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🚦 Market Regime Filter

Metric	Value	Status
VIX	17.93	🟢 Optimal (8-30)
Term Structure	Contango	🟢 Confirm Back IV >= Front IV
Regime Check	Binary Risk	⚠️ NVIDIA Earnings / Post-Tariff Vol

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🛠️ The Setup Table & Range

Leg	Expiration	Strike	Delta
Put Calendar	MAR 12 / MAR 27	6675	~30Δ
Call Calendar	MAR 12 / MAR 27	7100	~30Δ

📍 Estimated Profit Zone: > Lower Breakeven: $6,574.88 | Upper Breakeven: $7,206.50 Range: Approx. ±1.5% beyond the strikes at front-month expiration.

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📈 Execution & Risk Metrics

Date Opened: February 25, 2026

Total Debit: $24.50 Calculation: Leg 1 + Leg 2 – Leg 3 – Leg 4 = $24.50 10% Evaluation: $26.95

🛑 Hard Stop (-25%): $18.38 (Exit immediately)

Target Exit Date: March 10, 2026

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💰 Profit Potential Ladder (Per Unit)

Return	Exit Price	Dollar Gain
+10%	$26.95	+$245.00
+20%	$29.40	+$490.00
+30%	$31.85	+$735.00
+40%	$34.30	+$980.00

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🧠 Strategic Extrapolations (The Deep Dive)

🎯 Expected Move Alignment: The March 12 expiration carries a ±3.1% expected move ($211.69). Our strikes at 6675 and 7100 sit just outside the 1-standard deviation move, allowing the index to breathe while we harvest decay.

⚡ Gamma Risk: As we approach the March 12 front-month expiration, Delta will begin to accelerate rapidly near the 6675 and 7100 strikes. If price pins near these levels, the “gamma flip” can create explosive P/L gains, but requires strict adherence to the exit date to avoid expiration pin risk.

🌫️ Volatility Dispersion: While the VIX has cooled to 17.93, the “Nvidia Shadow” remains. With NVDA earnings hitting tonight, the dispersion between index volatility and constituent volatility is at a local peak. This trade benefits if index vol stays anchored while individual names churn.

🧱 The “Call Wall” Analysis: Significant open interest is clustering at the 7100 level. This acts as a natural ceiling for the current campaign, aligning perfectly with our upper strike. We expect the index to struggle to sustain a move above this magnet.

⏳ Theta/Vega Ratio: By selling the March 12 (15 DTE) and buying the March 27 (30 DTE), we are net long Vega. This protects the position against a sudden market-wide vol spike, while the front-month Theta decays at an accelerating rate compared to the back-month.

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📉 Visualizing the Trade Mechanics

• The Valley vs. The Peaks: The trade opens in the “valley”—a flat P/L zone near current price. As the index moves toward the 6675 or 7100 strikes, the position “climbs” the profit peaks where the tent is tallest.
• The Theta Burn: Every 24 hours that the SPX remains between our strikes, the front-month options lose more value than the back-month longs, effectively “inflating” our profit tent daily.

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🛡️ Strategy Integrity

• Thesis: Harvesting front-month theta vs. back-month volatility expansion.
• Invalidation: Price breach of breakevens or sudden front-month vol spike.
• NO ADJUSTMENTS: No rolling, no scaling, no averaging down.
• Execution: Mid-price, walk $0.05 every 30s. GTC stop set immediately.

“Process > Outcome. Stay disciplined.”