Archetype Constraints & Selection
What v27 builds, rejects, and how it picks the winner. MU live-chain example throughout. v27.3
Ticker: MU @ $847.58
IV: HIGH (0.97)
FIGHT test DD: 35% (vol-scaled)
Risk budget: $150,000 ML
Recommendation: BALANCED
LEAPS: Jan'28 / Dec'28
Run: off-hours (frozen)
Version: v27.3
How v27 chooses NEW PIPELINE
Four archetypes are each built and sized independently, then a single scorecard referee compares them on income-per-dollar-of-risk. This replaces v26's fixed Pioneer→Vault→Diamond run-order and its "Diamond usually wins" cascade. Every archetype competes on the same yardstick.
STEP 1
Generate combos
Every LC/SP/HP/SC strike triple on the live chain. MU: hundreds of thousands per archetype.
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STEP 2
Shared gates
Solvency, DTE floor, drag, same-expiration, ML≤budget. Kills most combos (MU Pioneer: 140,112 killed).
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STEP 3
Archetype rules + sort
Each archetype adds its own SP/HP limits and its own objective, then keeps its single best structure.
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STEP 4
Size to budget
Each winner is packed with as many contracts as fit under $150K ML (10% soft tolerance).
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STEP 5
Scorecard referee
Gate on FIGHT depth + exit floor, then rank by net income per $100K ML. Highest wins.
Shared gates ALL ARCHETYPES
Applied to every combo before any archetype-specific filtering. These carry over unchanged from v26 (v25 lineage).
LCStrike 20% to 95% of stock
Long call must be ITM and inside the universal band. On MU ($847.58) that is roughly $170–$805.
✓LC 300 (35%)BALANCED actual
✓LC 570 (67%)PIONEER actual
✗LC 830 (98%)too shallow, > 95%
SPStrike 30% to 115% of stock
Short-put floor blocks worthless deep-OTM puts. The upper bound is where the archetypes diverge (below).
✓SP 580 (68%)BALANCED, OTM
✓SP 970 (114%)PIONEER, ITM allowed
✗SP 240 (28%)below 30% floor
HPDTE ≥ vol-scaled floor
Hedge put must clear the IV-scaled DTE floor. MU is HIGH IV → 90d floor. All picks used the 115d Nov'26 put.
HP DTE floor: LOW 60d · MED 75d · HIGH 90d ← MU
SOLVENCYSafe strike < stock (margin > $0.01)
The single biggest filter. On MU, 140,102 Pioneer combos died here alone: the short-put financing pushed the safe strike above spot.
✓SS 846.80, stock 847.58BALANCED, margin $0.78 (thin)
✗SS 847.67, stock 847.58LC570/SP970/HP270: margin −$0.10 INSOLVENT
ML CAPMax Loss ≤ --risk budget
ML = capital + (SP−HP gap)×shares. Hard ceiling at the --risk figure, with a 10% soft tolerance for whole-contract packing. MU cap: $150,000.
✓BALANCED 2ct = $127,36085% of cap
✗BALANCED 3ct = $191,040127% of cap, rejected
DRAGHedge annual < 50% of IC
A hedge that eats more than half your capital per year is unsustainable. Note this is a cheap-side gate; v27's referee separately charges the hedge against income (see below), which is the sharper test.
The four archetypes — what each one is trying to do
PIONEER CHEAPEST ENTRY
"Get in for as little capital as possible. Maximum leverage."
SPSP ≤ 115% (ITM allowed)
The only archetype that allows an ITM short put. A deep SP throws off huge premium, slashing net debit and capital.
✓SP 970 (14% ITM)MU actual, IC only $15,035
HPUnconstrained OTM
Hedge is decorative, its only job is to cap max loss far away. MU picked HP 260 (69% OTM), leaving a 710-point gap.
Sort: lowest TCO (capital + annual hedge). MU result: LC570 / SP970 / HP260, RM 5.72, margin $2.40. Cheapest to own, but the huge unhedged gap makes ML the highest per contract ($86,035), so only 1 contract fits the budget — which caps its income.
DIAMOND ADAPTIVE MIDPOINT
"Sit at the leverage sweet-spot between Pioneer and Vault."
SPSP ≤ adaptive floor (OTM, 11 levels)
Tests 11 short-put floors from 100% down to 70% of stock; the floor whose RM lands closest to sqrt(Pioneer×Vault) wins.
