Dec '28 (910d) | +$13C −$17P +$5P | 29 | +0.964/sh | +2,796 | $14,848 | $49,648 | $19,222 | $-17/d | BE $18.12 (+6%) CC-Safe ▾ | $+47,038 |
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% | $8.59 | $-41,354 | -222% |
| -25% | $12.88 | $-16,457 | -88% |
| +0% | $17.17 | $+7,946 | +43% |
| +25% | $21.46 | $+20,394 | +109% |
| +50% | $25.76 | $+32,843 | +176% |
| +75% | $30.05 | $+45,291 | +243% |
| +100% | $34.34 | $+57,739 | +310% |
| +125% | $38.63 | $+70,187 | +376% |
| +150% | $42.93 | $+82,636 | +443% |
| +175% | $47.22 | $+95,084 | +510% |
| +200% | $51.51 | $+107,532 | +577% |
| +225% | $55.80 | $+119,980 | +643% |
| +250% | $60.10 | $+132,429 | +710% |
| +275% | $64.39 | $+144,877 | +777% |
| +300% | $68.68 | $+157,325 | +844% |
| Move | Stock at | P&L (expiry) | ROI on IC |
|---|---|---|---|
| -50% | $8.59 | $-39,252 | -264% |
| -25% | $12.88 | $-26,803 | -181% |
| +0% | $17.17 | $-2,755 | -19% |
| +25% | $21.46 | $+9,693 | +65% |
| +50% | $25.76 | $+22,142 | +149% |
| +75% | $30.05 | $+34,590 | +233% |
| +100% | $34.34 | $+47,038 | +317% |
| +125% | $38.63 | $+59,486 | +401% |
| +150% | $42.93 | $+71,935 | +484% |
| +175% | $47.22 | $+84,383 | +568% |
| +200% | $51.51 | $+96,831 | +652% |
| +225% | $55.80 | $+109,279 | +736% |
| +250% | $60.10 | $+121,728 | +820% |
| +275% | $64.39 | $+134,176 | +904% |
| +300% | $68.68 | $+146,624 | +988% |
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 (581d) ★ | +$17C −$17P +$10P | 43 | +1.028/sh | +4,421 | $19,350 | $49,450 | $26,530 | $+0/d | BE $21.50 (+25%) CC-Safe ▾ | $+55,212 | |
| Dec '28 (910d) | +$17C −$17P +$5P | 43 | +0.818/sh | +3,518 | $20,296 | $71,896 ▲ | $27,527 | $-42/d | BE $21.72 (+26%) CC-Safe ▾ | $+54,266 |
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% | $8.59 | $-49,450 | -256% |
| -25% | $12.88 | $-37,077 | -192% |
| +0% | $17.17 | $-18,619 | -96% |
| +25% | $21.46 | $-161 | -1% |
| +50% | $25.76 | $+18,297 | +95% |
| +75% | $30.05 | $+36,754 | +190% |
| +100% | $34.34 | $+55,212 | +285% |
| +125% | $38.63 | $+73,670 | +381% |
| +150% | $42.93 | $+92,128 | +476% |
| +175% | $47.22 | $+110,585 | +572% |
| +200% | $51.51 | $+129,043 | +667% |
| +225% | $55.80 | $+147,501 | +762% |
| +250% | $60.10 | $+165,959 | +858% |
| +275% | $64.39 | $+184,416 | +953% |
| +300% | $68.68 | $+202,874 | +1048% |
| Move | Stock at | P&L (expiry) | ROI on IC |
|---|---|---|---|
| -50% | $8.59 | $-56,480 | -278% |
| -25% | $12.88 | $-38,023 | -187% |
| +0% | $17.17 | $-19,565 | -96% |
| +25% | $21.46 | $-1,107 | -5% |
| +50% | $25.76 | $+17,351 | +85% |
| +75% | $30.05 | $+35,808 | +176% |
| +100% | $34.34 | $+54,266 | +267% |
| +125% | $38.63 | $+72,724 | +358% |
| +150% | $42.93 | $+91,182 | +449% |
| +175% | $47.22 | $+109,639 | +540% |
| +200% | $51.51 | $+128,097 | +631% |
| +225% | $55.80 | $+146,555 | +722% |
| +250% | $60.10 | $+165,013 | +813% |
| +275% | $64.39 | $+183,470 | +904% |
| +300% | $68.68 | $+201,928 | +995% |