Archetype Constraints Reference
What each archetype allows, rejects, and why. MSTR v25 examples throughout. v25.0
Ticker: MSTR @ $139.12
IV: HIGH
Rec: DIAMOND
LC range: $28 - $132 (20-95%)
SP range: $42 - $160 (30-115%)
HP DTE floor: ≥ 90d (HIGH IV)
Run order: Pioneer → VAULT → Diamond
Version: v25.0
Shared Constraints ALL ARCHETYPES
These gates apply to every combination before any archetype-specific filtering.
LCStrike: 20% to 95% of stock
LC must be ITM (below stock) and within the universal range. Prevents absurdly deep or near-ATM long calls.
✓LC $120 (86%)
✓LC $55 (40%)
✓LC $30 (22%)
✗LC $135 (97%)too shallow, > 95%
✗LC $25 (18%)too deep, < 20%
SPStrike: 30% to 115% of stock
SP floor prevents absurdly deep OTM puts with no premium. Upper bound varies by archetype (see below).
✓SP $150 (108%)within 115%, ITM OK for Pioneer
✓SP $120 (86%)
✓SP $55 (40%)
✗SP $30 (22%)below 30% floor
HPDTE ≥ floor (hard gate, v25) CHANGED v25
HP must meet the IV-scaled DTE floor. If no HP meets the floor (chain gap), the longest available DTE is used as fallback. v25 change: was a soft gate with second-pass rescan in v24. Now a hard floor in all archetypes. TCO sort naturally prefers longer DTE (cheaper annualized). Soft gate savings were always < 2% of income.
✓HP $49 / 96d on HIGH IV (floor 90d)96 ≥ 90
✓HP $49 / 62d on LOW IV (floor 60d)62 ≥ 60
✗HP $49 / 45d on HIGH IV (floor 90d)45 < 90, rejected unless longest available
HP DTE Floor by IV Regime (v25 hard gate):
LOW: 60d
MEDIUM: 75d
HIGH: 90d ← MSTR
Fallback: if no HP meets floor, longest available DTE is used. No second scan pass.
CHAINLC and SP must share the same expiration
The LEAPS call and short put form a synthetic position. Different expirations break the hedge math.
✓LC Jan'28 + SP Jan'28
✗LC Jan'28 + SP Sep'26chain mismatch
SOLVENCYMargin > $0.01 (SS < stock)
Safe strike must be below current stock price. Otherwise the fortress is underwater from day one. SS = Max(LC + ND, (LC + SP + ND) / 2).
✓SS $139.04, stock $139.12margin $0.08 (MSTR v25 actual)
✗SS $139.50, stock $139.12negative margin
DRAGHedge drag < 50%
drag = hedge_annual / IC. If hedge costs more than half your invested capital annually, the structure is unsustainable.
✓Hedge $2.0K/yr on $21.6K IC = 9% dragMSTR v25 actual
✗Hedge $22K/yr on $12K IC = 183% draghedge > IC
ML CAPMax Loss ≤ --risk budget (or notional)
ML = IC + spread_width x shares. Capped by --risk (user budget) or notional (stock x shares) if no --risk. This is the single risk constraint. RM is a display metric, not a gate.
✓ML $50,016 on --risk 50400MSTR v25: within budget
✗ML $65,000 on --risk 50400exceeds budget
OI PENALTYHP zero-OI sort penalty (1.5x) v24+
All three sort lambdas (Pioneer TCO, VAULT SS+TCO, Diamond SE+TCO) apply 1.5x multiplier to hedge_annual_cost when HP OI == 0. Does not reject zero-OI (many LEAPS chains are thin), just deprioritizes in favor of liquid HPs when available.
PIONEER UNIQUE RULES
"Cheapest entry, maximum leverage. Get in for as little as possible."
SPSP ≤ 115% of stock (ITM allowed)
Pioneer is the ONLY archetype that allows ITM short puts. Higher SP = higher premium = lower ND = lower IC. Pioneer exploits this aggressively. Neville structures (SP > stock) are valid.
✓SP $150 (108% of $139) -- ITMbid ~$35, huge premium
✓SP $160 (115% of $139) -- max allowed
✓SP $120 (86%) -- OTM, also fine
✗SP $165 (119%)exceeds 115% cap
HPUnconstrained OTM, DTE ≥ 90d (HIGH IV)
Pioneer does not restrict how far OTM the hedge put can be. HP is decorative, its only job is to cap max loss. DTE hard floor applies (v25): 90d for HIGH IV, with longest-available fallback.
✓HP $49 (65% OTM) / 96d -- decorativeMSTR v25 actual
✓HP $100 (28% OTM) / 96dallowed but not preferred (expensive)
✓HP $30 (78% OTM) / 96dallowed, ask ~$0.05
✗HP $49 (65% OTM) / 45d45d < 90d floor (HIGH IV)
SORTTCO ascending = IC + Hedge/Yr (+ OI penalty)
After filtering, all surviving combos are sorted by total cost of ownership. The cheapest wins. Zero-OI HPs get 1.5x hedge cost penalty in sort. structural_priority=True: first valid in sort order wins (delta-independent).
