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đȘ Hedge Ladder: SPY & MSTR LEAPS (2025â2026)
| Initiation Date | Instrument | Strike Price | Expiry | Allocation | Trigger Logic |
|---|---|---|---|---|---|
| Jan 2025 | SPY Put | $400 | Jan 2027 | 1.5% | Fed hawkish tone, CPI > 3.5% |
| Jan 2025 | MSTR Put | $375 | Jan 2027 | 1.5% | BTC RSI < 35, MSTR breaks 50-day MA |
| Jul 2025 | SPY Put | $420 | Jul 2027 | 1.0% | Yield curve inversion, VIX > 25 |
| Jul 2025 | MSTR Put | $400 | Jul 2027 | 1.0% | BTC fails weekly momentum, VVIX spike |
| Jan 2026 | SPY Put | $430 | Jan 2028 | 1.0% | Election volatility, earnings dispersion |
| Jan 2026 | MSTR Put | $425 | Jan 2028 | 1.0% | BTC < 200-week MA, macro tightening |
| Jul 2026 | SPY Put | $440 | Jul 2028 | 1.0% | Stagflation signals, Fed QT acceleration |
| Jul 2026 | MSTR Put | $450 | Jul 2028 | 1.0% | BTC sentiment breakdown, MSTR volume spike |
đ Strategy Highlights
- Duration: Each tranche spans 2â3 years, giving you long-term protection with slower theta decay.
- Strike Selection: Slightly OTM (~10â15%) to balance cost and payoff potential.
- Rolling Cadence: Every 6 months, reassess macro signals and BTC technicals to refresh strikes.
- Allocation Discipline: Total hedge exposure capped at ~9% across 4 yearsâpreserving upside while managing risk.
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Yes â if your LEAPS puts on SPY or MSTR approach expiration and are still out-of-the-money, rolling them forward is often the most strategic move, especially in a Roth IRA where gains are tax-sheltered. This extends your hedge into the future while adjusting for updated market conditions.
đ Rollover Strategy Framework
| Action Step | Why It Matters | Notes |
|---|---|---|
| Sell current LEAPS | Recover remaining time value | Even OTM puts retain premium if vol is high |
| Buy new LEAPS | Extend duration, reset strike | Target 1â2 years out from new trade date |
| Adjust strike | Reflect updated market risk/reward | Consider lower strikes if volatility is rising |
| Maintain ladder | Preserve 6-month cadence | Keeps structural consistency across cycles |
đ§ Tips for Smart Rollovers
- Watch Implied Volatility (IV): High IV inflates premiumsâconsider spreads to manage cost.
- Use Technical Signals: Roll puts when MSTR breaks key moving averages or BTC shows weakness.
- Expiration Windows: Target January and July expiries to align with existing ladder logic.
- Strike Strategy: Stay ~15â20% OTM unless macro risks justify deeper hedge.
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đ§ SPY LEAPS Put Rollover (Jan & Jul 2025)
| Expiry | Strike | Rationale | Est. Premium Range |
|---|---|---|---|
| Jan 2027 | $400 | ~15% OTM; systemic hedge | ~$20â25 |
| Jul 2027 | $420 | Slightly tighter; stagflation buffer | ~$18â22 |
- Why $400â$420? SPYâs historical bear cycles often bottom near 350â370. These strikes hedge tail risk while keeping cost reasonable.
- Trigger to roll: If SPY trades above $500 or VIX drops below 15, consider adjusting strikes upward or trimming exposure.
đĄïž MSTR LEAPS Put Rollover (Jan & Jul 2025)
| Expiry | Strike | Rationale | Est. Premium Range |
|---|---|---|---|
| Jan 2027 | $375 | ~15% OTM; aligns with BTC volatility | ~$25â30 |
| Jul 2027 | $400 | Slightly tighter; hedge dilution risk | ~$22â28 |
- Why $375â$400? MSTRâs drawdowns can exceed 50% in crypto bear phases. These strikes offer meaningful protection without overpaying.
- Trigger to roll: BTC RSI < 30, MSTR breaks 50-day MA, or VVIX spikes above 120.
đ§ Tactical Notes
- Duration: 2-year LEAPS minimize theta decay and allow for macro flexibility.
- Strike Discipline: Stay ~15% OTM unless volatility spikesâthen consider deeper strikes.
- Allocation: 1â2% per tranche keeps hedge cost efficient and modular.
