LEAPS Builder v6.2

SPY $150,000 [both] | 2026-08-24 12:53:41

SPY @ $778.19

Sizing: $150,000 (ITM + OTM) | Chains: Jan 2028 (525d), Dec 2028 (854d)

Bucket A: Deep ITM Stock Replacement ($150,000 ML budget)

All Candidates

	Chain	Type	Structure	Ct	Delta	IC	BE	Theta	Score
★	Jan '28 (525d) ↳	Fortress	$735C/$855P/$770P	9	+0.980/sh (+882)	$73,197	$835.66 (+7%)	$-114/d	356,921
▲	Jan '28 (525d) ↳	Pure	$730C	12	+0.717/sh (+861)	$148,200	$853.50 (+10%)	$-133/d	445,813
	Dec '28 (854d) ↳	Fortress	$725C/$855P/$765P	7	+0.963/sh (+674)	$86,744	$851.96 (+9%)	$-75/d	317,827

★ = recommended pick (per Verdict below; multi-dim winner across score, capital, BE, theta, ROIC). ◆ = best Fortress by raw score (when not the ★). Shows what the scorer would pick without --anchor, so you can see the anchor trade-off in the table itself. ▲ = best Pure by raw score (when not the ★). Score = WSPL x sqrt(DTE/365). Positive theta = you collect time decay daily (paid to wait). Negative theta = you pay time decay daily (cost of holding long options).

Compare Across Chains (click any chain to see this-chain-pick vs default ★ winner)

★ (default winner)Jan '28 (525d) — This IS the default ★ pick: Fortress 9ct $735C/$855P/$770P

This panel represents the current ★ default pick — the same structure shown in the Best Fortress card and Verdict above. Use other chain panels to see how alternates compare.

Dec '28 (854d) Fortress 7ct $725C/$855P/$765P vs ★ DEFAULT Jan '28 (525d) Fortress 9ct $735C/$855P/$770P

Dimension	THIS: Dec '28 Fortress 7ct	DEFAULT ★: Jan '28 Fortress 9ct	Better
Score	317,827	356,921	DEFAULT ★ (-11%)
Contracts	7	9	DEFAULT ★ (-22%)
IC (capital)	$86,744	$73,197	DEFAULT ★ (+19%)
Max Loss	$149,744	$149,697	tie
Breakeven	$851.96	$835.66	DEFAULT ★ (+2%)
Theta/day	$-75	$-114	THIS (+34%)
Weighted P&L	$207,782	$297,604	DEFAULT ★ (-30%)
ROIC (weighted)	240%	407%	DEFAULT ★ (-41%)
DTE	854	525	THIS (+63%)

Weighted P&L: THIS $+207,782 | DEFAULT ★ $+297,604 | diff $-89,822 → DEFAULT ★ pays $+89,822 more under this mode's weights.

Dim-by-dim: THIS wins 2, DEFAULT wins 6. "THIS" pays more = anchor here instead. "DEFAULT" pays more = current pick stays best.

Best Fortress: $735C / $855P / $770P (Jan '28, 525d)

Leg	Action	Strike	Price	Delta
LC	BUY	$735.0C	$120.00	+0.709
SP	SELL	$855.0P	$90.19	+0.661
HP	BUY	$770.0P	$51.52	-0.389

Ct	Delta	IC	ML	BE	Theta	Lev	Score	ROIC
9	+0.980/sh (+882)	$73,197	$149,697	$835.66 (+7%)	$-114/d	9.6x	356,921	+910%

CC-Safe Strike

CC strike $ premium $ CC days

Verdict: FORTRESS PREFERRED

Dimension	Fortress	Pure	Winner
	$735C / $855P / $770P 9 contracts · Jan '28 (525d)	$730C 12 contracts · Jan '28 (525d)
Score	356,921	445,813	PURE (-20%)
Contracts	9	12	PURE (-25%)
IC (capital)	$73,197	$148,200	FORT (-51%)
Max Loss	$149,697	$148,200	PURE (+1%)
Breakeven	$835.66	$853.50	FORT (-2%)
Theta/day	$-114	$-133	FORT (-15%)
ROIC (weighted)	407%	251%	FORT (+62%)

Pure scores +20% on raw P&L from extra contracts. Fortress wins 4/4 efficiency dims (IC, BE, theta, ROIC). Trade 20% score for capital efficiency.

