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>
Gahow Wang
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