Goal: To objectively define maximum risk and profit for each trade before it is established. By writing an option at our weekly profit objective, we use the collected premium to purchase an option that objectively defines maximum risk to an exact dollar amount, reduces the margin requirement, and eliminates the possibility of being “stopped out,” regardless of market volatility. This structural armor completely negates the risk of a margin call without wasting investment capital on the net purchase of option time premium.
Step 1) Identify the Anchor (The 4:00 PM ET Continuity Anchor):
Access the Official 4:00 PM ET Last Price of the S&P 500 (ES) on Friday.
Note: This 4:00 PM Anchor synchronizes the “Armor” with the exact moment of the weekly option expiration, ensuring 100% risk continuity and eliminating the 60-minute “Naked Gap” before the 5:00 PM ET daily close.
Calculate the Boundaries (2.00% Volatility):
Upper Band (Profit Ceiling): Anchor Price X 1.02
Lower Band (Risk Floor): Anchor Price X 0.98
Collar Valuation and Execution:
Round the collar valuations to the nearest strike for the 1-week (Friday) expiration. Prepare and execute the trade at the 4:00 PM ET using a Price Order for the simultaneous execution of both options.
Step 2: The Gatekeeper
Objective: To utilize the Gatekeeper composite of 13 technical indicators to generate objective instructions for: Establishing a new position, Maintaining an existing position, Remaining Neutral, or Reversing the current position.
From Neutral
If the portfolio is currently in Neutral, you are only permitted to establish new positions if the Friday Gatekeeper Composite exceeds the 61% Intensity Gate:
LONG: If the Composite is Greater than 61% Buy
Establish a new Long, immediately execute the Weekly Collar defined in Step 1
SHORT: If the Composite is Greater than 61% Sell
Establish a new Short position, immediately execute the Weekly Collar defined in Step From Neutral, STAY NEUTRAL: If the Composite is Less than 62%
Remain in Neutral. Do not expose capital until the 61% Intensity Gate is breached
Step 3) Maintaining, liquidating or Reversing a position
Maintain:
Maintain the trade as long as the Friday Gatekeeper (overall average of the 13 indicators) remains greater the 7% consistent with your current position (long or short) if both the options you wrote and purchased expire worthless on Friday immediately re-collar the position for the week (Friday’s expiration)
Re-Establish/Roll
If your position was “Called Away” (Profit objective) or “Delivered” (Maximum risk) during the week, but Friday’s Gatekeeper remains above 7% constant (long oe short)
Re-establish the futures position and immediately reset the Weekly Collar.
Remain Neutral:
If the Gatekeeper Composite collapses below 8%
EXIT: If your futures position is not delivered, offset this position simultaneously with Friday’s option expiration and remain Neutral
WAIT: Do not re-enter the market until a new > then 61% Intensity Gate (Friday) is reached
Reverse
If the Friday Gatekeeper has reversed direction (Buy to Sell or Sell to Buy) and that new direction exceeds 61%
Reverse: If your position was not delivered at Friday’s expiration immediately off set it and Establish a new position consistent with the Gatekeepers defined direction, immediately collaring it up to objectively define risk for the week (through next Friday’s expiration)
The Friday Institutional Valuation Protocol
1) If Maximum Risk is Achieved (Delivered)
If the S&P 500 (ES) finishes below your Long Put strike (for Longs) or above your Long Call strike (for Shorts):
Valuation: The position is valued at the Long Option Strike Price.
The Reality: Your futures position is offset by the exercise of the option. The “Sting” is mathematically capped at the exact dollar amount defined in Step 1. You move to Neutral at the 4:00 PM expiration.
2) If the Position is “Called Away” (Profit Objective Hit)
If the S&P 500 finishes above your Short Call strike (for Longs) or below your Short Put strike (for Shorts):
Valuation: The position is valued at the Short Option Strike Price.
The Reality: Your vertical profit is realized at the strike. The futures are called away, and you move to Neutral at the 4:00 PM expiration with the maximum profit of the “Box” secured.
3) If Both Options Expire Worthless
If the S&P 500 finishes between your two collar strikes (inside the 2% collar):
Valuation (Unrealized P&L): The futures position is marked to the 4:00 PM ET Last Price.
The Timing: This valuation occurs precisely at 4:00 PM ET (3:00 PM CT).
The Protocol: Because both options have expired, you are now holding a Naked Futures Position. According to Step 2 (Protocol B or C), you must either Roll the collar for the next week or Offset the futures immediately to return to Neutral.
