# Risk sheet — bands, margin, decay and the leverage choice

Generated 2026-09-12 by `pnpm --filter @lev/sim report` (`packages/sim/src/report.ts`). Re-run after any parameter change; do not hand-edit. Work item `docs/WEEK_docs/VENUES.md` #18; the source of `docs/DECISIONS.md` D21, and the input to the leverage choice D22 defers to vault creation (#13).

Every simulated number comes from raw-integer arithmetic (AGENTS.md rule 1) over the committed daily OHLC in `packages/sim/data`, which is **planning data only** — see `packages/sim/data/SOURCES.md` for sources, the Stooq fallback and the commodity ETF proxies.

**The simulator runs the registry's policy as configured.** Margin bands are shares of notional (D21); `packages/registry` exports `MARGIN_OF_NOTIONAL` and every policy uses it. D7's old NAV-basis numbers are still selectable (`SimOptions.marginBasis = 'nav'` with `d7NavMargin()`) and appear only in §2c, which measures what the change bought.

---

## 0. Headline

**1. Keeper cadence dominates everything else, and correcting it changed this sheet more than any policy decision in it.** Whether a move liquidates the position depends on how much of it arrives between two keeper actions, not on its size. Earlier versions handed the keeper whole open→low legs as single jumps — 15–27% on MSTR — and counted the results as liquidations. With a realistic ~15-minute cadence, **simulated liquidations across all 22 tokens at 3x fall from 115.6/yr to 1.1/yr**, and the ones that remain are weekend gaps outside Phoenix's impact radius, which no cadence can reach. §1b measures the artifact; §1 documents the model.

**2. D21 still does what it was meant to do, on a smaller stage.** Stating margin as a share of notional makes every margin and liquidation distance independent of leverage: 14.9% from the floor at 2x and 9.3% at 3x — the same number, because L cancels out of (m₀·L − Lx)/(L(1∓x)). Across 22 tokens at 3x it takes liquidations from **4.0/yr under D7 as written to 1.1/yr** (§2c). The honest reading of §1b and §2c together: a well-run keeper removes most liquidation risk, and the margin basis protects what the keeper cannot reach — the weekend.

**3. The remaining buffer is 9.3% long / 8.7% short from the margin floor**, at every leverage, against a registry maintenance margin of 3.5%. Single names still gap through it — MSTR fell 27.4% over the 2024-08-05 weekend and COIN 24.9% on 2022-05-11 — so liquidation is a managed event, not an eliminated one, and every survivor in §1b is a Monday.

**4. A Phoenix liquidation is bounded, and that is itself a hazard.** Because only a bounded share of NAV is ever posted, the vault's worst case on any single gap is the posted collateral. On MSTR's −27.4% weekend a liquidated 3x token keeps **63% of NAV against the 18% an un-liquidated 3x position would have held** — the margin structure *beats* the honest mark in the deep tail, because Phoenix's backstop absorbs the negative equity. That is exactly the behaviour that gets a venue to intervene, and Phoenix's auto-deleverage would also close the winning side of the paired token. Safety net, never a strategy.

**5. Decay is the product, and per-week is the honest unit (D22).** Annualised drag tracks the textbook L(L−1)σ²/2, but holders sit for days to weeks. At 3x: uUS500 costs **0.25%/week**, uGOLD 0.24%/week, uTSLA 2.25%/week and uCOIN 5.33%/week. A fortnight in uUS500 costs 0.50% — about four times D8's 10 bps round trip, and small against a fortnight's move in a 3x index product. A fortnight in uCOIN costs 10.7%. §3b is the table for the docs page.

**6. Fees are irrelevant next to drag.** Fee plus slippage is 28 bps/yr on uUS500 at 3x against roughly 1307 bps/yr of total drag. Funding at ±10%/yr is a ±30%/yr swing at 3x — the only cost input that matters, and the one with no history (§5).

**7. Tracking error:** mean is well inside PRD §6's 25 bps/day (8.9 bps on uUS500 3x, 8.4 on uGOLD 3x). The **95th percentile** crosses 25 bps as soon as leverage passes 2x. If §6's target is a typical day it is met; if it is a bound, it is met only at 2x. Worth a ruling.

**8. Leverage, when #13 comes round:** §6.

---

## 1. What was simulated, and the assumptions to check

### Venue

| Assumption | Value | Source / status |
|---|---|---|
| Taker fee | 3.5 bps on every trade, maker never used | docs/VENUES.md. D12: band rebalances are momentum-following so they cannot rest. |
| Maintenance margin | **3.5% of notional**, from the registry's `Asset.maintenanceMarginBps` | Back-solves both buffers docs/VENUES.md publishes: (0.5 − x)/(1 − x) = 0.035 gives 48.2% at 2x, and (1/3 − x)/(1 − x) = 0.035 gives 30.9% at 3x. **Still an estimate** — the keeper must read the real value off the market account (OPEN_QUESTIONS Q13). The earlier 1/(2 × maxLeverage) derivation (2.5% on a 20x market) reproduces the 2x buffer but not the 3x one, so it is not used; it is more forgiving, so every liquidation count here is the conservative one. |
| Depth within ±0.5% | SPY $600K, TSLA $348K, NVDA $420K, GOLD $590K, SILVER $378K; **$300K assumed** for QQQ, AAPL, COIN, HOOD, MSTR, WTIOIL | docs/VENUES.md measured five markets on 11 Sep 2026. The rest are guesses at the thin end. |
| Half-spread | 2.1–2.5 bps measured, 2.5–3.0 bps assumed elsewhere | docs/VENUES.md |
| Price impact | linear in slice/depth; a slice equal to the whole ±0.5% book costs 50 bps at the margin, so D12's 20%-of-depth slice averages 5 bps | **Model, not measured.** Ignores resting size beyond ±0.5% and book refill between slices, so it is conservative. |
| Funding | hourly, configurable; **default 0**, scenarios ±10%/yr in §5 | docs/VENUES.md: "mean currently negative, longs paid; volatile". No usable history. |
| Liquidation | position closed at the mark, plus 100 bps of notional penalty on top of the close's fee and slippage; residual equity returns to idle, negative equity is absorbed by the venue backstop | **Assumption.** Phoenix's penalty is not documented in docs/VENUES.md. Headline 3 does not depend on the number. |

### Product

| Assumption | Value | Source |
|---|---|---|
| Bands | D6 / registry: 2x → 2.0 / 1.8–2.3 / 2.6; 2.5x → 2.5 / 2.25–2.75 / 3.3; 3x → 3.0 / 2.7–3.3 / 4.0 | `packages/registry` |
| Rebalance rule | to target, only on leaving the band; expansion only while the external index is live; defensive and hard delever at any hour | D6 |
| Margin bands | **17.5 / 12.5 / 22.5% of notional**, the registry's `MARGIN_OF_NOTIONAL`, at every leverage | D21 |
| Margin ratio | venue **equity** (posted collateral ± uPnL) / notional | D21 and `docs/DATA_CONTRACT.md`. Equity rather than posted collateral matters: posted collateral alone does not fall when the position loses, so a floor on it would never fire. |
| Keeper loop order | liquidation check → margin → leverage band → margin again | The second margin pass is load-bearing under D21: a rebalance changes notional, so it changes the required equity. |
| Management fee | 100 bps/yr streamed off NAV | D8 |
| Issuance / redemption fees | **not modelled** | D8 charges them to the minter; they are not a holder-path cost. |
| Initial position build | free | It is the mint's execution, which D8's issuance fee exists to cover. Charging it would show up once per simulated year as fake rebalancing cost. |
| Flows | none — one deposit, held for the segment | Mint/redeem impact and the stale-NAV arb are out of scope (§8). |

### Keeper cadence and the path model

**Cadence is the single most important modelling choice in this sheet, and it used to be wrong.** Whether a move liquidates the position is decided not by the size of the move but by how much of it arrives between two keeper actions. The keeper is not a once-a-day process: it reacts to the Phoenix price stream with a 15 s poll behind it, plus the on-chain conditional stop as a backstop. Earlier versions of this sheet handed it the whole open→low leg as a single jump — routinely 15–27% on MSTR — which manufactured liquidations no real keeper would suffer.

Each trading day is now walked in sub-steps. The default is **8 per leg, about every 15 minutes of a 6.5 h session split three ways**, which is far coarser than the real keeper and is deliberately on the conservative side of where the numbers converge (§1b).

- **Weekday overnight gap**: eight steps at `external`. Phoenix quotes equities on an external index 24/5 (Sun 20:00 – Fri 20:00 ET), so the keeper trades through it.
- **Session**: open → adverse extreme → favourable extreme → close, eight steps per leg, `external`. The adverse extreme comes first, which is the conservative ordering for drawdown and liquidation.
- **Weekend or holiday gap**: the part the keeper can actually trade, and the part it cannot, modelled separately. Phoenix stays open in impact pricing with the price bounded to **±1/maxLeverage (5% on a 20x market, 4% on 25x)** from the last external print, so that much of the gap is walked in eight steps at `impact` — where D6 allows a defensive or hard delever but not an expansion — and **only the overshoot beyond the radius arrives as one unattended jump** when the index snaps at reopen. That snap is still labelled `impact` so the keeper does not expand into a print that has just moved; the first intraday point moments later is `external`.
- Commodities run CME hours rather than 24/5, so their weekday overnight gaps are also partly unattended. But the GLD/SLV/USO proxies only trade US hours, which overstates their gaps by more. Net: the commodity gap numbers are conservative.
- The last two columns of every activity table report the **close-only** path — the keeper acting once a day — as a lower bound on turnover. It is not a scenario; it is there so the cost of the cadence is visible.

The path is still a fiction in one respect: a straight line to the day's low and a straight line back to its high is not how a day trades. Sub-stepping does not add excursion, only rebalance opportunities along the way, so the *excursion* is real (it is the day's actual high and low) and the turnover is an honest estimate of what a keeper reacting to a 15% intraday move would do.

### 1b. What cadence is worth, measured

MSTR 3x long, 2018→2026, one continuous run, all costs, D21 margin — the same window as the addendum in `docs/MULTIPLIER_NOTE.md`, so the two documents can be read together. MSTR is the worst case in the registry: 60% volatility and repeated 15–27% intraday legs.

| Keeper sees each leg as | Weekend gap | Liquidations | Hard delevers | Rebalances | 3x return |
|---|---|---|---|---|---|
| 1 jump per leg | one unattended jump | 59 | 29 | 1719 | -100% |
| 1 jump per leg | impact radius, then snap | 56 | 26 | 1719 | -100% |
| 2 steps per leg | one unattended jump | 8 | 10 | 1938 | -100% |
| 2 steps per leg | impact radius, then snap | 7 | 9 | 1940 | -100% |
| 4 steps per leg | one unattended jump | 4 | 1 | 1905 | -100% |
| 4 steps per leg | impact radius, then snap | 2 | 0 | 1898 | -100% |
| 8 steps per leg | one unattended jump | 4 | 1 | 1943 | -100% |
| **8 steps per leg (default)** | impact radius, then snap | **2** | 1 | 1951 | -100% |
| 16 steps per leg | one unattended jump | 4 | 1 | 1950 | -100% |
| 16 steps per leg | impact radius, then snap | 2 | 1 | 1951 | -100% |

Two things to take from this. First, **the artifact was large and it is now gone**: single-jump legs produced 59 liquidations where a 15-minute keeper suffers a handful, and the answer has converged by 4–8 sub-steps, so the default is not perched on a cliff. Second, **the liquidations that survive are weekend gaps and nothing else** — they are the part of the move outside Phoenix's impact radius, which no cadence can reach. Modelling the radius rather than treating the whole weekend as unattended removes about half of what is left.

And the return is unchanged in every row. A keeper protects the position from the venue; it cannot protect a holder from the product's own arithmetic.

### Segmentation

Each token is simulated in independent **252-trading-day segments**, each starting from a fresh $1,000,000 vault at target leverage, and the segments are pooled. A vault with continuous mint and redeem sits near a target size rather than compounding to a millionth of a cent over twenty years, and a NAV that decays that far turns every daily return into integer-rounding noise. "Token /yr" is therefore the *mean annual* log return of a repeatedly-rebased token, "worst yr" the worst single segment's decay, "worst-yr DD" the worst drawdown inside any one segment, and "wipeout yrs" the share of segments that lost more than 95%. Window: 2006-01-03 → 2026-09-11 for the indices, 21 segments; COIN and HOOD start at their IPOs.

