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) ★ | +$340C −$370P +$330P | 8 | +0.824/sh | +659 | $67,640 | $99,640 | $49,284 | $-56/d | BE $424.55 (+11%) CC-Safe ▾ | $+272,712 | |
| Dec '28 (890d) | +$345C −$400P +$355P | 8 | +0.823/sh | +658 | $78,200 | $114,200 ▲ | $53,895 | $-48/d | BE $442.75 (+16%) CC-Safe ▾ | $+258,152 |
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% | $191.36 | $-99,640 | -147% |
| -25% | $287.04 | $-99,640 | -147% |
| +0% | $382.72 | $-33,464 | -49% |
| +25% | $478.40 | $+43,080 | +64% |
| +50% | $574.08 | $+119,624 | +177% |
| +75% | $669.76 | $+196,168 | +290% |
| +100% | $765.44 | $+272,712 | +403% |
| +125% | $861.12 | $+349,256 | +516% |
| +150% | $956.80 | $+425,800 | +630% |
| +175% | $1,052.48 | $+502,344 | +743% |
| +200% | $1,148.16 | $+578,888 | +856% |
| +225% | $1,243.84 | $+655,432 | +969% |
| +250% | $1,339.52 | $+731,976 | +1082% |
| +275% | $1,435.20 | $+808,520 | +1195% |
| +300% | $1,530.88 | $+885,064 | +1308% |
| Move | Stock at | P&L (expiry) | ROI on IC |
|---|---|---|---|
| -50% | $191.36 | $-114,200 | -146% |
| -25% | $287.04 | $-114,200 | -146% |
| +0% | $382.72 | $-61,848 | -79% |
| +25% | $478.40 | $+28,520 | +36% |
| +50% | $574.08 | $+105,064 | +134% |
| +75% | $669.76 | $+181,608 | +232% |
| +100% | $765.44 | $+258,152 | +330% |
| +125% | $861.12 | $+334,696 | +428% |
| +150% | $956.80 | $+411,240 | +526% |
| +175% | $1,052.48 | $+487,784 | +624% |
| +200% | $1,148.16 | $+564,328 | +722% |
| +225% | $1,243.84 | $+640,872 | +820% |
| +250% | $1,339.52 | $+717,416 | +917% |
| +275% | $1,435.20 | $+793,960 | +1015% |
| +300% | $1,530.88 | $+870,504 | +1113% |
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) ★ | +$380C −$440P +$400P | 10 | +0.221/sh | +221 | $58,150 | $98,150 | $59,707 | $-58/d | BE $439.07 (+15%) CC-Safe ▾ | $+327,290 | |
| Dec '28 (890d) | +$380C −$435P +$390P | 10 | +0.768/sh | +768 | $78,400 | $123,400 ▲ | $66,202 | $-64/d | BE $458.40 (+20%) CC-Safe ▾ | $+307,040 |
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% | $191.36 | $-98,150 | -169% |
| -25% | $287.04 | $-98,150 | -169% |
| +0% | $382.72 | $-95,430 | -164% |
| +25% | $478.40 | $+40,250 | +69% |
| +50% | $574.08 | $+135,930 | +234% |
| +75% | $669.76 | $+231,610 | +398% |
| +100% | $765.44 | $+327,290 | +563% |
| +125% | $861.12 | $+422,970 | +727% |
| +150% | $956.80 | $+518,650 | +892% |
| +175% | $1,052.48 | $+614,330 | +1056% |
| +200% | $1,148.16 | $+710,010 | +1221% |
| +225% | $1,243.84 | $+805,690 | +1386% |
| +250% | $1,339.52 | $+901,370 | +1550% |
| +275% | $1,435.20 | $+997,050 | +1715% |
| +300% | $1,530.88 | $+1,092,730 | +1879% |
| Move | Stock at | P&L (expiry) | ROI on IC |
|---|---|---|---|
| -50% | $191.36 | $-123,400 | -157% |
| -25% | $287.04 | $-123,400 | -157% |
| +0% | $382.72 | $-120,680 | -154% |
| +25% | $478.40 | $+20,000 | +26% |
| +50% | $574.08 | $+115,680 | +148% |
| +75% | $669.76 | $+211,360 | +270% |
| +100% | $765.44 | $+307,040 | +392% |
| +125% | $861.12 | $+402,720 | +514% |
| +150% | $956.80 | $+498,400 | +636% |
| +175% | $1,052.48 | $+594,080 | +758% |
| +200% | $1,148.16 | $+689,760 | +880% |
| +225% | $1,243.84 | $+785,440 | +1002% |
| +250% | $1,339.52 | $+881,120 | +1124% |
| +275% | $1,435.20 | $+976,800 | +1246% |
| +300% | $1,530.88 | $+1,072,480 | +1368% |