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% |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Jun '27 (357d) ★ | +$17.5C −$40P +$17.5P | 26 | +1.070/sh | +2,782 | $40,820 | $99,320 | $44,123 | $-4/d | BE $36.60 (-9%) CC-Safe ▾ | $+122,959 | |
| Jan '28 (575d) | +$17.5C −$40P +$10P | 26 | +1.096/sh | +2,849 | $34,060 | $112,060 ▲ | $43,579 | $-1/d | BE $35.30 (-12%) CC-Safe ▾ | $+129,719 |
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% | $20.12 | $-85,680 | -210% |
| -25% | $30.18 | $-33,361 | -82% |
| +0% | $40.25 | $+18,320 | +45% |
| +25% | $50.31 | $+44,480 | +109% |
| +50% | $60.37 | $+70,639 | +173% |
| +75% | $70.43 | $+96,799 | +237% |
| +100% | $80.49 | $+122,959 | +301% |
| +125% | $90.55 | $+149,119 | +365% |
| +150% | $100.62 | $+175,279 | +429% |
| +175% | $110.68 | $+201,439 | +493% |
| +200% | $120.74 | $+227,599 | +558% |
| +225% | $130.80 | $+253,759 | +622% |
| +250% | $140.86 | $+279,919 | +686% |
| +275% | $150.92 | $+306,079 | +750% |
| +300% | $160.98 | $+332,238 | +814% |
| Move | Stock at | P&L (expiry) | ROI on IC |
|---|---|---|---|
| -50% | $20.12 | $-78,920 | -232% |
| -25% | $30.18 | $-26,601 | -78% |
| +0% | $40.25 | $+25,080 | +74% |
| +25% | $50.31 | $+51,240 | +150% |
| +50% | $60.37 | $+77,399 | +227% |
| +75% | $70.43 | $+103,559 | +304% |
| +100% | $80.49 | $+129,719 | +381% |
| +125% | $90.55 | $+155,879 | +458% |
| +150% | $100.62 | $+182,039 | +534% |
| +175% | $110.68 | $+208,199 | +611% |
| +200% | $120.74 | $+234,359 | +688% |
| +225% | $130.80 | $+260,519 | +765% |
| +250% | $140.86 | $+286,679 | +842% |
| +275% | $150.92 | $+312,839 | +918% |
| +300% | $160.98 | $+338,998 | +995% |
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% |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Jun '27 (357d) ★ | +$45C −$45P +$22.5P | 38 | +0.868/sh | +3,298 | $14,440 | $99,940 | $59,347 | $-65/d | BE $48.80 (+21%) CC-Safe ▾ | $+120,430 | |
| Jan '28 (575d) | +$40C −$45P +$10P | 38 | +0.993/sh | +3,774 | $11,780 | $144,780 ▲ | $60,496 | $-26/d | BE $44.05 (+9%) CC-Safe ▾ | $+142,090 |
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% | $20.12 | $-99,940 | -692% |
| -25% | $30.18 | $-70,739 | -490% |
| +0% | $40.25 | $-32,505 | -225% |
| +25% | $50.31 | $+5,729 | +40% |
| +50% | $60.37 | $+43,962 | +304% |
| +75% | $70.43 | $+82,196 | +569% |
| +100% | $80.49 | $+120,430 | +834% |
| +125% | $90.55 | $+158,663 | +1099% |
| +150% | $100.62 | $+196,897 | +1364% |
| +175% | $110.68 | $+235,131 | +1628% |
| +200% | $120.74 | $+273,364 | +1893% |
| +225% | $130.80 | $+311,598 | +2158% |
| +250% | $140.86 | $+349,832 | +2423% |
| +275% | $150.92 | $+388,066 | +2687% |
| +300% | $160.98 | $+426,299 | +2952% |
| Move | Stock at | P&L (expiry) | ROI on IC |
|---|---|---|---|
| -50% | $20.12 | $-106,313 | -902% |
| -25% | $30.18 | $-68,079 | -578% |
| +0% | $40.25 | $-28,910 | -245% |
| +25% | $50.31 | $+27,389 | +233% |
| +50% | $60.37 | $+65,622 | +557% |
| +75% | $70.43 | $+103,856 | +882% |
| +100% | $80.49 | $+142,090 | +1206% |
| +125% | $90.55 | $+180,323 | +1531% |
| +150% | $100.62 | $+218,557 | +1855% |
| +175% | $110.68 | $+256,791 | +2180% |
| +200% | $120.74 | $+295,024 | +2504% |
| +225% | $130.80 | $+333,258 | +2829% |
| +250% | $140.86 | $+371,492 | +3154% |
| +275% | $150.92 | $+409,726 | +3478% |
| +300% | $160.98 | $+447,959 | +3803% |