---

## 2. Drawdown-to-trigger

Closed-form, from target leverage, as a % adverse move in the underlying, `long / short` — a short's notional *grows* as it loses, so it reaches every trigger sooner. Maintenance margin is 3.5% for every market in the registry, so one table covers all eleven assets. The last column is the one that matters: the buffer the keeper leaves the position sitting on at the margin floor.

### 2a. D21 as configured — margin as a share of notional

| Lev | Equity target | Posted, as share of NAV | → band_hi | → hard delever | → margin floor | → liquidation (from target) | → liquidation (from floor) |
|---|---|---|---|---|---|---|---|
| 2x | 25.0% of notional | 50.0% | 11.5% / 4.5% | 18.8% / 8.3% | 8.6% / 6.0% | 22.3% / 20.8% | **14.9%** / **13.9%** |
| 2.5x | 20.0% of notional | 50.0% | 5.7% / 2.7% | 13.9% / 7.4% | 6.7% / 5.0% | 17.1% / 15.9% | **11.2%** / **10.4%** |
| 3x | 17.5% of notional | 52.5% | 4.3% / 2.3% | 11.1% / 6.7% | 5.7% / 4.4% | 14.5% / 13.5% | **9.3%** / **8.7%** |

Every margin column is leverage-invariant. The cost is idle: at 3x the vault posts 52.5% of NAV, up to 67.5% at the ceiling, leaving 32.5%–47.5% idle for instant redemptions rather than the 55–65% D7 left. D21 records that trade-off. At 4x the policy would post 70% of NAV, which is where this approach stops working.

### 2b. D7 as it was written — margin as a share of NAV

| Lev | Equity target | Posted, as share of NAV | → band_hi | → hard delever | → margin floor | → liquidation (from target) | → liquidation (from floor) |
|---|---|---|---|---|---|---|---|
| 2x | 35.0% of NAV | 35.0% | 11.5% / 4.5% | 18.8% / 8.3% | 6.7% / 6.7% | 14.5% / 13.5% | **9.3%** / **8.7%** |
| 2.5x | 35.0% of NAV | 35.0% | 5.7% / 2.7% | 13.9% / 7.4% | 5.3% / 5.3% | 10.9% / 10.1% | **6.7%** / **6.3%** |
| 3x | 35.0% of NAV | 35.0% | 4.3% / 2.3% | 11.1% / 6.7% | 4.4% / 4.4% | 8.5% / 7.9% | **5.0%** / **4.7%** |

The 35%-of-NAV rule was sized for 2x, where it is identical to D21. At 3x it left **5.0% long / 4.7% short** from the margin floor. Every asset in `data/` has gapped further than that more than once.

### 2c. What the change was worth, measured

Simulated Phoenix liquidations per year at **3x**: same paths, same bands, only the margin basis differs. Not a closed form — these are counted events, on the realistic-cadence path model (§1).

| Long token | D7 (NAV) | D21 (notional) | Short token | D7 (NAV) | D21 (notional) |
|---|---|---|---|---|---|
| uGOLD | 0.00 | 0.00 | dGOLD | 0.00 | 0.00 |
| uSILVER | 0.05 | 0.00 | dSILVER | 0.05 | 0.00 |
| uWTIOIL | 0.20 | 0.05 | dWTIOIL | 0.00 | 0.00 |
| uUS500 | 0.00 | 0.00 | dUS500 | 0.00 | 0.00 |
| uUS100 | 0.00 | 0.00 | dUS100 | 0.00 | 0.00 |
| uTSLA | 0.19 | 0.00 | dTSLA | 0.19 | 0.00 |
| uNVDA | 0.24 | 0.00 | dNVDA | 0.00 | 0.00 |
| uAAPL | 0.05 | 0.00 | dAAPL | 0.00 | 0.00 |
| uMSTR | 0.15 | 0.10 | dMSTR | 0.00 | 0.00 |
| uCOIN | 0.37 | 0.37 | dCOIN | 0.00 | 0.00 |
| uHOOD | 0.40 | 0.20 | dHOOD | 0.20 | 0.00 |
| uSPCX | 0.00 | 0.00 | dSPCX | 0.00 | 0.00 |
| uSNDK | 0.00 | 0.00 | dSNDK | 0.00 | 0.00 |
| uMU | 0.10 | 0.00 | dMU | 0.00 | 0.00 |
| uPLTR | 0.51 | 0.17 | dPLTR | 0.00 | 0.00 |
| uLLY | 0.00 | 0.00 | dLLY | 0.00 | 0.00 |
| uMRNA | 0.13 | 0.13 | dMRNA | 1.16 | 0.13 |

Across all 22 tokens at 3x: **4.0 liquidations/yr on the NAV basis, 1.1 on the notional basis** — a 71% reduction from one config line.

**These numbers are far smaller than the ones this sheet carried before the cadence fix, and the conclusion is unchanged.** Run the identical comparison on the old single-jump path model and it reads **518.4 → 115.6** liquidations/yr instead of 4.0 → 1.1. Almost all of both figures was the modelling artifact in §1b, not the margin policy: giving the keeper a realistic cadence removes 99% of the D21 count and 99% of the D7 count. (An earlier draft of this sheet used a close-only path for its headline, which sidestepped the intraday artifact and reported 4.0 → 1.1 as 57.1 → 9.4; both of those were wrong in different directions.)

What survives is the real effect, and the ratio holds: D21 still removes 71% of what is left, because a floor of 12.5% of notional is a floor of 12.5% of notional whatever the path does. **D21 was the right call on numbers that were too large, and it is still the right call on numbers that are not — but the honest reading is that a well-run keeper, not the margin basis, is what removes most liquidation risk.** The margin basis is what protects the position on the weekend, when the keeper cannot act.

The dev seed reproduces the direction from a separate code path: `pnpm --filter @lev/sim seed --token uMSTR --days 1200 --margin nav` against `--margin notional`.

---

## 3. Decay, tracking and turnover

"Vol drag" is the structural cost of rebalancing (N × the underlying's annual log return minus a costless token). "Cost drag" is taker fee, slippage, funding and management on top. **Decay /wk** is the annual figure divided by 52 — a week of average volatility (D22); a volatile week costs several times it and a quiet week almost nothing. TE is |NAV daily return − N × underlying daily return| in bps/day on the costless run, PRD §6's "ex fees/funding" basis.

### Indices — US500, US100

**Long tokens**

| Token | Lev | From | UL vol | UL /yr | Token /yr | Vol drag | Cost drag | Decay /yr | **Decay /wk** | Worst yr | TE mean | TE p95 | Worst-yr DD | Wipeout yrs |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| uUS500 | 2x | 2006 | 19% | 8.7% | 12.8% | 3.6% | 1.04% | 4.6% | **0.09%** | 21% | 5.8 | 20.5 | 77% | 0% |
| uUS500 | 2.5x | 2006 | 19% | 8.7% | 13.9% | 6.8% | 1.08% | 7.8% | **0.15%** | 39% | 7.3 | 25.9 | 85% | 0% |
| uUS500 | 3x | 2006 | 19% | 8.7% | 13.1% | 11.5% | 1.58% | 13.1% | **0.25%** | 60% | 8.9 | 30.3 | 91% | 0% |
| uUS100 | 2x | 2006 | 22% | 13.8% | 21.9% | 4.7% | 0.95% | 5.6% | **0.11%** | 24% | 7.2 | 25.6 | 79% | 0% |
| uUS100 | 2.5x | 2006 | 22% | 13.8% | 24.2% | 9.1% | 1.14% | 10.3% | **0.20%** | 36% | 8.8 | 30.4 | 86% | 0% |
| uUS100 | 3x | 2006 | 22% | 13.8% | 25.1% | 14.4% | 1.83% | 16.2% | **0.31%** | 55% | 10.6 | 34.5 | 92% | 0% |

| Token | Lev | Turnover ×eq/yr | Rebalances/yr | Defensive | Top-ups/yr | Fee+slip bps/yr | Hard delevers/yr | Liquidations/yr | Turnover (close-only) | Fee+slip (close-only) |
|---|---|---|---|---|---|---|---|---|---|---|
| uUS500 | 2x | 0.4 | 2 | 44% | 2 | 3 | 0.00 | 0.00 | 0.3 | 3 |
| uUS500 | 2.5x | 1.3 | 7 | 50% | 2 | 12 | 0.00 | 0.00 | 1.1 | 11 |
| uUS500 | 3x | 2.9 | 14 | 51% | 3 | 28 | 0.00 | 0.00 | 2.2 | 21 |
| uUS100 | 2x | 0.6 | 3 | 34% | 2 | 6 | 0.00 | 0.00 | 0.5 | 6 |
| uUS100 | 2.5x | 2.0 | 10 | 48% | 3 | 20 | 0.00 | 0.00 | 1.7 | 18 |
| uUS100 | 3x | 4.1 | 17 | 50% | 4 | 44 | 0.00 | 0.00 | 3.4 | 36 |

**Short tokens**

| Token | Lev | From | UL vol | UL /yr | Token /yr | Vol drag | Cost drag | Decay /yr | **Decay /wk** | Worst yr | TE mean | TE p95 | Worst-yr DD | Wipeout yrs |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| dUS500 | 2x | 2006 | 19% | 8.7% | -31.9% | 13.0% | 1.50% | 14.5% | **0.28%** | 65% | 7.7 | 25.7 | 72% | 0% |
| dUS500 | 2.5x | 2006 | 19% | 8.7% | -41.1% | 17.3% | 1.93% | 19.3% | **0.37%** | 82% | 7.9 | 27.1 | 80% | 0% |
| dUS500 | 3x | 2006 | 19% | 8.7% | -52.1% | 23.6% | 2.39% | 26.0% | **0.50%** | 121% | 9.8 | 34.3 | 86% | 0% |
| dUS100 | 2x | 2006 | 22% | 13.8% | -46.5% | 16.6% | 2.35% | 18.9% | **0.36%** | 61% | 9.5 | 31.0 | 77% | 0% |
| dUS100 | 2.5x | 2006 | 22% | 13.8% | -60.3% | 22.8% | 3.11% | 25.9% | **0.50%** | 83% | 9.6 | 32.5 | 85% | 0% |
| dUS100 | 3x | 2006 | 22% | 13.8% | -76.6% | 31.9% | 3.44% | 35.3% | **0.68%** | 123% | 12.3 | 44.1 | 91% | 0% |

| Token | Lev | Turnover ×eq/yr | Rebalances/yr | Defensive | Top-ups/yr | Fee+slip bps/yr | Hard delevers/yr | Liquidations/yr | Turnover (close-only) | Fee+slip (close-only) |
|---|---|---|---|---|---|---|---|---|---|---|
| dUS500 | 2x | 7.6 | 22 | 51% | 4 | 74 | 0.00 | 0.00 | 5.2 | 51 |
| dUS500 | 2.5x | 14.8 | 42 | 59% | 4 | 146 | 0.00 | 0.00 | 9.9 | 98 |
| dUS500 | 3x | 23.7 | 53 | 59% | 5 | 236 | 0.00 | 0.00 | 15.0 | 150 |
| dUS100 | 2x | 9.5 | 30 | 51% | 5 | 100 | 0.00 | 0.00 | 6.5 | 68 |
| dUS100 | 2.5x | 19.3 | 57 | 59% | 6 | 203 | 0.00 | 0.00 | 12.4 | 132 |
| dUS100 | 3x | 30.7 | 73 | 59% | 7 | 325 | 0.00 | 0.00 | 19.8 | 245 |

