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 (854d) ★ | +$30C −$47P +$35P | 286 | +0.997/sh | +28,506 | $456,170 | $799,370 | $410,213 | $-197/d | BE $46.48 (+7%) CC-Safe ▾ | $+1,174,602 |
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% | $21.75 | $-799,370 | -175% |
| -25% | $32.63 | $-724,080 | -159% |
| +0% | $43.51 | $-169,598 | -37% |
| +25% | $54.39 | $+241,312 | +53% |
| +50% | $65.27 | $+552,409 | +121% |
| +75% | $76.14 | $+863,506 | +189% |
| +100% | $87.02 | $+1,174,602 | +257% |
| +125% | $97.90 | $+1,485,698 | +326% |
| +150% | $108.77 | $+1,796,795 | +394% |
| +175% | $119.65 | $+2,107,891 | +462% |
| +200% | $130.53 | $+2,418,988 | +530% |
| +225% | $141.41 | $+2,730,084 | +598% |
| +250% | $152.28 | $+3,041,181 | +667% |
| +275% | $163.16 | $+3,352,278 | +735% |
| +300% | $174.04 | $+3,663,374 | +803% |
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 (854d) ★ | +$43C −$50P +$45P | 451 | +0.777/sh | +35,025 | $572,770 | $798,270 | $527,829 | $-406/d | BE $55.70 (+28%) CC-Safe ▾ | $+1,412,532 |
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% | $21.75 | $-798,270 | -139% |
| -25% | $32.63 | $-798,270 | -139% |
| +0% | $43.51 | $-775,269 | -135% |
| +25% | $54.39 | $-59,194 | -10% |
| +50% | $65.27 | $+431,382 | +75% |
| +75% | $76.14 | $+921,957 | +161% |
| +100% | $87.02 | $+1,412,532 | +247% |
| +125% | $97.90 | $+1,903,107 | +332% |
| +150% | $108.77 | $+2,393,682 | +418% |
| +175% | $119.65 | $+2,884,258 | +504% |
| +200% | $130.53 | $+3,374,833 | +589% |
| +225% | $141.41 | $+3,865,408 | +675% |
| +250% | $152.28 | $+4,355,984 | +761% |
| +275% | $163.16 | $+4,846,559 | +846% |
| +300% | $174.04 | $+5,337,134 | +932% |