Gahow Wang
4ab86d47b7
Reg T is the binding limit: 3x ETFs need 75% margin and stocks 50%, so the three-sleeve overnight book caps at L 1.71, about 36%/yr at MaxDD -27%. MES futures add S&P beta, not the book's alpha. Box financing adds about +0.9pp if a Reg T account allows it (unverified). 90%-strike calls do worse. Puts held to expiry, reconstructed from Cboe PPUT3M/PPUT, cost 2.0-2.5%/yr per unit of notional and buy at most +1.0pp alongside futures (gate +2pp). At $10k no futures or index-option contract fits the account. v1 built the hedge as the daily difference PPUT3M - S&P 500 TR. That embeds a short S&P position equal to the put's value, so v2 holds the put to expiry. Both are recorded; the A verdict does not depend on the hedge model. Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
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