### Commodities — GOLD, SILVER, WTIOIL

**Long tokens**

| Token | Lev | From | UL vol | UL /yr | Token /yr | Vol drag | Cost drag | Decay /yr | **Decay /wk** | Worst yr | TE mean | TE p95 | Worst-yr DD | Wipeout yrs |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| uGOLD | 2x | 2006 | 18% | 10.2% | 16.2% | 3.1% | 1.13% | 4.2% | **0.08%** | 17% | 6.6 | 23.7 | 57% | 0% |
| uGOLD | 2.5x | 2006 | 18% | 10.2% | 17.7% | 6.8% | 1.09% | 7.9% | **0.15%** | 25% | 6.9 | 25.8 | 64% | 0% |
| uGOLD | 3x | 2006 | 18% | 10.2% | 18.2% | 11.1% | 1.37% | 12.5% | **0.24%** | 41% | 8.4 | 30.0 | 74% | 0% |
| uSILVER | 2x | 2006 | 33% | 7.5% | 3.0% | 11.4% | 0.65% | 12.1% | **0.23%** | 41% | 11.3 | 42.7 | 81% | 0% |
| uSILVER | 2.5x | 2006 | 33% | 7.5% | -4.2% | 21.0% | 2.08% | 23.0% | **0.44%** | 64% | 12.1 | 42.8 | 90% | 0% |
| uSILVER | 3x | 2006 | 33% | 7.5% | -13.8% | 32.9% | 3.47% | 36.3% | **0.70%** | 108% | 15.1 | 50.0 | 95% | 0% |
| uWTIOIL | 2x | 2006 | 37% | -5.7% | -28.5% | 15.8% | 1.27% | 17.0% | **0.33%** | 46% | 13.2 | 46.3 | 97% | 0% |
| uWTIOIL | 2.5x | 2006 | 37% | -5.7% | -43.0% | 26.8% | 1.93% | 28.7% | **0.55%** | 75% | 14.6 | 47.1 | 99% | 10% |
| uWTIOIL | 3x | 2006 | 37% | -5.7% | -63.0% | 43.1% | 2.78% | 45.9% | **0.88%** | 130% | 18.7 | 60.5 | 100% | 10% |

| Token | Lev | Turnover ×eq/yr | Rebalances/yr | Defensive | Top-ups/yr | Fee+slip bps/yr | Hard delevers/yr | Liquidations/yr | Turnover (close-only) | Fee+slip (close-only) |
|---|---|---|---|---|---|---|---|---|---|---|
| uGOLD | 2x | 0.5 | 2 | 33% | 1 | 5 | 0.00 | 0.00 | 0.5 | 5 |
| uGOLD | 2.5x | 1.9 | 7 | 49% | 3 | 19 | 0.00 | 0.00 | 1.7 | 17 |
| uGOLD | 3x | 4.2 | 13 | 50% | 3 | 43 | 0.00 | 0.00 | 3.4 | 36 |
| uSILVER | 2x | 2.5 | 7 | 45% | 6 | 27 | 0.00 | 0.00 | 2.2 | 24 |
| uSILVER | 2.5x | 9.8 | 23 | 54% | 8 | 105 | 0.00 | 0.00 | 6.8 | 73 |
| uSILVER | 3x | 22.6 | 39 | 55% | 10 | 244 | 0.00 | 0.00 | 14.6 | 159 |
| uWTIOIL | 2x | 2.0 | 10 | 52% | 7 | 22 | 0.05 | 0.00 | 1.8 | 23 |
| uWTIOIL | 2.5x | 6.8 | 29 | 58% | 11 | 77 | 0.00 | 0.05 | 5.0 | 64 |
| uWTIOIL | 3x | 14.4 | 51 | 57% | 13 | 161 | 0.00 | 0.05 | 10.4 | 124 |

**Short tokens**

| Token | Lev | From | UL vol | UL /yr | Token /yr | Vol drag | Cost drag | Decay /yr | **Decay /wk** | Worst yr | TE mean | TE p95 | Worst-yr DD | Wipeout yrs |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| dGOLD | 2x | 2006 | 18% | 10.2% | -32.5% | 10.6% | 1.48% | 12.1% | **0.23%** | 41% | 7.2 | 25.8 | 72% | 0% |
| dGOLD | 2.5x | 2006 | 18% | 10.2% | -41.7% | 14.2% | 1.93% | 16.1% | **0.31%** | 55% | 7.0 | 23.6 | 78% | 0% |
| dGOLD | 3x | 2006 | 18% | 10.2% | -54.5% | 21.0% | 2.78% | 23.8% | **0.46%** | 81% | 8.9 | 29.7 | 85% | 0% |
| dSILVER | 2x | 2006 | 33% | 7.5% | -50.0% | 32.5% | 2.40% | 34.9% | **0.67%** | 92% | 14.0 | 46.1 | 95% | 0% |
| dSILVER | 2.5x | 2006 | 33% | 7.5% | -68.0% | 45.8% | 3.34% | 49.2% | **0.95%** | 138% | 16.9 | 58.1 | 98% | 5% |
| dSILVER | 3x | 2006 | 33% | 7.5% | -89.3% | 62.2% | 4.49% | 66.7% | **1.28%** | 182% | 22.2 | 77.6 | 99% | 10% |
| dWTIOIL | 2x | 2006 | 37% | -5.7% | -36.2% | 44.7% | 2.93% | 47.6% | **0.92%** | 127% | 17.0 | 64.5 | 91% | 0% |
| dWTIOIL | 2.5x | 2006 | 37% | -5.7% | -53.3% | 61.9% | 5.69% | 67.6% | **1.30%** | 187% | 19.5 | 77.6 | 95% | 0% |
| dWTIOIL | 3x | 2006 | 37% | -5.7% | -74.9% | 85.2% | 6.93% | 92.1% | **1.77%** | 271% | 25.8 | 96.0 | 98% | 5% |

| Token | Lev | Turnover ×eq/yr | Rebalances/yr | Defensive | Top-ups/yr | Fee+slip bps/yr | Hard delevers/yr | Liquidations/yr | Turnover (close-only) | Fee+slip (close-only) |
|---|---|---|---|---|---|---|---|---|---|---|
| dGOLD | 2x | 4.8 | 19 | 52% | 4 | 48 | 0.00 | 0.00 | 3.8 | 39 |
| dGOLD | 2.5x | 9.3 | 36 | 60% | 4 | 93 | 0.00 | 0.00 | 7.4 | 74 |
| dGOLD | 3x | 15.2 | 51 | 59% | 5 | 153 | 0.00 | 0.00 | 11.0 | 112 |
| dSILVER | 2x | 14.0 | 56 | 48% | 9 | 145 | 0.00 | 0.00 | 10.1 | 105 |
| dSILVER | 2.5x | 28.1 | 106 | 57% | 12 | 292 | 0.00 | 0.00 | 18.7 | 196 |
| dSILVER | 3x | 42.9 | 134 | 56% | 14 | 450 | 0.05 | 0.00 | 27.7 | 292 |
| dWTIOIL | 2x | 28.0 | 76 | 45% | 13 | 313 | 0.10 | 0.00 | 17.7 | 198 |
| dWTIOIL | 2.5x | 57.5 | 140 | 55% | 13 | 644 | 0.00 | 0.00 | 33.7 | 379 |
| dWTIOIL | 3x | 88.8 | 179 | 55% | 18 | 999 | 0.05 | 0.00 | 51.0 | 576 |

### Single names — TSLA, NVDA, AAPL, MSTR, COIN, HOOD, SPCX, SNDK, MU, PLTR, LLY, MRNA

**Long tokens**

| Token | Lev | From | UL vol | UL /yr | Token /yr | Vol drag | Cost drag | Decay /yr | **Decay /wk** | Worst yr | TE mean | TE p95 | Worst-yr DD | Wipeout yrs |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| uTSLA | 2x | 2010 | 57% | 34.3% | 33.6% | 36.3% | -1.33% | 35.0% | **0.67%** | 75% | 20.9 | 76.4 | 90% | 0% |
| uTSLA | 2.5x | 2010 | 57% | 34.3% | 15.2% | 66.0% | 4.56% | 70.6% | **1.36%** | 136% | 24.8 | 84.4 | 95% | 0% |
| uTSLA | 3x | 2010 | 57% | 34.3% | -13.8% | 111.1% | 5.66% | 116.8% | **2.25%** | 212% | 36.1 | 143.7 | 98% | 0% |
| uNVDA | 2x | 2006 | 49% | 31.8% | 38.2% | 23.7% | 1.73% | 25.5% | **0.49%** | 83% | 17.4 | 62.3 | 98% | 5% |
| uNVDA | 2.5x | 2006 | 49% | 31.8% | 30.4% | 47.0% | 2.18% | 49.2% | **0.95%** | 146% | 21.4 | 72.5 | 99% | 5% |
| uNVDA | 3x | 2006 | 49% | 31.8% | 10.6% | 81.2% | 3.71% | 85.0% | **1.63%** | 248% | 28.1 | 101.9 | 100% | 10% |
| uAAPL | 2x | 2006 | 32% | 23.4% | 33.4% | 12.6% | 0.79% | 13.4% | **0.26%** | 43% | 11.0 | 38.5 | 86% | 0% |
| uAAPL | 2.5x | 2006 | 32% | 23.4% | 35.1% | 21.7% | 1.71% | 23.5% | **0.45%** | 82% | 12.8 | 42.4 | 94% | 0% |
| uAAPL | 3x | 2006 | 32% | 23.4% | 33.1% | 34.7% | 2.47% | 37.1% | **0.71%** | 151% | 16.6 | 57.8 | 98% | 5% |
| uMSTR | 2x | 2006 | 60% | 13.6% | -13.9% | 39.2% | 2.06% | 41.2% | **0.79%** | 172% | 20.9 | 79.7 | 99% | 5% |
| uMSTR | 2.5x | 2006 | 60% | 13.6% | -39.1% | 71.0% | 2.09% | 73.1% | **1.41%** | 269% | 25.8 | 101.8 | 100% | 5% |
| uMSTR | 3x | 2006 | 60% | 13.6% | -81.9% | 117.5% | 5.32% | 122.8% | **2.36%** | 437% | 36.8 | 158.4 | 100% | 19% |
| uCOIN | 2x | 2021 | 85% | -11.9% | -108.3% | 84.8% | -0.25% | 84.5% | **1.63%** | 194% | 36.4 | 123.4 | 99% | 17% |
| uCOIN | 2.5x | 2021 | 85% | -11.9% | -198.8% | 159.8% | 9.28% | 169.1% | **3.25%** | 369% | 47.8 | 163.7 | 100% | 17% |
| uCOIN | 3x | 2021 | 85% | -11.9% | -312.8% | 273.9% | 3.18% | 277.1% | **5.33%** | 551% | 73.1 | 217.2 | 100% | 50% |
| uHOOD | 2x | 2021 | 74% | 22.1% | -16.6% | 59.3% | 1.47% | 60.7% | **1.17%** | 117% | 27.2 | 87.3 | 100% | 20% |
| uHOOD | 2.5x | 2021 | 74% | 22.1% | -59.8% | 107.6% | 7.42% | 115.1% | **2.21%** | 187% | 39.6 | 134.6 | 100% | 20% |
| uHOOD | 3x | 2021 | 74% | 22.1% | -129.1% | 187.4% | 7.98% | 195.4% | **3.76%** | 316% | 55.0 | 190.0 | 100% | 20% |
| uSPCX | 2x | 2026 | 82% | -100.2% | -268.8% | 82.7% | -14.34% | 68.4% | **1.31%** | 68% | 34.0 | 121.8 | 75% | 0% |
| uSPCX | 2.5x | 2026 | 82% | -100.2% | -408.0% | 123.0% | 34.49% | 157.5% | **3.03%** | 158% | 45.4 | 204.4 | 84% | 0% |
| uSPCX | 3x | 2026 | 82% | -100.2% | -552.7% | 237.7% | 14.40% | 252.1% | **4.85%** | 252% | 75.7 | 332.8 | 90% | 0% |
| uSNDK | 2x | 2025 | 106% | 241.0% | 357.1% | 125.4% | -0.54% | 124.8% | **2.40%** | 146% | 44.4 | 178.9 | 86% | 0% |
| uSNDK | 2.5x | 2025 | 106% | 241.0% | 364.6% | 229.0% | 8.84% | 237.9% | **4.57%** | 264% | 76.4 | 241.7 | 92% | 0% |
| uSNDK | 3x | 2025 | 106% | 241.0% | 361.0% | 357.6% | 4.43% | 362.0% | **6.96%** | 420% | 123.6 | 409.2 | 96% | 0% |
| uMU | 2x | 2006 | 54% | 19.7% | 5.8% | 32.7% | 0.86% | 33.6% | **0.65%** | 140% | 20.4 | 69.9 | 98% | 5% |
| uMU | 2.5x | 2006 | 54% | 19.7% | -14.1% | 61.0% | 2.27% | 63.3% | **1.22%** | 237% | 23.3 | 78.9 | 100% | 5% |
| uMU | 3x | 2006 | 54% | 19.7% | -46.3% | 98.7% | 6.65% | 105.4% | **2.03%** | 365% | 32.8 | 132.8 | 100% | 10% |
| uPLTR | 2x | 2020 | 70% | 46.7% | 38.8% | 51.2% | 3.40% | 54.6% | **1.05%** | 101% | 27.9 | 95.2 | 96% | 0% |
| uPLTR | 2.5x | 2020 | 70% | 46.7% | 8.8% | 106.2% | 1.70% | 107.9% | **2.08%** | 189% | 38.1 | 138.8 | 99% | 17% |
| uPLTR | 3x | 2020 | 70% | 46.7% | -42.0% | 172.8% | 9.24% | 182.0% | **3.50%** | 280% | 56.4 | 186.7 | 100% | 17% |
| uLLY | 2x | 2006 | 27% | 15.4% | 22.8% | 7.0% | 0.89% | 7.9% | **0.15%** | 18% | 8.7 | 31.7 | 76% | 0% |
| uLLY | 2.5x | 2006 | 27% | 15.4% | 23.6% | 13.3% | 1.46% | 14.8% | **0.28%** | 36% | 9.8 | 35.3 | 85% | 0% |
| uLLY | 3x | 2006 | 27% | 15.4% | 21.0% | 23.5% | 1.61% | 25.1% | **0.48%** | 63% | 12.6 | 41.9 | 91% | 0% |
| uMRNA | 2x | 2018 | 97% | 29.0% | -17.0% | 70.0% | 5.11% | 75.1% | **1.44%** | 156% | 41.1 | 99.6 | 96% | 0% |
| uMRNA | 2.5x | 2018 | 97% | 29.0% | -65.7% | 132.2% | 6.00% | 138.2% | **2.66%** | 271% | 68.0 | 168.1 | 99% | 0% |
| uMRNA | 3x | 2018 | 97% | 29.0% | -141.3% | 218.3% | 10.10% | 228.4% | **4.39%** | 421% | 117.7 | 211.0 | 100% | 50% |

