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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.
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You absolutely can rollover even if you're in the money, Bell Curve â it just depends on your strategic intent. Rolling isnât just an escape hatch for underwater options; itâs often a proactive way to extend duration, adjust exposure, or lock in gains while keeping a hedge alive.
đ Rollover Logic: ITM vs. OTM
| Option Status | Rollover Motivation | Strategic Benefit |
|---|---|---|
| Out-of-the-Money (OTM) | Hedge hasnât paid off yet | Extend duration in case market reverses |
| In-the-Money (ITM) | Hedge is profitable | Lock in gains and continue protection |
đ§ Tactical Reasons to Rollover In-the-Money LEAPS
- Extend Protection Window: Marketâs still unstable, and you want downside coverage beyond current expiry.
- Harvest Premium: You could sell the ITM put at a profit, then use that premium to fund a new OTM hedge further out.
- Adjust Strike: If volatility declines, deeper strikes may become cheaperâroll profit into better positioning.
For example:
- You own a MSTR Jan 2027 $375 put thatâs now deep ITM because MSTR dropped to $300.
- Rather than closing it outright, you roll to Jan 2029 $350 puts.
- You pocket some premium and maintain your hedge through another cycle.
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Perfect â letâs simulate a LEAPS put hedge rollover using todayâs price for MicroStrategy (MSTR), which is approximately $434.58 USD. Weâll walk through a real-world example of rolling an existing put and evaluating the cost, payoff potential, and strategic fit.
đŻ Current Position: MSTR Jan 2026 $375 Put
- Strike: $375
- Expiry: Jan 2026 (~6 months left)
- Status: Out-of-the-money (MSTR trading at $434.58)
- Estimated Premium Value: ~$15â18 (based on time decay and volatility)
đ Rollover Target: MSTR Jan 2028 $375 or $400 Put
| Option | Strike | Expiry | Estimated Cost | Rationale |
|---|---|---|---|---|
| Put A | $375 | Jan 2028 | ~$30â35 | Extends hedge with same strike; higher cost due to longer duration |
| Put B | $400 | Jan 2028 | ~$40â45 | Slightly deeper protection; more expensive but closer to current price |
đž Rollover Mechanics
- Sell Jan 2026 $375 Put
- Receive ~$15â18 premium
- Buy Jan 2028 $375 or $400 Put
- Pay ~$30â45 depending on strike
- Net Cost: ~$15â30 (debit)
- This is your rollover cost to extend protection by 2 years
đ Payoff Simulation: If MSTR Drops to $300 by Jan 2028
| Option | Intrinsic Value | Potential Return |
|---|---|---|
| $375 Put | $75 | ~2.5â4x on cost |
| $400 Put | $100 | ~2â3x on cost |
đ§ Strategic Notes
- Rolling now locks in protection through 2028âideal if you expect BTC or MSTR volatility to persist.
- You can choose to roll just the date (keep $375 strike) or adjust both strike and expiry for deeper coverage.
- Inside a Roth IRA, any gains from these puts would be tax-free, amplifying their impact.
đȘ Laddered Hedge Schedule: Rolling LEAPS Puts Every 6 Months
đ Simulated Performance: 2022 LEAPS Hedge Effectiveness
SPY
MSTR
đ§ Strategic Takeaways