Pioneer sort in action (MSTR @ $139.12)
#1LC$85 SP$120 HP$49/96dTCO $21,616← WINNER (v25 actual)
#2LC$85 SP$120 HP$43/96dTCO $22,130
#3LC$100 SP$135 HP$49/96dTCO $28,450
#4LC$100 SP$135 HP$43/96dTCO $29,100
Pioneer's character: It sees the most combos (fewest rejections). It picks the cheapest one. The result is high leverage, thin margin ($0.08 on MSTR), decorative hedge. On HIGH IV names, the cheap hedge works under stress because CC income easily covers the tiny roll cost. ARMORED 40%/40% on MSTR.
VAULT UNIQUE RULES
"Minimum safe strike, real protection. Deploy capital for safety, not leverage."
SPSP ≤ stock price (OTM only)
No ITM short puts. Eliminates assignment risk at entry and forces higher ND (less SP premium), which means more capital deployed but a cleaner position.
✓SP $135 (97% of $139) -- OTMbelow stock, no assignment risk
✓SP $120 (86%) -- deeper OTM
✗SP $150 (108%) -- ITMabove stock, assignment risk
✗SP $140 (101%) -- ITMeven slightly above = rejected
HPHP OTM ≤ cap (LOW 20%, MED 25%, HIGH 30%)
VAULT's most impactful filter. The hedge must be close enough for real protection. On MSTR at HIGH IV, cap is 30%. HP $97 (30% OTM) passes. HP $49 (65% OTM) is rejected. DTE hard floor also applies (v25).
✓HP $100 (28% OTM) on HIGH IV / 96dwithin 30% cap, meets DTE floor
✓HP $110 (21% OTM) on HIGH IV / 96dwithin cap
✗HP $49 (65% OTM) on HIGH IV65% > 30% cap
✗HP $100 (28% OTM) on LOW IV28% > 20% cap for LOW IV
HP OTM Cap by IV Regime:
LOW: 20%
MEDIUM: 25%
HIGH: 30% ← MSTR
SORTSS ascending, TCO tiebreaker (+ OI penalty)
Survivors sorted by safe strike (lowest first). Deepest LC pushes SS1 = LC + ND down. Highest viable SP premium reduces ND. Result: lowest possible safe strike = widest margin = most room to sell CCs during drawdown. Zero-OI HP gets 1.5x penalty in TCO tiebreaker.
VAULT sort in action (MSTR, survivors only)
#1LC$55 SP$135 HP$100/96dSS $130.50← WINNER
#2LC$60 SP$135 HP$100/96dSS $133.20
#3LC$60 SP$120 HP$100/96dSS $138.40
#4LC$100 SP$135 HP$100/96dSS $137.60
#5LC$100 SP$135 HP$110/96dSS $141.20← insolvent
VAULT's character: Most combos rejected (HP cap + SP OTM). What survives has real protection but high hedge cost. The SS sort finds the deepest LC for lowest safe strike. The price: heavy IC, lower net income. VAULT resilience paradox: closer HP = worse resilience grade because expensive rolls. VAULT's value is ML reduction and exit economics, not stay-and-fight survival.
DIAMOND UNIQUE RULES
"Adaptive midpoint leverage. Find the best stress runway at the RM sweet spot between Pioneer and VAULT."
SPSP ≤ adaptive floor (always OTM, tested at 11 levels)
Diamond tests 11 SP floors from 100% down to 70% of stock in 3% steps. At each floor, it finds the best structure. Then it picks the floor whose structure lands closest to the target RM.
✓SP $139 at 100% floorfloor = stock
✓SP $120 at 97% floor ($135)$120 ≤ $135
✗SP $135 at 94% floor ($131)$135 > $131
✓SP $120 at 94% floor ($131)$120 ≤ $131
SP Floors for MSTR @ $139:
100% = $139 97% = $135 94% = $131 91% = $127 88% = $122
85% = $118 82% = $114 79% = $110 76% = $106 73% = $102 70% = $97
HPUnconstrained OTM, DTE ≥ 90d (decorative)
Diamond does NOT restrict HP depth. SE sort naturally prefers deep OTM HP. HP is decorative like Pioneer's. DTE hard floor applies (v25). Tested and reverted (v24): geometric mean HP cap was implemented across all IV regimes. Closer HP tripled hedge cost, collapsing survival from ARMORED 40% to RESILIENT 15% even on HIGH IV. Decorative HP is confirmed correct.
✓HP $49 (65% OTM) / 96dMSTR v25 actual. High SE.
✓HP $100 (28% OTM) / 96dpasses but lower SE
SORTSE descending = (hp_otm% x hp_dte) / IC (+ OI penalty)
At EACH SP floor, combos sorted by stress efficiency. SE = "stress runway per dollar deployed." Deep OTM HP + long DTE + low IC = highest SE. Zero-OI HP gets 1.5x hedge cost in TCO tiebreaker.