| Token | Lev | Turnover ×eq/yr | Rebalances/yr | Defensive | Top-ups/yr | Fee+slip bps/yr | Hard delevers/yr | Liquidations/yr | Turnover (close-only) | Fee+slip (close-only) |
|---|---|---|---|---|---|---|---|---|---|---|
| uTSLA | 2x | 7.3 | 21 | 43% | 16 | 75 | 0.00 | 0.00 | 5.7 | 59 |
| uTSLA | 2.5x | 25.6 | 69 | 53% | 26 | 267 | 0.00 | 0.00 | 15.7 | 175 |
| uTSLA | 3x | 58.3 | 123 | 54% | 31 | 611 | 0.13 | 0.00 | 34.3 | 392 |
| uNVDA | 2x | 3.2 | 15 | 41% | 10 | 32 | 0.00 | 0.00 | 2.6 | 27 |
| uNVDA | 2.5x | 11.2 | 49 | 52% | 17 | 117 | 0.00 | 0.00 | 8.1 | 84 |
| uNVDA | 3x | 24.9 | 91 | 53% | 23 | 261 | 0.05 | 0.00 | 16.8 | 178 |
| uAAPL | 2x | 1.7 | 8 | 38% | 4 | 18 | 0.00 | 0.00 | 1.4 | 15 |
| uAAPL | 2.5x | 5.1 | 23 | 49% | 7 | 54 | 0.00 | 0.00 | 4.2 | 45 |
| uAAPL | 3x | 10.4 | 40 | 51% | 9 | 111 | 0.05 | 0.00 | 7.7 | 82 |
| uMSTR | 2x | 10.1 | 23 | 47% | 17 | 109 | 0.05 | 0.05 | 7.6 | 217 |
| uMSTR | 2.5x | 31.3 | 70 | 55% | 28 | 357 | 0.00 | 0.10 | 19.7 | 508 |
| uMSTR | 3x | 60.2 | 126 | 55% | 35 | 665 | 0.00 | 0.10 | 36.5 | 856 |
| uCOIN | 2x | 9.4 | 49 | 50% | 41 | 99 | 0.37 | 0.00 | 7.3 | 77 |
| uCOIN | 2.5x | 32.8 | 161 | 57% | 64 | 372 | 0.00 | 0.37 | 20.1 | 237 |
| uCOIN | 3x | 70.5 | 287 | 57% | 76 | 770 | 0.00 | 0.37 | 41.4 | 468 |
| uHOOD | 2x | 7.6 | 36 | 47% | 25 | 81 | 0.00 | 0.00 | 6.9 | 130 |
| uHOOD | 2.5x | 31.0 | 110 | 55% | 42 | 357 | 0.00 | 0.20 | 16.2 | 278 |
| uHOOD | 3x | 75.9 | 203 | 55% | 54 | 848 | 0.00 | 0.20 | 33.5 | 552 |
| uSPCX | 2x | 14.5 | 42 | 60% | 42 | 151 | 0.00 | 0.00 | 6.3 | 67 |
| uSPCX | 2.5x | 55.8 | 162 | 62% | 58 | 567 | 0.00 | 0.00 | 31.7 | 326 |
| uSPCX | 3x | 125.6 | 266 | 61% | 87 | 1291 | 0.00 | 0.00 | 48.7 | 506 |
| uSNDK | 2x | 27.4 | 76 | 37% | 43 | 300 | 0.00 | 0.00 | 18.5 | 431 |
| uSNDK | 2.5x | 99.4 | 224 | 49% | 76 | 1091 | 0.00 | 0.00 | 45.9 | 599 |
| uSNDK | 3x | 176.4 | 360 | 50% | 98 | 1936 | 0.00 | 0.00 | 85.5 | 1314 |
| uMU | 2x | 4.7 | 20 | 46% | 14 | 50 | 0.00 | 0.00 | 3.9 | 41 |
| uMU | 2.5x | 15.7 | 63 | 55% | 23 | 167 | 0.00 | 0.00 | 11.3 | 122 |
| uMU | 3x | 33.4 | 113 | 55% | 30 | 358 | 0.00 | 0.00 | 21.9 | 238 |
| uPLTR | 2x | 10.3 | 32 | 44% | 23 | 111 | 0.00 | 0.00 | 7.4 | 80 |
| uPLTR | 2.5x | 35.5 | 104 | 53% | 38 | 385 | 0.00 | 0.17 | 19.0 | 206 |
| uPLTR | 3x | 77.5 | 188 | 54% | 47 | 844 | 0.17 | 0.17 | 31.3 | 342 |
| uLLY | 2x | 1.1 | 4 | 36% | 3 | 11 | 0.00 | 0.00 | 0.9 | 10 |
| uLLY | 2.5x | 3.7 | 14 | 49% | 5 | 39 | 0.00 | 0.00 | 2.9 | 30 |
| uLLY | 3x | 8.1 | 27 | 51% | 6 | 86 | 0.00 | 0.00 | 6.2 | 70 |
| uMRNA | 2x | 20.5 | 43 | 47% | 30 | 235 | 0.00 | 0.13 | 13.9 | 200 |
| uMRNA | 2.5x | 55.1 | 130 | 56% | 48 | 594 | 0.13 | 0.00 | 44.2 | 1160 |
| uMRNA | 3x | 118.6 | 230 | 56% | 60 | 1303 | 0.00 | 0.13 | 86.8 | 2528 |

**Short tokens**

| Token | Lev | From | UL vol | UL /yr | Token /yr | Vol drag | Cost drag | Decay /yr | **Decay /wk** | Worst yr | TE mean | TE p95 | Worst-yr DD | Wipeout yrs |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| dTSLA | 2x | 2010 | 57% | 34.3% | -190.7% | 117.2% | 4.80% | 122.0% | **2.35%** | 209% | 36.7 | 125.6 | 100% | 19% |
| dTSLA | 2.5x | 2010 | 57% | 34.3% | -257.8% | 162.4% | 9.62% | 172.0% | **3.31%** | 272% | 48.5 | 154.7 | 100% | 25% |
| dTSLA | 3x | 2010 | 57% | 34.3% | -338.5% | 221.6% | 13.99% | 235.6% | **4.53%** | 366% | 64.7 | 197.6 | 100% | 50% |
| dNVDA | 2x | 2006 | 49% | 31.8% | -153.7% | 84.3% | 5.68% | 90.0% | **1.73%** | 252% | 28.3 | 107.9 | 97% | 14% |
| dNVDA | 2.5x | 2006 | 49% | 31.8% | -204.5% | 117.9% | 6.96% | 124.9% | **2.40%** | 338% | 36.3 | 115.1 | 99% | 29% |
| dNVDA | 3x | 2006 | 49% | 31.8% | -268.8% | 161.8% | 11.47% | 173.3% | **3.33%** | 439% | 49.9 | 160.4 | 100% | 38% |
| dAAPL | 2x | 2006 | 32% | 23.4% | -84.4% | 35.3% | 2.27% | 37.6% | **0.72%** | 138% | 14.5 | 49.3 | 91% | 0% |
| dAAPL | 2.5x | 2006 | 32% | 23.4% | -113.2% | 50.8% | 3.80% | 54.6% | **1.05%** | 209% | 16.9 | 69.3 | 96% | 0% |
| dAAPL | 3x | 2006 | 32% | 23.4% | -145.2% | 69.7% | 5.28% | 75.0% | **1.44%** | 281% | 22.3 | 88.7 | 98% | 10% |
| dMSTR | 2x | 2006 | 60% | 13.6% | -157.4% | 124.2% | 5.97% | 130.2% | **2.50%** | 445% | 39.0 | 141.5 | 100% | 14% |
| dMSTR | 2.5x | 2006 | 60% | 13.6% | -211.1% | 167.1% | 9.93% | 177.1% | **3.41%** | 555% | 50.7 | 176.4 | 100% | 29% |
| dMSTR | 3x | 2006 | 60% | 13.6% | -278.3% | 223.1% | 14.28% | 237.4% | **4.57%** | 732% | 67.6 | 226.5 | 100% | 29% |
| dCOIN | 2x | 2021 | 85% | -11.9% | -259.6% | 269.7% | 13.58% | 283.3% | **5.45%** | 540% | 76.1 | 222.1 | 100% | 33% |
| dCOIN | 2.5x | 2021 | 85% | -11.9% | -344.3% | 356.4% | 17.55% | 374.0% | **7.19%** | 684% | 101.6 | 280.2 | 100% | 50% |
| dCOIN | 3x | 2021 | 85% | -11.9% | -451.1% | 459.0% | 27.74% | 486.7% | **9.36%** | 865% | 137.6 | 391.8 | 100% | 67% |
| dHOOD | 2x | 2021 | 74% | 22.1% | -250.1% | 199.6% | 6.34% | 205.9% | **3.96%** | 323% | 63.8 | 185.4 | 100% | 20% |
| dHOOD | 2.5x | 2021 | 74% | 22.1% | -339.0% | 268.5% | 15.27% | 283.8% | **5.46%** | 424% | 85.6 | 234.8 | 100% | 60% |
| dHOOD | 3x | 2021 | 74% | 22.1% | -436.7% | 349.6% | 20.81% | 370.4% | **7.12%** | 560% | 107.9 | 310.7 | 100% | 60% |
| dSPCX | 2x | 2026 | 82% | -100.2% | -82.1% | 264.4% | 18.04% | 282.5% | **5.43%** | 282% | 80.8 | 268.6 | 65% | 0% |
| dSPCX | 2.5x | 2026 | 82% | -100.2% | -122.4% | 354.1% | 18.76% | 372.9% | **7.17%** | 373% | 105.3 | 337.0 | 72% | 0% |
| dSPCX | 3x | 2026 | 82% | -100.2% | -182.3% | 446.3% | 36.58% | 482.9% | **9.29%** | 483% | 147.5 | 324.3 | 79% | 0% |
| dSNDK | 2x | 2025 | 106% | 241.0% | -863.0% | 367.3% | 13.75% | 381.1% | **7.33%** | 399% | 102.7 | 357.5 | 100% | 100% |
| dSNDK | 2.5x | 2025 | 106% | 241.0% | -1103.5% | 475.8% | 25.28% | 501.1% | **9.64%** | 536% | 143.9 | 490.3 | 100% | 100% |
| dSNDK | 3x | 2025 | 106% | 241.0% | -1321.0% | 582.6% | 15.52% | 598.1% | **11.50%** | 696% | 172.5 | 521.9 | 100% | 100% |
| dMU | 2x | 2006 | 54% | 19.7% | -149.2% | 103.3% | 6.51% | 109.8% | **2.11%** | 370% | 32.9 | 118.0 | 99% | 14% |
| dMU | 2.5x | 2006 | 54% | 19.7% | -203.5% | 145.2% | 9.14% | 154.3% | **2.97%** | 476% | 42.9 | 149.3 | 100% | 19% |
| dMU | 3x | 2006 | 54% | 19.7% | -265.5% | 191.6% | 14.89% | 206.5% | **3.97%** | 596% | 56.2 | 192.4 | 100% | 38% |
| dPLTR | 2x | 2020 | 70% | 46.7% | -288.3% | 186.7% | 8.22% | 194.9% | **3.75%** | 319% | 56.7 | 178.7 | 100% | 67% |
| dPLTR | 2.5x | 2020 | 70% | 46.7% | -381.9% | 250.1% | 15.07% | 265.2% | **5.10%** | 380% | 76.2 | 196.8 | 100% | 67% |
| dPLTR | 3x | 2020 | 70% | 46.7% | -483.6% | 324.4% | 19.16% | 343.5% | **6.61%** | 494% | 100.6 | 252.2 | 100% | 67% |
| dLLY | 2x | 2006 | 27% | 15.4% | -57.9% | 24.9% | 2.37% | 27.2% | **0.52%** | 70% | 11.2 | 38.9 | 82% | 0% |
| dLLY | 2.5x | 2006 | 27% | 15.4% | -78.3% | 35.9% | 4.07% | 39.9% | **0.77%** | 97% | 13.0 | 47.1 | 88% | 0% |
| dLLY | 3x | 2006 | 27% | 15.4% | -101.4% | 50.8% | 4.53% | 55.3% | **1.06%** | 134% | 17.1 | 65.3 | 93% | 0% |
| dMRNA | 2x | 2018 | 97% | 29.0% | -290.7% | 220.4% | 12.23% | 232.6% | **4.47%** | 423% | 72.3 | 200.9 | 100% | 38% |
| dMRNA | 2.5x | 2018 | 97% | 29.0% | -389.0% | 298.1% | 18.27% | 316.4% | **6.08%** | 493% | 92.9 | 211.5 | 100% | 38% |
| dMRNA | 3x | 2018 | 97% | 29.0% | -499.9% | 389.3% | 23.56% | 412.8% | **7.94%** | 633% | 95.9 | 284.2 | 100% | 63% |