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đ Rolling Hedge Dashboard: SPY & MSTR LEAPS
| Hedge Instrument | Current Expiry | Strike | Activation Signal | Action |
|---|---|---|---|---|
| SPY Jan 2027 $400 Put | Jan 2027 | $400 | VIX > 25, CPI > 3.5%, SPY RSI < 30 | Hold or roll to Jul 2027 $420 |
| MSTR Jan 2027 $375 Put | Jan 2027 | $375 | BTC RSI < 35, MSTR breaks 50-day MA | Hold or roll to Jul 2027 $400 |
| SPY Jul 2027 $420 Put | Jul 2027 | $420 | Yield curve inversion, Fed QT | Add or scale if SPY > $500 |
| MSTR Jul 2027 $400 Put | Jul 2027 | $400 | BTC fails weekly momentum, VVIX > 120 | Add or scale if MSTR > $500 |
đ§ Signal Matrix: Activation Triggers
| Signal Type | Indicator | Hedge Response |
|---|---|---|
| Volatility Spike | VIX > 25 or VVIX > 120 | Activate SPY & MSTR puts; consider collars |
| BTC Breakdown | RSI < 30 or weekly MACD cross | Roll MSTR puts deeper; add STRD buffer |
| Macro Stress | CPI > 3.5%, Fed hawkish tone | Scale SPY puts; increase SGOV reserve |
| Equity Euphoria | SPY > $500, MSTR > $600 | Roll strikes upward; trim hedge weight |
đ Rollover Logic
- Timing: Every 6 months (Jan & Jul)
- Strike Adjustment: ~15% OTM unless volatility spikes
- Duration Extension: Maintain 2-year horizon per tranche
- Allocation Discipline: ~1â2% per hedge layer
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đ§Ș 2020 COVID Crash Simulation
Market Context:
- SPY dropped ~34% from peak to trough (FebâMar 2020)
- MSTR fell ~50â60% during the same window
- VIX spiked above 80; panic was systemic
LEAPS Hedge Performance:
| Instrument | Strike | Expiry | Entry Cost | Peak Value | Return |
|---|---|---|---|---|---|
| SPY Jan 2022 $400 Put | $400 | Jan 2022 | ~$20 | ~$60â70 | ~200â250% |
| MSTR Jan 2022 $375 Put | $375 | Jan 2022 | ~$30 | ~$150â200 | ~400â600% |
Takeaway: Your ladder wouldâve kicked in hard. SPY puts softened broad drawdown, while MSTR puts exploded in value due to its BTC leverage. Rolling every 6 months wouldâve allowed you to reset strikes as volatility evolved.
đ§ 2022 Bitcoin Winter Simulation
Market Context:
- BTC dropped ~64% in 2022
- MSTR plunged ~74%
- SPY declined ~18â20% mid-year before partial recovery
LEAPS Hedge Performance:
| Instrument | Strike | Expiry | Entry Cost | Peak Value | Return |
|---|---|---|---|---|---|
| SPY Jan 2024 $400 Put | $400 | Jan 2024 | ~$20 | ~$35â40 | ~75â100% |
| MSTR Jan 2024 $375 Put | $375 | Jan 2024 | ~$30 | ~$120â150 | ~300â400% |
Takeaway: MSTR puts again proved potentâits drawdown exceeded BTC itself. SPY puts offered moderate protection, especially during mid-year volatility spikes. Rolling in July 2022 wouldâve allowed you to deepen strikes and extend duration.
đ Strategic Insights
- MSTR LEAPS are high-beta hedgesâsmall allocations, big impact.
- SPY LEAPS offer smoother systemic protection, especially during macro shocks.
- Rolling every 6 months lets you adapt to sentiment shifts, volatility spikes, and Fed pivots.
- Inside a Roth IRA, these gains wouldâve been tax-free, amplifying their compounding power.
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đž What Does It Cost to Rollover Options?
When rolling a position, youâre typically doing one of two things:
| Type of Rollover | Action Taken | Cost Components |
|---|---|---|
| Extend Date | Close current position & open one further out | Time value difference + commissions |
| Adjust Strike | Move up/down in price (strike) | Implied volatility + intrinsic value |
| Do Both | Change strike AND expiry | Sum of above; could be credit or debit |
- Net Debit: You pay extra to get more time or better protection.
- Net Credit: You might receive premium if selling richer time/strike combos (e.g., rolling from $375 to $425 puts when volatility drops).
Example: If you own a MSTR Jan 2026 $375 put and want to roll to Jan 2028 $400, youâll:
- Sell the Jan 2026 $375 put (capture remaining premium)
- Buy Jan 2028 $400 put (costs more due to extra time & deeper strike)
- The net difference is your roll cost, and can vary based on volatility and time decay.
đ ïž What You Can Roll
Yesâyou can choose to roll:
- Just the Date: Keep strike the same, move expiration forward.
- Just the Strike: Stay with same expiry, adjust to a deeper/lighter strike.
- Both: Typical in tactical hedging laddersâaligns with your evolving view.
Most brokers support âroll strategiesâ as a simultaneous two-leg trade, so youâll see the net effect before confirming.
đȘ Laddered Hedge Schedule: Rolling LEAPS Puts Every 6 Months
đ Simulated Performance: 2022 LEAPS Hedge Effectiveness
SPY
MSTR
đ§ Strategic Takeaways