Stop Profile (MTM loss if stop hits)

Stop	Stock at	Fortress 9ct	Pure 12ct	Stock 192sh
-5%	$739.28	-$34,331	-$33,498	-$7,471
-10%	$700.37	-$68,662	-$66,996	-$14,941
-15%	$661.46	-$102,993	-$100,494	-$22,412
-20%	$622.55	-$137,324	-$133,992	-$29,882
-30%	$544.73	-$205,986	-$200,988	-$44,824

Loss = |net_delta_total * stock_price * stop_pct|. Delta-only first-order estimate; ignores vega/theta. Conservative (LOW-end) — real MTM loss is typically 10-30% larger due to extrinsic compression on a fast move.

P&L Comparison

Move	Price	Fortress 9ct Jan'28	Pure 12ct Jan'28	F-P Diff	Winner
-19%	$623	$-149,697	$-148,200	$-1,497	(Pure)
+0%	$778	$-103,455	$-90,372	$-13,083	(Pure)
+25%	$973	$+140,767	$+143,085	$-2,318	(Pure)
+50%	$1,167	$+315,860	$+376,542	$-60,683	(Pure)
+75%	$1,362	$+490,952	$+609,999	$-119,047	(Pure)
+100%	$1,556	$+666,045	$+843,456	$-177,411	(Pure)
+200%	$2,335	$+1,366,416	$+1,777,284	$-410,868	(Pure)
Weighted	—	$+297,604	$+371,723	$-74,119	(Pure)

How to read the Weighted row: your expected dollar P&L if all the scenarios above played out, with each weighted by how much it matters for this mode. Stock replacement view: small moves matter most. +25% gets the biggest weight, then +50% / +75%. -20% and flat both count (they hurt the score). The Score is this same number multiplied by √(DTE/365) so longer-dated chains get a small bonus.

CC Overlay

No CC candidates found above breakeven. Run live (without --csv) if CC data was not included in the CSV export.

Bucket B: OTM Max Leverage ($150,000 ML budget)

All Candidates

	Chain	Type	Structure	Ct	Delta	IC	BE	Theta	Score
★	Jan '28 (525d) ↳	Fortress	$770C/$890P/$805P	11	+0.156/sh (+172)	$53,592	$854.36 (+10%)	$-151/d	835,032
▲	Jan '28 (525d) ↳	Pure	$775C	16	+0.634/sh (+1,014)	$149,440	$868.40 (+12%)	$-173/d	1,133,253
	Dec '28 (854d) ↳	Fortress	$755C/$890P/$800P	8	+0.966/sh (+773)	$76,888	$870.55 (+12%)	$-85/d	733,641

Compare Across Chains (click any chain to see this-chain-pick vs default ★ winner)

★ (default winner)Jan '28 (525d) — This IS the default ★ pick: Fortress 11ct $770C/$890P/$805P

This panel represents the current ★ default pick — the same structure shown in the Best Fortress card and Verdict above. Use other chain panels to see how alternates compare.