| Token | Lev | Turnover ×eq/yr | Rebalances/yr | Defensive | Top-ups/yr | Fee+slip bps/yr | Hard delevers/yr | Liquidations/yr | Turnover (close-only) | Fee+slip (close-only) |
|---|---|---|---|---|---|---|---|---|---|---|
| dTSLA | 2x | 46.0 | 188 | 48% | 35 | 456 | 0.25 | 0.00 | 25.3 | 267 |
| dTSLA | 2.5x | 89.3 | 350 | 56% | 42 | 905 | 0.13 | 0.06 | 43.9 | 474 |
| dTSLA | 3x | 139.2 | 449 | 57% | 49 | 1389 | 0.25 | 0.00 | 64.1 | 718 |
| dNVDA | 2x | 49.1 | 141 | 49% | 25 | 495 | 0.00 | 0.00 | 29.1 | 299 |
| dNVDA | 2.5x | 96.1 | 262 | 57% | 30 | 970 | 0.00 | 0.00 | 50.1 | 516 |
| dNVDA | 3x | 149.2 | 336 | 57% | 35 | 1515 | 0.00 | 0.00 | 76.4 | 834 |
| dAAPL | 2x | 18.5 | 59 | 51% | 11 | 193 | 0.00 | 0.00 | 13.0 | 136 |
| dAAPL | 2.5x | 37.0 | 118 | 58% | 13 | 386 | 0.00 | 0.00 | 23.7 | 287 |
| dAAPL | 3x | 57.7 | 151 | 58% | 15 | 604 | 0.00 | 0.00 | 34.8 | 423 |
| dMSTR | 2x | 43.9 | 195 | 47% | 35 | 456 | 0.00 | 0.00 | 22.9 | 324 |
| dMSTR | 2.5x | 81.3 | 345 | 56% | 41 | 844 | 0.00 | 0.00 | 37.6 | 528 |
| dMSTR | 3x | 119.9 | 426 | 56% | 48 | 1253 | 0.00 | 0.00 | 55.8 | 1060 |
| dCOIN | 2x | 141.2 | 420 | 46% | 78 | 1476 | 0.37 | 0.00 | 69.0 | 1304 |
| dCOIN | 2.5x | 270.0 | 708 | 55% | 88 | 2841 | 0.19 | 0.00 | 118.5 | 2463 |
| dCOIN | 3x | 438.8 | 845 | 55% | 98 | 4668 | 0.19 | 0.00 | 193.9 | 5144 |
| dHOOD | 2x | 86.3 | 306 | 47% | 56 | 889 | 0.40 | 0.00 | 44.6 | 864 |
| dHOOD | 2.5x | 164.3 | 552 | 55% | 70 | 1698 | 0.20 | 0.00 | 85.4 | 1988 |
| dHOOD | 3x | 235.6 | 663 | 56% | 78 | 2440 | 0.20 | 0.00 | 126.3 | 3462 |
| dSPCX | 2x | 121.4 | 419 | 44% | 71 | 1288 | 0.00 | 0.00 | 45.1 | 486 |
| dSPCX | 2.5x | 220.7 | 722 | 52% | 79 | 2357 | 0.00 | 0.00 | 83.2 | 902 |
| dSPCX | 3x | 306.4 | 834 | 53% | 87 | 3295 | 0.00 | 0.00 | 146.9 | 3938 |
| dSNDK | 2x | 144.6 | 558 | 51% | 110 | 1443 | 0.64 | 0.00 | 62.9 | 643 |
| dSNDK | 2.5x | 274.8 | 952 | 59% | 125 | 2741 | 0.64 | 0.00 | 112.1 | 1983 |
| dSNDK | 3x | 426.5 | 1123 | 59% | 145 | 4295 | 0.64 | 0.00 | 173.9 | 3225 |
| dMU | 2x | 44.8 | 173 | 48% | 32 | 465 | 0.05 | 0.00 | 27.3 | 327 |
| dMU | 2.5x | 88.8 | 318 | 56% | 36 | 921 | 0.00 | 0.00 | 45.1 | 568 |
| dMU | 3x | 135.7 | 398 | 56% | 44 | 1418 | 0.00 | 0.00 | 65.6 | 857 |
| dPLTR | 2x | 78.7 | 291 | 48% | 54 | 824 | 0.34 | 0.00 | 40.2 | 520 |
| dPLTR | 2.5x | 150.8 | 511 | 56% | 61 | 1582 | 0.00 | 0.00 | 74.9 | 1394 |
| dPLTR | 3x | 226.7 | 622 | 56% | 73 | 2401 | 0.00 | 0.00 | 110.5 | 2130 |
| dLLY | 2x | 11.8 | 43 | 50% | 8 | 123 | 0.00 | 0.00 | 7.7 | 81 |
| dLLY | 2.5x | 24.0 | 87 | 58% | 9 | 250 | 0.05 | 0.00 | 14.1 | 149 |
| dLLY | 3x | 37.8 | 113 | 57% | 10 | 397 | 0.00 | 0.00 | 20.9 | 221 |
| dMRNA | 2x | 81.9 | 338 | 47% | 62 | 848 | 0.78 | 0.13 | 37.0 | 392 |
| dMRNA | 2.5x | 155.6 | 593 | 55% | 71 | 1612 | 1.03 | 0.26 | 64.3 | 842 |
| dMRNA | 3x | 233.2 | 711 | 55% | 84 | 2434 | 1.29 | 0.13 | 93.7 | 1332 |

### 3b. Per-week cost of holding, at 3x (D22)

The figure for the docs page. Holders' horizon is days to weeks, and the annualised number overstates what they pay: the same drag, spread across a year of average volatility.

**Long tokens**

| Token | UL vol | Decay 1 wk | 2 wks | 4 wks | 1 yr | Worst simulated year |
|---|---|---|---|---|---|---|
| uGOLD | 18% | 0.24% | 0.48% | 1.0% | 12.5% | 41% |
| uSILVER | 33% | 0.70% | 1.40% | 2.8% | 36.3% | 108% |
| uWTIOIL | 37% | 0.88% | 1.76% | 3.5% | 45.9% | 130% |
| uUS500 | 19% | 0.25% | 0.50% | 1.0% | 13.1% | 60% |
| uUS100 | 22% | 0.31% | 0.62% | 1.2% | 16.2% | 55% |
| uTSLA | 57% | 2.25% | 4.49% | 9.0% | 116.8% | 212% |
| uNVDA | 49% | 1.63% | 3.27% | 6.5% | 85.0% | 248% |
| uAAPL | 32% | 0.71% | 1.43% | 2.9% | 37.1% | 151% |
| uMSTR | 60% | 2.36% | 4.72% | 9.4% | 122.8% | 437% |
| uCOIN | 85% | 5.33% | 10.66% | 21.3% | 277.1% | 551% |
| uHOOD | 74% | 3.76% | 7.51% | 15.0% | 195.4% | 316% |
| uSPCX | 82% | 4.85% | 9.70% | 19.4% | 252.1% | 252% |
| uSNDK | 106% | 6.96% | 13.92% | 27.8% | 362.0% | 420% |
| uMU | 54% | 2.03% | 4.05% | 8.1% | 105.4% | 365% |
| uPLTR | 70% | 3.50% | 7.00% | 14.0% | 182.0% | 280% |
| uLLY | 27% | 0.48% | 0.96% | 1.9% | 25.1% | 63% |
| uMRNA | 97% | 4.39% | 8.78% | 17.6% | 228.4% | 421% |

**Short tokens**

| Token | UL vol | Decay 1 wk | 2 wks | 4 wks | 1 yr | Worst simulated year |
|---|---|---|---|---|---|---|
| dGOLD | 18% | 0.46% | 0.92% | 1.8% | 23.8% | 81% |
| dSILVER | 33% | 1.28% | 2.57% | 5.1% | 66.7% | 182% |
| dWTIOIL | 37% | 1.77% | 3.54% | 7.1% | 92.1% | 271% |
| dUS500 | 19% | 0.50% | 1.00% | 2.0% | 26.0% | 121% |
| dUS100 | 22% | 0.68% | 1.36% | 2.7% | 35.3% | 123% |
| dTSLA | 57% | 4.53% | 9.06% | 18.1% | 235.6% | 366% |
| dNVDA | 49% | 3.33% | 6.66% | 13.3% | 173.3% | 439% |
| dAAPL | 32% | 1.44% | 2.88% | 5.8% | 75.0% | 281% |
| dMSTR | 60% | 4.57% | 9.13% | 18.3% | 237.4% | 732% |
| dCOIN | 85% | 9.36% | 18.72% | 37.4% | 486.7% | 865% |
| dHOOD | 74% | 7.12% | 14.25% | 28.5% | 370.4% | 560% |
| dSPCX | 82% | 9.29% | 18.57% | 37.1% | 482.9% | 483% |
| dSNDK | 106% | 11.50% | 23.00% | 46.0% | 598.1% | 696% |
| dMU | 54% | 3.97% | 7.94% | 15.9% | 206.5% | 596% |
| dPLTR | 70% | 6.61% | 13.21% | 26.4% | 343.5% | 494% |
| dLLY | 27% | 1.06% | 2.13% | 4.3% | 55.3% | 134% |
| dMRNA | 97% | 7.94% | 15.88% | 31.8% | 412.8% | 633% |

Two things the docs page should say alongside it. First, this is an *average* week: realised cost scales with that week's variance, so the "worst simulated year" column is the honest companion — a bad year in uCOIN cost several times its average. Second, decay is not the dominant term over a week for anything except the high-vol single names; direction is. A holder losing money in uUS500 over a fortnight lost it to the index, not to the rebalancing.