✓SP 740 (13% OTM)MU actual
HPUnconstrained OTM (decorative)
Like Pioneer, no hedge-distance limit. MU took HP 260 (69% OTM), a 480-point gap.
Sort: stress efficiency per floor, then RM closest to the geometric mean. MU result: LC540 / SP740 / HP260, RM 2.58, 2ct. Highest absolute net income of all four ($22,018/mo, cheap hedge) — but its wide gap makes ML $156,840, so its income-per-risk lands mid-pack.
VAULT REAL PROTECTION
"Deploy capital for a close, real hedge. Lowest safe strike."
SPSP ≤ stock (OTM only)
No ITM puts, no assignment risk at entry. Forces a higher net debit and more capital.
HPHP OTM ≤ vol cap
Vault's signature filter: the hedge must be close. MU (HIGH IV) cap is 30%; it took HP 600 at 29% OTM — a genuine, tight 140-point gap.
HP OTM cap: LOW 20% · MED 25% · HIGH 30% ← MU
Sort: lowest safe strike (deepest LC), TCO tiebreak. MU result: LC190 / SP740 / HP600, RM 1.26, 2ct. Real protection, but that close hedge costs $29,517/yr — which quietly eats its income (see the referee).
BALANCED NEW IN v27
"Pay capital to shrink the tail. Minimize total risk = capital + self-insured gap."
SPSP OTM, paired for a tight gap
Short put sits below spot and is chosen together with the hedge so the SP−HP gap is small. MU: SP 580 (32% OTM).
HPReal hedge, min gap ≥ 10%, hedge cap 15%
Not decorative like Pioneer/Diamond, not maximally expensive like Vault. MU: HP 490 — a 90-point gap, the tightest of all four.
Objective: minimize the sum of capital + gap, subject to an exit-MTM floor. MU result: LC300 / SP580 / HP490, RM 1.16 (lowest), 2ct. Deep expensive LC ($54,680 IC/ct) buys a tiny $9,000 gap → the smallest ML per contract of all four ($63,680). Same income tier, least risk → wins income-per-risk.
The scorecard referee THE v27 DECISION
All four finalists go through two gates, then a single ranking. This is what makes the recommendation, and it is why the answer is not always Diamond.
Gate 1 — FIGHT depth: the structure's FIGHT ladder must still pay ≥50% of normal net income at least as deep as the tested drawdown (35% for MU). All four reach FDD 90% (MU's rich HIGH-IV premium funds very deep fights) → all pass with a +55pt margin.
Gate 2 — exit floor: mark-to-market at the tested drawdown must be no worse than −60% of ML (you retain ≥40% of your risk capital, unrealized). All four pass; BALANCED is closest to the edge at −59.8%.
Ranking metric: net income per $100K of Max Loss
"Net" = monthly income minus the hedge's monthly cost. "Per $100K ML" = divided by the risk actually carried. Bar length = score.
#1BALANCED
$16,474 / $100K ML
#2VAULT
$14,455 / $100K ML
#3DIAMOND
$14,039 / $100K ML
#4PIONEER
$12,796 / $100K ML
The non-obvious part. BALANCED does not have the most income — DIAMOND does ($22,018/mo net vs BALANCED's $20,981). BALANCED wins because it earns nearly the same income while carrying far less risk: ML $127,360 vs Diamond's $156,840. Income per dollar of risk is the yardstick, not income alone.
And VAULT edges DIAMOND despite lower net income, because its close hedge ($29,517/yr) is charged against income while its ML ($136,400) is still below Diamond's. That hedge cost is exactly why Vault does not win outright: it buys the same protection BALANCED gets far more cheaply.
Tiebreaker (only within 10% on the score): lower capital wins. Upside footnote (never overrides): structural delta-shares per $100K ML — BALANCED 162, VAULT 151, DIAMOND 137, PIONEER 134.