Dec '28 (854d) Fortress 8ct $755C/$890P/$800P vs ★ DEFAULT Jan '28 (525d) Fortress 11ct $775C/$890P/$800P

Dimension	THIS: Dec '28 Fortress 8ct	DEFAULT ★: Jan '28 Fortress 11ct	Better
Score	733,641	835,021	DEFAULT ★ (-12%)
Contracts	8	11	DEFAULT ★ (-27%)
IC (capital)	$76,888	$47,872	DEFAULT ★ (+61%)
Max Loss	$148,888	$146,872	DEFAULT ★ (+1%)
Breakeven	$870.55	$854.26	DEFAULT ★ (+2%)
Theta/day	$-85	$-150	THIS (+44%)
Weighted P&L	$479,624	$696,249	DEFAULT ★ (-31%)
ROIC (weighted)	624%	1454%	DEFAULT ★ (-57%)
DTE	854	525	THIS (+63%)

Weighted P&L: THIS $+479,624 | DEFAULT ★ $+696,249 | diff $-216,625 → DEFAULT ★ pays $+216,625 more under this mode's weights.

Dim-by-dim: THIS wins 2, DEFAULT wins 7. "THIS" pays more = anchor here instead. "DEFAULT" pays more = current pick stays best.

Best Fortress: $775C / $890P / $800P (Jan '28, 525d)

Leg	Action	Strike	Price	Delta
LC	BUY	$775.0C	$93.40	+0.634
SP	SELL	$890.0P	$112.54	+0.000
HP	BUY	$800.0P	$62.66	-0.472

Ct	Delta	IC	ML	BE	Theta	Lev	Score	ROIC
11	+0.162/sh (+178)	$47,872	$146,872	$854.26 (+10%)	$-150/d	17.9x	835,021	+1695%

CC-Safe Strike

CC strike $ premium $ CC days

Verdict: FORTRESS PREFERRED

Dimension	Fortress	Pure	Winner
	$775C / $890P / $800P 11 contracts · Jan '28 (525d)	$775C 16 contracts · Jan '28 (525d)
Score	835,021	1,133,253	PURE (-26%)
Contracts	11	16	PURE (-31%)
IC (capital)	$47,872	$149,440	FORT (-68%)
Max Loss	$146,872	$149,440	FORT (-2%)
Breakeven	$854.26	$868.40	FORT (-2%)
Theta/day	$-150	$-173	FORT (-13%)
ROIC (weighted)	1454%	632%	FORT (+130%)

Pure scores +26% on raw P&L from extra contracts. Fortress wins 4/4 efficiency dims (IC, BE, theta, ROIC). Trade 26% score for capital efficiency.

Stop Profile (MTM loss if stop hits)

Stop	Stock at	Fortress 11ct	Pure 16ct	Stock 192sh
-5%	$739.28	-$6,921	-$39,464	-$7,471
-10%	$700.37	-$13,842	-$78,927	-$14,941
-15%	$661.46	-$20,762	-$118,391	-$22,412
-20%	$622.55	-$27,683	-$157,854	-$29,882
-30%	$544.73	-$41,525	-$236,781	-$44,824

P&L Comparison

Move	Price	Fortress 11ct Jan'28	Pure 16ct Jan'28	F-P Diff	Winner
-19%	$623	$-146,872	$-149,440	$+2,568	(Fort)
+0%	$778	$-143,363	$-144,336	$+973	(Fort)
+25%	$973	$+169,639	$+166,940	$+2,699	(Fort)
+50%	$1,167	$+383,642	$+478,216	$-94,574	(Pure)
+75%	$1,362	$+597,644	$+789,492	$-191,848	(Pure)
+100%	$1,556	$+811,646	$+1,100,768	$-289,122	(Pure)
+200%	$2,335	$+1,667,655	$+2,345,872	$-678,217	(Pure)
Weighted	—	$+696,249	$+944,917	$-248,669	(Pure)

How to read the Weighted row: your expected dollar P&L if all the scenarios above played out, with each weighted by how much it matters for this mode. Convexity view: bigger moves matter most. +75% and +100% get the biggest weights. Tail at +200% counted; downside lightly weighted. The Score is this same number multiplied by √(DTE/365) so longer-dated chains get a small bonus.

LEAPS Builder v6.2 | 2026-08-24 12:53:41