### 3c. Do wider bands reduce decay?

The band-width question came up, and the one-path answer in `docs/MULTIPLIER_NOTE.md` was "yes in trends, no rescue on MSTR". Here it is as a proper multi-segment sweep: long tokens at 3x, bands ±5 / ±10 (D6's default) / ±20 / ±33% around target, pooled across independent 252-day segments. US500 is the benign case and MSTR the hostile one. The hard delever moves with the band, 25% above band_hi, which is how a policy would actually be written.

| Asset | Band | Bands (x) | Hard delever | Decay /yr | Decay /wk | Worst yr | Turnover ×eq/yr | Rebalances/yr | Fee+slip bps/yr | Hard delevers/yr | Liquidations/yr | TE mean | TE p95 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| US500 | ±5% | 2.85–3.15 | 3.94x | 14.2% | 0.27% | 65% | 6.2 | 56 | 57 | 0.00 | 0.00 | 5 | 17 |
| US500 | ±10% (D6 default) | 2.70–3.30 | 4.13x | 13.1% | 0.25% | 60% | 2.9 | 14 | 28 | 0.00 | 0.00 | 9 | 30 |
| US500 | ±20% | 2.40–3.60 | 4.50x | 13.3% | 0.26% | 44% | 1.4 | 3 | 14 | 0.00 | 0.00 | 17 | 60 |
| US500 | ±33% | 2.00–4.00 | 5.00x | 13.4% | 0.26% | 46% | 0.5 | 1 | 5 | 0.00 | 0.00 | 26 | 96 |
| MSTR | ±5% | 2.85–3.15 | 3.94x | 118.4% | 2.28% | 359% | 111.5 | 423 | 1214 | 0.00 | 0.10 | 36 | 119 |
| MSTR | ±10% (D6 default) | 2.70–3.30 | 4.13x | 122.8% | 2.36% | 437% | 60.2 | 126 | 665 | 0.00 | 0.10 | 37 | 158 |
| MSTR | ±20% | 2.40–3.60 | 4.50x | 108.5% | 2.09% | 420% | 28.0 | 30 | 319 | 0.00 | 0.10 | 50 | 188 |
| MSTR | ±33% | 2.00–4.00 | 5.00x | 101.7% | 1.96% | 363% | 14.8 | 10 | 183 | 0.00 | 0.10 | 89 | 331 |

The same bands with the hard delever **pinned at D6's 4.00x** instead, which isolates what a wider band does when the backstop does not widen with it:

| Asset | Band | Bands (x) | Hard delever | Decay /yr | Decay /wk | Worst yr | Turnover ×eq/yr | Rebalances/yr | Fee+slip bps/yr | Hard delevers/yr | Liquidations/yr | TE mean | TE p95 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| US500 | ±5% | 2.85–3.15 | 4.00x | 14.2% | 0.27% | 65% | 6.2 | 56 | 57 | 0.00 | 0.00 | 5 | 17 |
| US500 | ±10% (D6 default) | 2.70–3.30 | 4.00x | 13.1% | 0.25% | 60% | 2.9 | 14 | 28 | 0.00 | 0.00 | 9 | 30 |
| US500 | ±20% | 2.40–3.60 | 4.00x | 13.3% | 0.26% | 44% | 1.4 | 3 | 14 | 0.00 | 0.00 | 17 | 60 |
| US500 | ±33% | 2.00–4.00 | 4.00x | 13.4% | 0.26% | 46% | 0.5 | 1 | 5 | 0.78 | 0.00 | 26 | 96 |
| MSTR | ±5% | 2.85–3.15 | 4.00x | 118.4% | 2.28% | 359% | 111.5 | 423 | 1214 | 0.00 | 0.10 | 36 | 119 |
| MSTR | ±10% (D6 default) | 2.70–3.30 | 4.00x | 122.8% | 2.36% | 437% | 60.2 | 126 | 665 | 0.00 | 0.10 | 37 | 158 |
| MSTR | ±20% | 2.40–3.60 | 4.00x | 108.5% | 2.09% | 420% | 28.0 | 30 | 319 | 0.05 | 0.10 | 50 | 188 |
| MSTR | ±33% | 2.00–4.00 | 4.00x | 101.7% | 1.96% | 363% | 14.8 | 10 | 183 | 6.94 | 0.10 | 89 | 331 |

What the sweep says:

- **Wider bands cut trading steeply and decay barely.** ±5% → ±33% cuts rebalances by an order of magnitude and takes the fee drag with it, but total decay moves by well under a percentage point a year on US500. Most of the drag is the arithmetic of holding 3x exposure — the L(L−1)σ²/2 term — not the cost of trimming it.
- **The price is paid in tracking, not in blow-ups.** Tracking error p95 rises roughly five-fold from ±5% to ±33%. At ±33% the token spends most of its life between 2.0x and 4.0x, which is not a 3x daily-tracking product in any sense a holder would recognise. That, not tail risk, is the binding argument.
- **Forced actions barely move — but only because the hard delever moved with the band.** In the first table the hard-delever and liquidation columns are flat across every width, which is a property of the sweep, not a free lunch. The second table pins the backstop at 4.00x and the effect shows up: a band that lets leverage reach 3.6x or 4.0x is starting from much closer to the trigger. If D6's bands are ever widened, the hard delever has to be widened in the same edit or the backstop becomes the band.
- **Nothing rescues MSTR.** Every width leaves a catastrophic worst year, because that year contains a −90% drawdown in the underlying, and 3x through it is (0.1)³ whatever the band does. The ~14% relative reduction in MSTR's average decay from the widest band is noise against a 100%+/yr figure.

Recommendation unchanged: **keep D6's ±10%**. What ±20% buys back is a few bps a year of fee drag against hundreds to thousands of bps of decay, and it is paid for in tracking error, which is the product's one testable promise (PRD §6).

---

## 4. Stress: the ten worst adverse gaps per asset

Close→open moves, ranked against a **long** token. "Health at floor" is venue equity over notional immediately after the gap, starting from the margin floor — the worst state the keeper leaves the position in. Under D21 it does not depend on leverage, so one column serves all three. `LIQ` marks it below Phoenix maintenance; what changes with leverage is how much the keeper has to unwind. The last column compares the NAV a liquidated 3x token keeps with what an un-liquidated 3x position would have held — where it reads higher, Phoenix's backstop has eaten the difference (headline 3).

**GOLD** (Gold, Phoenix GOLD, maintenance 3.5%)

| Date | Gap | Wknd | Health at floor | 2x → lev | 2.5x → lev | 3x → lev | NAV kept at 3x (actual vs no-liq) |
|---|---|---|---|---|---|---|---|
| 2026-01-30 | -6.0% |  | 12.7% / 8.8% / 6.9% | 2.14x in band | 2.76x delever | 3.44x delever | 82% vs 82% |
| 2013-04-15 | -5.5% | yes | 13.1% / 9.3% / 7.4% | 2.12x in band | 2.74x in band | 3.40x delever | 83% vs 83% |
| 2026-03-19 | -5.5% |  | 13.1% / 9.3% / 7.4% | 2.12x in band | 2.74x in band | 3.39x delever | 84% vs 84% |
| 2008-09-02 | -4.3% | yes | 14.2% / 10.4% / 8.5% | 2.10x in band | 2.68x in band | 3.30x in band | 87% vs 87% |
| 2025-10-21 | -4.1% |  | 14.4% / 10.6% / 8.7% | 2.09x in band | 2.67x in band | 3.28x in band | 88% vs 88% |
| 2013-06-20 | -4.1% |  | 14.4% / 10.6% / 8.7% | 2.09x in band | 2.67x in band | 3.28x in band | 88% vs 88% |
| 2020-03-16 | -4.0% | yes | 14.5% / 10.7% / 8.9% | 2.09x in band | 2.67x in band | 3.27x in band | 88% vs 88% |
| 2008-12-01 | -3.9% | yes | 14.5% / 10.8% / 8.9% | 2.09x in band | 2.66x in band | 3.27x in band | 88% vs 88% |
| 2020-11-09 | -3.7% | yes | 14.7% / 11.0% / 9.1% | 2.08x in band | 2.65x in band | 3.25x in band | 89% vs 89% |
| 2011-09-07 | -3.7% |  | 14.8% / 11.0% / 9.2% | 2.08x in band | 2.65x in band | 3.25x in band | 89% vs 89% |

**SILVER** (Silver, Phoenix SILVER, maintenance 3.5%)

| Date | Gap | Wknd | Health at floor | 2x → lev | 2.5x → lev | 3x → lev | NAV kept at 3x (actual vs no-liq) |
|---|---|---|---|---|---|---|---|
| 2026-01-30 | -15.4% |  | 3.0% / -1.3% / -3.4% | 2.44x **LIQ** | 3.44x **LIQ** | 4.71x **LIQ** | 63% vs 54% |
| 2026-02-05 | -13.8% |  | 4.7% / 0.5% / -1.5% | 2.38x delever | 3.29x **LIQ** | 4.42x **LIQ** | 63% vs 59% |
| 2020-03-16 | -13.6% | yes | 5.0% / 0.8% / -1.3% | 2.37x delever | 3.27x **LIQ** | 4.38x **LIQ** | 63% vs 59% |
| 2026-03-19 | -9.9% |  | 8.9% / 4.9% / 2.9% | 2.25x in band | 2.99x delever | 3.84x **LIQ** | 63% vs 70% |
| 2008-12-01 | -9.4% | yes | 9.4% / 5.4% / 3.4% | 2.23x in band | 2.96x delever | 3.78x **LIQ** | 63% vs 72% |
| 2013-04-15 | -9.1% | yes | 9.7% / 5.7% / 3.7% | 2.22x in band | 2.94x delever | 3.75x delever | 73% vs 73% |
| 2026-03-03 | -9.0% |  | 9.8% / 5.8% / 3.8% | 2.22x in band | 2.94x delever | 3.74x delever | 73% vs 73% |
| 2011-09-23 | -8.9% |  | 9.8% / 5.9% / 3.9% | 2.22x in band | 2.93x delever | 3.73x delever | 73% vs 73% |
| 2011-09-26 | -8.2% | yes | 10.5% / 6.6% / 4.6% | 2.20x in band | 2.89x delever | 3.66x delever | 75% vs 75% |
| 2025-12-29 | -7.7% | yes | 11.1% / 7.2% / 5.2% | 2.18x in band | 2.86x delever | 3.60x delever | 77% vs 77% |

**WTIOIL** (WTI Crude, Phoenix WTIOIL, maintenance 3.5%)

| Date | Gap | Wknd | Health at floor | 2x → lev | 2.5x → lev | 3x → lev | NAV kept at 3x (actual vs no-liq) |
|---|---|---|---|---|---|---|---|
| 2020-03-09 | -21.9% | yes | -5.1% / -9.7% / -12.0% | 2.78x **LIQ** | 4.31x **LIQ** | 6.82x **LIQ** | 63% vs 34% |
| 2020-04-21 | -14.9% |  | 3.5% / -0.7% / -2.9% | 2.43x **LIQ** | 3.39x **LIQ** | 4.62x **LIQ** | 63% vs 55% |
| 2026-04-08 | -13.8% |  | 4.8% / 0.6% / -1.5% | 2.38x delever | 3.29x **LIQ** | 4.41x **LIQ** | 63% vs 59% |
| 2020-03-16 | -12.5% | yes | 6.2% / 2.1% / 0.0% | 2.33x delever | 3.18x **LIQ** | 4.20x **LIQ** | 63% vs 63% |
| 2020-03-18 | -11.4% |  | 7.4% / 3.3% / 1.3% | 2.29x in band | 3.10x **LIQ** | 4.04x **LIQ** | 63% vs 66% |
| 2020-04-20 | -10.7% | yes | 8.1% / 4.0% / 2.0% | 2.27x in band | 3.05x delever | 3.94x **LIQ** | 63% vs 68% |
| 2020-04-27 | -10.5% | yes | 8.3% / 4.2% / 2.2% | 2.27x in band | 3.03x delever | 3.92x **LIQ** | 63% vs 68% |
| 2008-10-24 | -9.2% |  | 9.5% / 5.6% / 3.6% | 2.23x in band | 2.95x delever | 3.77x delever | 72% vs 72% |
| 2026-04-17 | -8.8% |  | 9.9% / 6.0% / 4.0% | 2.21x in band | 2.92x delever | 3.72x delever | 74% vs 74% |
| 2025-04-04 | -7.4% |  | 11.3% / 7.4% / 5.5% | 2.17x in band | 2.84x delever | 3.57x delever | 78% vs 78% |