SE sort at 91% floor (SP ≤ $127)
#1LC$85 SP$120 HP$49/96dSE 0.00285← top at this floor
#2LC$100 SP$120 HP$49/96dSE 0.00152
#3LC$85 SP$120 HP$43/96dSE 0.00271
PICKRM closest to sqrt(Pioneer_RM x VAULT_RM)
Each floor's SE winner has a different RM. Diamond picks the floor whose RM is closest to the geometric mean of Pioneer's and VAULT's actual RM values. This is the adaptive midpoint.
Floor selection (MSTR v25 actual)
PPioneer RM = 6.8x
VVAULT RM = 1.4x
→Target = sqrt(6.8 x 1.4) = 3.1x
100%RM 5.2x|5.2 - 3.1| = 2.1
97%RM 4.1x|4.1 - 3.1| = 1.0
94%RM 3.2x|3.2 - 3.1| = 0.1
91%RM 2.3x|2.3 - 3.1| = 0.8
88%RM 2.0x|2.0 - 3.1| = 1.1
94% floor wins (dist 0.1). v25 actual MSTR: RM 2.31x, DIAMOND recommended.
Diamond's character: Two-phase process. Phase 1 (SE sort at each floor) finds best stress structure per SP constraint. Phase 2 (geometric mean pick) selects the constraint level producing the right leverage midpoint. Result adapts per ticker: MSTR lands ~2.3x, PLTR ~3.3x, COIN ~3.0x. Diamond dominates Pioneer on HIGH IV when same income + lower ML + same resilience. In v25 results: 11 of 17 original tickers selected DIAMOND, all HIGH IV names.
Constraint Comparison at a Glance v25.0
| Constraint | PIONEER | DIAMOND | VAULT |
|---|
| SP upper bound | 115% (ITM OK) | Adaptive (≤ stock) | ≤ stock (OTM) |
| SP ITM allowed? | Yes | No | No |
| HP OTM cap | None | None | 20/25/30% by IV |
| HP depth preference | Deep (cheap) | Deep (high SE) | Capped (real protection) |
| HP DTE | Hard floor (v25) | Hard floor (v25) | Hard floor (v25) |
| HP role | Decorative | Decorative | Real protection |
| Zero-OI HP penalty | 1.5x in TCO | 1.5x in SE+TCO | 1.5x in SS+TCO |
| Sort criterion | TCO ↑ | SE ↓ per floor | SS ↑ |
| Sort picks for... | Cheapest entry | Max stress/dollar | Lowest safe strike |
| structural_priority | True | True | True |
| Final selection | Top of sort | Floor closest to sqrt(P x V) | Top of sort |
| Typical RM | 5 - 14x | 2.0 - 4.3x | 1.0 - 1.6x |
| Typical resilience (HIGH IV) | ARM 40% | ARM 40% | RES 15-20% |
| Typical resilience (MED IV) | FRG 10% | FRG 10% | FRG 5% |
| LC preference | Shallowest | Mid-depth | Deepest |
| Combos rejected | ~5% | ~40% | ~70% |
| Run order | 1st | 3rd (needs P + V) | 2nd |
| Triplet source | Full scan | Pioneer's (filtered) | Pioneer's (filtered) |
v25 Actual Results: MSTR @ $139.12 LIVE DATA
4 contracts, --risk $50,400, HIGH IV, recommended: DIAMOND
| Metric | PIONEER | DIAMOND ← REC | VAULT |
|---|
| Legs (LC/SP/HP/SC) | $85/$120/$49(96d)/$149 | $85/$120/$49(96d)/$149 | $55/$135/$100(96d)/$149 |
| IC | $21,616 | $21,616 | $66,544 |
| ML | $50,016 | $50,016 | $50,016 |
| RM | 2.31x | 2.31x | 0.75x |
| SS | $139.04 | $139.04 | $130.50 |
| Margin | $0.08 | $0.08 | $8.62 |
| Net Income/Yr | $42,900 | $42,900 | $18,200 |
| ROI (IC) | 198.5% | 198.5% | 27.3% |
| ROI (ML) | 85.8% | 85.8% | 36.4% |
| CDD / Stressed | 40% / 40% | 40% / 40% | 20% / 15% |
| Grade | ARMORED | ARMORED | RESILIENT |
Why DIAMOND wins on MSTR: Pioneer and Diamond land on the identical structure (LC$85/SP$120/HP$49) because Diamond's SP floor loop found that the Pioneer structure is already at the geometric mean RM target. Diamond dominance check passes: same income, same ML, same CDD. VAULT deploys 3x more IC for half the income and worse resilience (VAULT paradox: closer HP = more expensive rolls = worse stress survival).
Fortress Archetype Constraints Reference | v25.0 | Mar 15, 2026 | MSTR live chain data