MU actual: all four, side by side LIVE CHAIN
2ct where it fits, --risk $150,000, HIGH IV, recommended: BALANCED. Legs shown LC / SP / HP(dte) / SC.
| Metric | PIONEER | DIAMOND | VAULT | BALANCED ← REC |
|---|
| Legs | 570/970/260(115d)/935 | 540/740/260(115d)/935 | 190/740/600(115d)/935 | 300/580/490(115d)/935 |
| Gap (SP−HP) | 710 | 480 | 140 | 90 |
| Hedge OTM | 69% | 69% | 29% | 42% |
| Contracts | 1 | 2 | 2 | 2 |
| IC / contract | $15,035 | $30,420 | $54,200 | $54,680 |
| ML / contract | $86,035 | $78,420 | $68,200 | $63,680 |
| Total ML | $86,035 | $156,840 | $136,400 | $127,360 |
| RM | 5.72x | 2.58x | 1.26x | 1.16x |
| Margin | $2.40 | $3.38 | $111.58 | $0.78 |
| Gross inc/mo | $11,088 | $22,177 | $22,177 | $22,177 |
| Hedge cost/yr | $952 | $1,904 | $29,517 | $14,346 |
| Net inc/mo | $11,009 | $22,018 | $19,717 | $20,981 |
| Net per $100K ML | $12,796 | $14,039 | $14,455 | $16,474 |
| FIGHT depth (FDD) | 90% | 90% | 90% | 90% |
| Exit MTM @ 35% | −54.7% ok | −54.4% ok | −58.9% ok | −59.8% edge |
| Grade | ARMORED | ARMORED | ARMORED | ARMORED |
Why BALANCED, in one line: the same $22,177/mo income tier as Diamond and Vault, delivered on the smallest Max Loss ($63,680/contract), so the most income per dollar of risk. The one caution the tool flags: margin is a thin $0.78, re-quote live before entering (this run was off-hours/frozen).
What gets eliminated, and why MU SCAN
Each archetype scans a different number of combos (it inherits filtered survivors and applies its own rules). The kills below are MU's actual counts this run.
| Archetype | Combos scanned | Killed — INSOLVENT | Killed — MARGIN | Killed — FINAL FILTER | Survives to referee |
|---|
| PIONEER | 282,639 | 140,102 | 10 | — | 1 structure |
| DIAMOND | 44,169 | — | — | — | 1 structure |
| VAULT | 16,763 | — | — | — | 1 structure |
| BALANCED | 74,657 | — | — | 9,420 | 1 structure |
The gates that do the killing
INSOLVENT140,102 Pioneer combos
Safe strike landed at or above spot. Concrete kill:
LC570 / SP970 / HP270 → SS $847.67 ≥ stock $847.58
margin −$0.10 → INSOLVENT
Pioneer scans the most and dies the most here: pushing the short put deep-ITM for cheap capital is exactly what drives the safe strike up into insolvency.
FINAL FILTER9,420 Balanced combos
Balanced's own gates: a structure that failed the exit-MTM floor (worse than −60% at the tested drawdown), fell below the minimum gap, or breached the hedge cap. This is the filter that enforces "real hedge, not decorative, not ruinously expensive."
Note: Diamond and Vault show no kills of their own because they operate on the pool Pioneer already filtered, and their tighter SP/HP rules simply never generate the insolvent combos in the first place. The winner of each archetype's own sort is the single structure that reaches the referee.
What changed from v26 v26 → v27
NEWBALANCED archetype
A fourth archetype that minimizes capital + gap together: real hedge protection at a fraction of Vault's cost. It won 10 of 12 names this run.
NEWScorecard referee
Replaces the fixed Pioneer→Vault→Diamond run-order and the "Diamond usually wins" default. Every archetype competes on net income per $100K ML after passing the FIGHT and exit gates.
NEWFDD replaces CDD
Resilience is now the FIGHT-floor drawdown (deepest DD where the active FIGHT ladder still pays ≥50% of normal net income), net-vs-net, instead of the old passive safe-strike survival model.
NEWPer-archetype budget sizing
Each archetype is sized to its own contract count under --risk, rather than one shared count across all four. That is why Pioneer holds 1ct here while the others hold 2.
NEWVol-scaled DD test depth
The stress depth is 0.5×ATM IV, clamped to 10–35% and snapped to a 5% grid, instead of a fixed regime menu. MU (IV 0.97) caps at 35%.
NEWExit-MTM floor gate
A structure is disqualified if its mark-to-market at the tested drawdown is worse than −60% of ML (Black-Scholes exit marks, not intrinsic), applied to all four archetypes.
Shared gates (LC/SP ranges, HP DTE floor, solvency, drag, ML cap, same-expiration) are unchanged from v26. The archetype-specific rules for Pioneer/Diamond/Vault are unchanged; v27 adds Balanced beside them and changes only how the winner is chosen.