**US500** (US 500, Phoenix SPY, maintenance 3.5%)

| Date | Gap | Wknd | Health at floor | 2x → lev | 2.5x → lev | 3x → lev | NAV kept at 3x (actual vs no-liq) |
|---|---|---|---|---|---|---|---|
| 2020-03-16 | -10.4% | yes | 8.3% / 4.3% / 2.3% | 2.26x in band | 3.03x delever | 3.91x **LIQ** | 63% vs 69% |
| 2008-10-24 | -8.3% |  | 10.4% / 6.5% / 4.6% | 2.20x in band | 2.89x delever | 3.67x delever | 75% vs 75% |
| 2020-03-09 | -7.4% | yes | 11.3% / 7.4% / 5.5% | 2.18x in band | 2.84x delever | 3.58x delever | 78% vs 78% |
| 2020-03-12 | -6.7% |  | 12.0% / 8.2% / 6.2% | 2.15x in band | 2.80x delever | 3.50x delever | 80% vs 80% |
| 2020-03-18 | -6.5% |  | 12.1% / 8.3% / 6.4% | 2.15x in band | 2.79x delever | 3.49x delever | 80% vs 80% |
| 2015-08-24 | -5.1% | yes | 13.5% / 9.7% / 7.8% | 2.11x in band | 2.72x in band | 3.36x delever | 85% vs 85% |
| 2008-10-10 | -4.3% |  | 14.2% / 10.4% / 8.5% | 2.10x in band | 2.68x in band | 3.30x in band | 87% vs 87% |
| 2024-08-05 | -4.0% | yes | 14.5% / 10.7% / 8.9% | 2.09x in band | 2.67x in band | 3.27x in band | 88% vs 88% |
| 2020-04-01 | -3.8% |  | 14.7% / 10.9% / 9.1% | 2.08x in band | 2.66x in band | 3.26x in band | 89% vs 89% |
| 2008-01-22 | -3.7% | yes | 14.8% / 11.0% / 9.2% | 2.08x in band | 2.65x in band | 3.25x in band | 89% vs 89% |

**US100** (US Tech 100, Phoenix QQQ, maintenance 3.5%)

| Date | Gap | Wknd | Health at floor | 2x → lev | 2.5x → lev | 3x → lev | NAV kept at 3x (actual vs no-liq) |
|---|---|---|---|---|---|---|---|
| 2020-03-16 | -9.5% | yes | 9.3% / 5.3% / 3.4% | 2.23x in band | 2.96x delever | 3.79x **LIQ** | 63% vs 72% |
| 2015-08-24 | -8.0% | yes | 10.8% / 6.9% / 4.9% | 2.19x in band | 2.87x delever | 3.63x delever | 76% vs 76% |
| 2008-10-24 | -7.7% |  | 11.0% / 7.1% / 5.2% | 2.18x in band | 2.86x delever | 3.60x delever | 77% vs 77% |
| 2020-03-09 | -7.0% | yes | 11.7% / 7.9% / 5.9% | 2.16x in band | 2.82x delever | 3.53x delever | 79% vs 79% |
| 2020-03-12 | -6.7% |  | 12.0% / 8.1% / 6.2% | 2.16x in band | 2.80x delever | 3.51x delever | 80% vs 80% |
| 2020-03-18 | -5.8% |  | 12.9% / 9.0% / 7.1% | 2.13x in band | 2.75x delever | 3.42x delever | 83% vs 83% |
| 2008-01-22 | -5.6% | yes | 13.1% / 9.3% / 7.4% | 2.13x in band | 2.74x in band | 3.40x delever | 83% vs 83% |
| 2024-08-05 | -5.4% | yes | 13.3% / 9.4% / 7.5% | 2.12x in band | 2.73x in band | 3.38x delever | 84% vs 84% |
| 2025-04-03 | -4.1% |  | 14.4% / 10.6% / 8.7% | 2.09x in band | 2.67x in band | 3.28x in band | 88% vs 88% |
| 2020-09-08 | -4.0% | yes | 14.5% / 10.7% / 8.9% | 2.09x in band | 2.67x in band | 3.27x in band | 88% vs 88% |

**TSLA** (Tesla, Phoenix TSLA, maintenance 3.5%)

| Date | Gap | Wknd | Health at floor | 2x → lev | 2.5x → lev | 3x → lev | NAV kept at 3x (actual vs no-liq) |
|---|---|---|---|---|---|---|---|
| 2020-09-08 | -14.9% | yes | 3.5% / -0.7% / -2.8% | 2.42x delever | 3.39x **LIQ** | 4.62x **LIQ** | 63% vs 55% |
| 2020-03-16 | -14.1% | yes | 4.4% / 0.2% / -1.9% | 2.39x delever | 3.32x **LIQ** | 4.47x **LIQ** | 63% vs 58% |
| 2020-03-09 | -13.9% | yes | 4.6% / 0.4% / -1.7% | 2.39x delever | 3.30x **LIQ** | 4.44x **LIQ** | 63% vs 58% |
| 2013-11-06 | -12.4% |  | 6.2% / 2.1% / 0.1% | 2.33x delever | 3.18x **LIQ** | 4.19x **LIQ** | 63% vs 63% |
| 2015-08-24 | -12.1% | yes | 6.6% / 2.5% / 0.4% | 2.32x delever | 3.15x **LIQ** | 4.14x **LIQ** | 63% vs 64% |
| 2018-09-28 | -12.1% |  | 6.6% / 2.5% / 0.4% | 2.32x delever | 3.15x **LIQ** | 4.14x **LIQ** | 63% vs 64% |
| 2019-07-25 | -11.8% |  | 6.9% / 2.8% / 0.7% | 2.31x delever | 3.13x **LIQ** | 4.10x **LIQ** | 63% vs 64% |
| 2024-08-05 | -10.8% | yes | 7.9% / 3.9% / 1.9% | 2.28x in band | 3.06x delever | 3.96x **LIQ** | 63% vs 68% |
| 2019-04-04 | -10.3% |  | 8.5% / 4.5% / 2.5% | 2.26x in band | 3.02x delever | 3.89x **LIQ** | 63% vs 69% |
| 2011-12-08 | -9.8% |  | 9.0% / 5.0% / 3.0% | 2.24x in band | 2.99x delever | 3.83x **LIQ** | 63% vs 71% |

**NVDA** (Nvidia, Phoenix NVDA, maintenance 3.5%)

| Date | Gap | Wknd | Health at floor | 2x → lev | 2.5x → lev | 3x → lev | NAV kept at 3x (actual vs no-liq) |
|---|---|---|---|---|---|---|---|
| 2008-07-03 | -28.0% |  | -14.1% / -19.1% / -21.6% | 3.27x **LIQ** | 6.01x **LIQ** | 13.54x **LIQ** | 63% vs 16% |
| 2018-11-16 | -19.3% |  | -1.7% / -6.2% / -8.4% | 2.63x **LIQ** | 3.90x **LIQ** | 5.75x **LIQ** | 63% vs 42% |
| 2019-01-28 | -14.7% | yes | 3.7% / -0.5% / -2.6% | 2.42x delever | 3.37x **LIQ** | 4.58x **LIQ** | 63% vs 56% |
| 2024-08-05 | -14.2% | yes | 4.3% / 0.1% / -2.0% | 2.40x delever | 3.32x **LIQ** | 4.48x **LIQ** | 63% vs 57% |
| 2025-01-27 | -12.5% | yes | 6.2% / 2.1% / 0.0% | 2.33x delever | 3.18x **LIQ** | 4.20x **LIQ** | 63% vs 63% |
| 2020-03-16 | -11.8% | yes | 6.9% / 2.8% / 0.8% | 2.31x delever | 3.13x **LIQ** | 4.10x **LIQ** | 63% vs 65% |
| 2020-03-09 | -9.8% | yes | 9.0% / 5.0% / 3.0% | 2.24x in band | 2.99x delever | 3.84x **LIQ** | 63% vs 71% |
| 2008-01-22 | -9.5% | yes | 9.2% / 5.3% / 3.3% | 2.24x in band | 2.97x delever | 3.80x **LIQ** | 63% vs 71% |
| 2008-10-10 | -8.7% |  | 10.1% / 6.2% / 4.2% | 2.21x in band | 2.92x delever | 3.70x delever | 74% vs 74% |
| 2020-03-12 | -8.5% |  | 10.3% / 6.3% / 4.4% | 2.21x in band | 2.91x delever | 3.69x delever | 74% vs 74% |

**AAPL** (Apple, Phoenix AAPL, maintenance 3.5%)

| Date | Gap | Wknd | Health at floor | 2x → lev | 2.5x → lev | 3x → lev | NAV kept at 3x (actual vs no-liq) |
|---|---|---|---|---|---|---|---|
| 2020-03-16 | -13.0% | yes | 5.7% / 1.5% / -0.5% | 2.35x delever | 3.22x **LIQ** | 4.27x **LIQ** | 63% vs 61% |
| 2008-01-23 | -12.5% |  | 6.2% / 2.1% / -0.0% | 2.33x delever | 3.18x **LIQ** | 4.20x **LIQ** | 63% vs 62% |
| 2013-01-24 | -10.5% |  | 8.3% / 4.2% / 2.2% | 2.27x in band | 3.03x delever | 3.92x **LIQ** | 63% vs 68% |
| 2008-07-22 | -10.4% |  | 8.4% / 4.3% / 2.3% | 2.26x in band | 3.03x delever | 3.91x **LIQ** | 63% vs 69% |
| 2015-08-24 | -10.3% | yes | 8.5% / 4.5% / 2.5% | 2.26x in band | 3.02x delever | 3.89x **LIQ** | 63% vs 69% |
| 2024-08-05 | -9.4% | yes | 9.3% / 5.4% / 3.4% | 2.23x in band | 2.96x delever | 3.79x **LIQ** | 63% vs 72% |
| 2019-01-03 | -8.8% |  | 10.0% / 6.0% / 4.0% | 2.21x in band | 2.92x delever | 3.72x delever | 74% vs 74% |
| 2020-03-09 | -8.7% | yes | 10.0% / 6.1% / 4.1% | 2.21x in band | 2.92x delever | 3.71x delever | 74% vs 74% |
| 2026-07-31 | -8.6% |  | 10.2% / 6.3% / 4.3% | 2.21x in band | 2.91x delever | 3.69x delever | 74% vs 74% |
| 2008-01-22 | -8.2% | yes | 10.5% / 6.6% / 4.6% | 2.20x in band | 2.89x delever | 3.66x delever | 75% vs 75% |

**MSTR** (Strategy, Phoenix MSTR, maintenance 3.5%)

| Date | Gap | Wknd | Health at floor | 2x → lev | 2.5x → lev | 3x → lev | NAV kept at 3x (actual vs no-liq) |
|---|---|---|---|---|---|---|---|
| 2024-08-05 | -27.4% | yes | -13.0% / -18.0% / -20.5% | 3.21x **LIQ** | 5.75x **LIQ** | 12.18x **LIQ** | 63% vs 18% |
| 2022-06-13 | -26.6% | yes | -11.8% / -16.7% / -19.2% | 3.13x **LIQ** | 5.47x **LIQ** | 10.87x **LIQ** | 63% vs 20% |
| 2008-05-02 | -15.5% |  | 2.8% / -1.4% / -3.6% | 2.45x **LIQ** | 3.45x **LIQ** | 4.74x **LIQ** | 63% vs 53% |
| 2007-05-08 | -15.0% |  | 3.5% / -0.8% / -2.9% | 2.43x **LIQ** | 3.40x **LIQ** | 4.63x **LIQ** | 63% vs 55% |
| 2022-01-24 | -14.9% | yes | 3.6% / -0.7% / -2.8% | 2.42x delever | 3.39x **LIQ** | 4.61x **LIQ** | 63% vs 55% |
| 2010-11-02 | -14.6% |  | 3.8% / -0.4% / -2.5% | 2.41x delever | 3.37x **LIQ** | 4.57x **LIQ** | 63% vs 56% |
| 2012-10-31 | -13.7% | yes | 4.8% / 0.7% / -1.4% | 2.38x delever | 3.28x **LIQ** | 4.40x **LIQ** | 63% vs 59% |
| 2021-05-19 | -13.2% |  | 5.4% / 1.3% / -0.8% | 2.36x delever | 3.24x **LIQ** | 4.31x **LIQ** | 63% vs 60% |
| 2010-02-04 | -13.1% |  | 5.6% / 1.4% / -0.7% | 2.35x delever | 3.23x **LIQ** | 4.29x **LIQ** | 63% vs 61% |
| 2024-03-19 | -11.8% |  | 7.0% / 2.9% / 0.8% | 2.31x delever | 3.12x **LIQ** | 4.09x **LIQ** | 63% vs 65% |

