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options-structure-rules

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更新时间2026年7月3日 09:54

The hard structural constraints for the Public Portfolio Challenge momentum-LEAP options book — the spread-shape rule, the take-profit convexity-cap footgun, the affordability ladder, and the known losers not to re-test. Use whenever building or auditing an options strategy structure, checking spread-shape compliance before a certification, choosing DTE/strike rungs, or deciding whether a proposed structure change is even allowed. A violation is an automatic certification FAIL.

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austin-starks

austin-starks/Public-Portfolio-Challenge

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Options Structure Rules

The options structure family is settled by episode evidence — only the signal (ranking / weighting / filtering) is normally in play. These are hard constraints; a violation is an automatic certification FAIL.

The spread-shape rule (hard constraint)

Long-dated exposure (≥ ~120 DTE) = outright long calls ONLY. Uncapped convexity, no short leg. No long-dated debit or vertical spreads (e.g. a Mar-'27 ATM/+3/+10/+20 capped vertical is a violation and cannot certify).
Any debit / vertical spread must be short-dated — expiring in ≤ ~30 DTE. Thin is fine there.

Re-confirm compliance on every finalist by reading leg DTE/strikes from get_portfolio. Violation = automatic FAIL, no exceptions.

Short-dated verticals are candidates, not banned

A prior thin +3%-wide, uncapped, every-name-eligible ≤30-DTE sleeve FAILED cert (theta bleed, fee churn, cratered the April-2025 fold). That disproved one point, not the class. A short-dated wide, share-capped debit spread is a different structure — let the sweep + OOS cert adjudicate it, but instrument it so the failure mode can't hide: width is a gene, sleeve share is a capped gene, and it must clear the same OOS gates plus a turnover/fee guardrail (report per-fold fees + turnover + sleeve share; a prior sleeve ballooned fees to $1.5–8.9k/fold vs the incumbent's ~$100–600 and must survive the April-2025 fold).

The settled structure family

Outright-calls-only momentum-LEAP: a 7-rung deep-OTM ladder (ATM / +10 / +20 / +35 / +50 / +75 / +100% OTM, 365–730 DTE), TP +250%, affordability backfill, SelectTop 21. Alt-data may touch the rank signal, entry filters, per-name tilts, or an overlay condition — never the structure rungs, the spread-shape rule, or the universe.

The take-profit convexity-cap footgun

If multiple "always" take-profit closes exist (e.g. P/L ≥ 20% / 50% / 200%), the lowest one binds first and effectively caps every winner at ~+20% — defeating the uncapped-convexity rationale for outright calls. It is the single most likely reason returns trail a let-winners-run book. Sanity-check the exit ladder for this on any live book; the deploy config uses a single high TP (e.g. +250%) or none.

The affordability ladder (structural feasibility)

At $25k cold start, a single-template ~$1k-per-name book structurally fails. Minimum defined-risk structures on the expensive tail (META / LLY / GS / TSM / ADI / AVGO) cost $1.3–2.4k per contract.

Every template set must end in a rung the most expensive name can fill — never remove the cheapest rung when sweeping structures.
Order templates expensive→cheap so the engine fills the first affordable rung.
Cheap structures as the primary mechanism = kill path; the ladder must give every name an affordable unit.
totalBudget ≥ K × perNameAllocation per tier. Budgets cap cost basis, not market value — always verify on the tape with audit_backtest_posture. Dollar budgets do NOT de-risk like %-of-NAV sizing.

See breadth-audit for measuring whether the ladder actually participates at fixed $25k.

Known losers on this book (don't re-test without new cause)

Stop-losses on long calls / hold-to-expiry LEAP books — whipsaw; tested twice, hurt twice.
SPY > 200-SMA regime gates — go flat in 2022 → can't clear the certification activity floor; a 200D-SMA momentum filter also tested WORST.
Long-dated verticals — banned by the spread-shape rule.
Thin short-dated sleeves at uncapped share — theta-bleed FAIL (see above).
Narrow ranked rotation (top-K ≤ 5 with shared cadence) — keep K > 5.

Cadence note: DaysSinceLastRebalanceOptionOrder / DaysSinceOrder — null >= N is TRUE on fresh books; the cadence clock is shared across RebalanceOption strategies.

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Measure a NexusTrade options book's TRUE participation at a fixed cold-start capital base, defeating the compounded-NAV breadth illusion. Use whenever a book's headline "holds N/21 names" needs validating, when a live book collapses to a single name (the OSCR trap), when checking whether a SelectTop / per-name-allocation / total-budget change degraded simultaneous participation, or when a certification needs a breadth gate. Uses audit_backtest_breadth at held-fixed $25k.

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name	options-structure-rules
description	The hard structural constraints for the Public Portfolio Challenge momentum-LEAP options book — the spread-shape rule, the take-profit convexity-cap footgun, the affordability ladder, and the known losers not to re-test. Use whenever building or auditing an options strategy structure, checking spread-shape compliance before a certification, choosing DTE/strike rungs, or deciding whether a proposed structure change is even allowed. A violation is an automatic certification FAIL.
license	MIT
metadata	{"author":"Austin Starks","version":"1.0.0","created":"2026-07-03T00:00:00.000Z","last_reviewed":"2026-07-03T00:00:00.000Z","review_interval_days":90}
activation	/options-structure-rules
provenance	{"maintainer":"Austin Starks","source":"public-portfolio-challenge episode-10 / episode-11 runbooks"}

Options Structure Rules

The spread-shape rule (hard constraint)

Long-dated exposure (≥ ~120 DTE) = outright long calls ONLY. Uncapped convexity, no short leg. No long-dated debit or vertical spreads (e.g. a Mar-'27 ATM/+3/+10/+20 capped vertical is a violation and cannot certify).
Any debit / vertical spread must be short-dated — expiring in ≤ ~30 DTE. Thin is fine there.

Re-confirm compliance on every finalist by reading leg DTE/strikes from get_portfolio. Violation = automatic FAIL, no exceptions.

Short-dated verticals are candidates, not banned

The settled structure family

The take-profit convexity-cap footgun

The affordability ladder (structural feasibility)

Every template set must end in a rung the most expensive name can fill — never remove the cheapest rung when sweeping structures.
Order templates expensive→cheap so the engine fills the first affordable rung.
Cheap structures as the primary mechanism = kill path; the ladder must give every name an affordable unit.
totalBudget ≥ K × perNameAllocation per tier. Budgets cap cost basis, not market value — always verify on the tape with audit_backtest_posture. Dollar budgets do NOT de-risk like %-of-NAV sizing.

See breadth-audit for measuring whether the ladder actually participates at fixed $25k.

Known losers on this book (don't re-test without new cause)

Stop-losses on long calls / hold-to-expiry LEAP books — whipsaw; tested twice, hurt twice.
SPY > 200-SMA regime gates — go flat in 2022 → can't clear the certification activity floor; a 200D-SMA momentum filter also tested WORST.
Long-dated verticals — banned by the spread-shape rule.
Thin short-dated sleeves at uncapped share — theta-bleed FAIL (see above).
Narrow ranked rotation (top-K ≤ 5 with shared cadence) — keep K > 5.

Cadence note: DaysSinceLastRebalanceOptionOrder / DaysSinceOrder — null >= N is TRUE on fresh books; the cadence clock is shared across RebalanceOption strategies.