**COIN** (Coinbase, Phoenix COIN, maintenance 3.5%)

| Date | Gap | Wknd | Health at floor | 2x → lev | 2.5x → lev | 3x → lev | NAV kept at 3x (actual vs no-liq) |
|---|---|---|---|---|---|---|---|
| 2022-05-11 | -24.9% |  | -9.3% / -14.1% / -16.4% | 2.99x **LIQ** | 4.96x **LIQ** | 8.87x **LIQ** | 63% vs 25% |
| 2022-06-13 | -21.3% | yes | -4.4% / -9.0% / -11.2% | 2.74x **LIQ** | 4.22x **LIQ** | 6.56x **LIQ** | 63% vs 36% |
| 2024-08-05 | -20.8% | yes | -3.6% / -8.1% / -10.4% | 2.71x **LIQ** | 4.12x **LIQ** | 6.30x **LIQ** | 63% vs 38% |
| 2023-03-23 | -19.8% |  | -2.4% / -6.9% / -9.1% | 2.66x **LIQ** | 3.97x **LIQ** | 5.93x **LIQ** | 63% vs 41% |
| 2023-06-06 | -19.8% |  | -2.3% / -6.8% / -9.1% | 2.65x **LIQ** | 3.97x **LIQ** | 5.91x **LIQ** | 63% vs 41% |
| 2025-08-01 | -11.3% |  | 7.5% / 3.4% / 1.4% | 2.29x in band | 3.09x **LIQ** | 4.02x **LIQ** | 63% vs 66% |
| 2021-05-19 | -10.9% |  | 7.8% / 3.8% / 1.8% | 2.28x in band | 3.06x delever | 3.97x **LIQ** | 63% vs 67% |
| 2022-01-24 | -9.8% | yes | 9.0% / 5.0% / 3.0% | 2.24x in band | 2.99x delever | 3.83x **LIQ** | 63% vs 71% |
| 2022-05-12 | -9.6% |  | 9.1% / 5.2% / 3.2% | 2.24x in band | 2.98x delever | 3.81x **LIQ** | 63% vs 71% |
| 2023-02-03 | -9.5% |  | 9.3% / 5.3% / 3.3% | 2.23x in band | 2.97x delever | 3.80x **LIQ** | 63% vs 71% |

**HOOD** (Robinhood, Phoenix HOOD, maintenance 3.5%)

| Date | Gap | Wknd | Health at floor | 2x → lev | 2.5x → lev | 3x → lev | NAV kept at 3x (actual vs no-liq) |
|---|---|---|---|---|---|---|---|
| 2024-08-05 | -17.8% | yes | 0.1% / -4.2% / -6.4% | 2.55x **LIQ** | 3.70x **LIQ** | 5.29x **LIQ** | 63% vs 47% |
| 2022-01-28 | -14.1% |  | 4.4% / 0.2% / -1.9% | 2.39x delever | 3.32x **LIQ** | 4.47x **LIQ** | 63% vs 58% |
| 2026-04-29 | -11.9% |  | 6.8% / 2.7% / 0.7% | 2.31x delever | 3.14x **LIQ** | 4.11x **LIQ** | 63% vs 64% |
| 2025-04-07 | -11.1% | yes | 7.6% / 3.6% / 1.6% | 2.29x in band | 3.08x delever | 4.00x **LIQ** | 63% vs 67% |
| 2025-04-03 | -11.0% |  | 7.7% / 3.7% / 1.7% | 2.28x in band | 3.07x delever | 3.99x **LIQ** | 63% vs 67% |
| 2021-08-05 | -10.6% |  | 8.1% / 4.1% / 2.1% | 2.27x in band | 3.04x delever | 3.94x **LIQ** | 63% vs 68% |
| 2022-04-29 | -10.3% |  | 8.5% / 4.5% / 2.4% | 2.26x in band | 3.02x delever | 3.90x **LIQ** | 63% vs 69% |
| 2023-11-08 | -10.0% |  | 8.8% / 4.8% / 2.8% | 2.25x in band | 3.00x delever | 3.86x **LIQ** | 63% vs 70% |
| 2021-08-19 | -9.5% |  | 9.3% / 5.3% / 3.3% | 2.24x in band | 2.97x delever | 3.80x **LIQ** | 63% vs 71% |
| 2021-10-27 | -9.1% |  | 9.7% / 5.7% / 3.8% | 2.22x in band | 2.94x delever | 3.75x delever | 73% vs 73% |

**SPCX** (SpaceX, Phoenix SPCX, maintenance 3.5%)

| Date | Gap | Wknd | Health at floor | 2x → lev | 2.5x → lev | 3x → lev | NAV kept at 3x (actual vs no-liq) |
|---|---|---|---|---|---|---|---|
| 2026-08-05 | -10.3% |  | 8.4% / 4.4% / 2.4% | 2.26x in band | 3.02x delever | 3.90x **LIQ** | 63% vs 69% |
| 2026-06-22 | -4.8% | yes | 13.7% / 9.9% / 8.0% | 2.11x in band | 2.71x in band | 3.34x delever | 85% vs 85% |
| 2026-08-18 | -3.8% |  | 14.7% / 10.9% / 9.1% | 2.08x in band | 2.66x in band | 3.25x in band | 89% vs 89% |
| 2026-07-28 | -3.7% |  | 14.8% / 11.0% / 9.2% | 2.08x in band | 2.65x in band | 3.25x in band | 89% vs 89% |
| 2026-07-17 | -2.8% |  | 15.5% / 11.8% / 10.0% | 2.06x in band | 2.61x in band | 3.18x in band | 92% vs 92% |
| 2026-06-23 | -2.3% |  | 16.0% / 12.3% / 10.4% | 2.05x in band | 2.59x in band | 3.15x in band | 93% vs 93% |
| 2026-08-24 | -1.9% | yes | 16.3% / 12.6% / 10.8% | 2.04x in band | 2.58x in band | 3.12x in band | 94% vs 94% |
| 2026-07-24 | -1.9% |  | 16.3% / 12.6% / 10.8% | 2.04x in band | 2.57x in band | 3.12x in band | 94% vs 94% |
| 2026-08-03 | -1.8% | yes | 16.4% / 12.7% / 10.9% | 2.04x in band | 2.57x in band | 3.12x in band | 95% vs 95% |
| 2026-06-18 | -1.8% |  | 16.4% / 12.7% / 10.9% | 2.04x in band | 2.57x in band | 3.11x in band | 95% vs 95% |

**SNDK** (SanDisk, Phoenix SNDK, maintenance 3.5%)

| Date | Gap | Wknd | Health at floor | 2x → lev | 2.5x → lev | 3x → lev | NAV kept at 3x (actual vs no-liq) |
|---|---|---|---|---|---|---|---|
| 2026-08-06 | -13.1% |  | 5.5% / 1.4% / -0.7% | 2.36x delever | 3.23x **LIQ** | 4.30x **LIQ** | 63% vs 61% |
| 2026-06-23 | -11.7% |  | 7.0% / 2.9% / 0.9% | 2.31x delever | 3.12x **LIQ** | 4.08x **LIQ** | 63% vs 65% |
| 2025-11-04 | -9.1% |  | 9.7% / 5.7% / 3.7% | 2.22x in band | 2.94x delever | 3.75x delever | 73% vs 73% |
| 2026-07-01 | -8.3% |  | 10.5% / 6.6% / 4.6% | 2.20x in band | 2.89x delever | 3.66x delever | 75% vs 75% |
| 2025-10-14 | -8.2% |  | 10.6% / 6.7% / 4.7% | 2.20x in band | 2.89x delever | 3.65x delever | 75% vs 75% |
| 2026-07-28 | -8.2% |  | 10.6% / 6.7% / 4.7% | 2.20x in band | 2.89x delever | 3.65x delever | 75% vs 75% |
| 2025-08-15 | -7.8% |  | 11.0% / 7.1% / 5.1% | 2.18x in band | 2.86x delever | 3.61x delever | 77% vs 77% |
| 2026-03-25 | -7.3% |  | 11.4% / 7.5% / 5.6% | 2.17x in band | 2.84x delever | 3.56x delever | 78% vs 78% |
| 2026-04-02 | -7.3% |  | 11.4% / 7.5% / 5.6% | 2.17x in band | 2.84x delever | 3.56x delever | 78% vs 78% |
| 2025-03-04 | -7.2% |  | 11.5% / 7.7% / 5.7% | 2.17x in band | 2.83x delever | 3.55x delever | 78% vs 78% |

**MU** (Micron, Phoenix MU, maintenance 3.5%)

| Date | Gap | Wknd | Health at floor | 2x → lev | 2.5x → lev | 3x → lev | NAV kept at 3x (actual vs no-liq) |
|---|---|---|---|---|---|---|---|
| 2015-06-26 | -15.6% |  | 2.7% / -1.6% / -3.7% | 2.45x **LIQ** | 3.46x **LIQ** | 4.76x **LIQ** | 63% vs 53% |
| 2024-12-19 | -13.3% |  | 5.3% / 1.1% / -0.9% | 2.36x delever | 3.25x **LIQ** | 4.33x **LIQ** | 63% vs 60% |
| 2020-03-16 | -13.1% | yes | 5.5% / 1.4% / -0.7% | 2.36x delever | 3.23x **LIQ** | 4.30x **LIQ** | 63% vs 61% |
| 2008-10-24 | -12.5% |  | 6.2% / 2.1% / 0.0% | 2.33x delever | 3.18x **LIQ** | 4.20x **LIQ** | 63% vs 63% |
| 2020-03-09 | -11.6% | yes | 7.1% / 3.0% / 1.0% | 2.30x delever | 3.12x **LIQ** | 4.07x **LIQ** | 63% vs 65% |
| 2026-06-23 | -10.8% |  | 7.9% / 3.9% / 1.9% | 2.28x in band | 3.06x delever | 3.96x **LIQ** | 63% vs 67% |
| 2020-03-12 | -9.9% |  | 8.9% / 4.9% / 2.9% | 2.25x in band | 2.99x delever | 3.84x **LIQ** | 63% vs 70% |
| 2009-01-14 | -8.9% |  | 9.9% / 5.9% / 4.0% | 2.22x in band | 2.93x delever | 3.73x delever | 73% vs 73% |
| 2006-10-06 | -8.7% |  | 10.1% / 6.1% / 4.1% | 2.21x in band | 2.92x delever | 3.71x delever | 74% vs 74% |
| 2016-07-01 | -8.6% |  | 10.2% / 6.3% / 4.3% | 2.21x in band | 2.91x delever | 3.69x delever | 74% vs 74% |

**PLTR** (Palantir, Phoenix PLTR, maintenance 3.5%)

| Date | Gap | Wknd | Health at floor | 2x → lev | 2.5x → lev | 3x → lev | NAV kept at 3x (actual vs no-liq) |
|---|---|---|---|---|---|---|---|
| 2023-01-24 | -20.9% |  | -3.7% / -8.3% / -10.6% | 2.72x **LIQ** | 4.14x **LIQ** | 6.35x **LIQ** | 63% vs 37% |
| 2022-05-09 | -17.9% | yes | -0.0% / -4.4% / -6.6% | 2.56x **LIQ** | 3.72x **LIQ** | 5.33x **LIQ** | 63% vs 46% |
| 2022-08-08 | -14.7% | yes | 3.8% / -0.4% / -2.5% | 2.42x delever | 3.37x **LIQ** | 4.57x **LIQ** | 63% vs 56% |
| 2020-12-02 | -13.4% |  | 5.2% / 1.1% / -1.0% | 2.36x delever | 3.25x **LIQ** | 4.34x **LIQ** | 63% vs 60% |
| 2024-05-07 | -12.8% |  | 5.9% / 1.8% / -0.3% | 2.34x delever | 3.20x **LIQ** | 4.24x **LIQ** | 63% vs 62% |
| 2024-08-05 | -12.1% | yes | 6.6% / 2.5% / 0.4% | 2.32x delever | 3.15x **LIQ** | 4.14x **LIQ** | 63% vs 64% |
| 2022-02-17 | -11.3% |  | 7.4% / 3.4% / 1.3% | 2.29x in band | 3.09x **LIQ** | 4.03x **LIQ** | 63% vs 66% |
| 2025-04-07 | -9.9% | yes | 8.8% / 4.8% / 2.8% | 2.25x in band | 3.00x delever | 3.85x **LIQ** | 63% vs 70% |
| 2025-05-06 | -8.9% |  | 9.8% / 5.9% / 3.9% | 2.22x in band | 2.93x delever | 3.73x delever | 73% vs 73% |
| 2025-02-20 | -8.2% |  | 10.6% / 6.7% / 4.7% | 2.20x in band | 2.88x delever | 3.65x delever | 76% vs 76% |

**LLY** (Eli Lilly, Phoenix LLY, maintenance 3.5%)

| Date | Gap | Wknd | Health at floor | 2x → lev | 2.5x → lev | 3x → lev | NAV kept at 3x (actual vs no-liq) |
|---|---|---|---|---|---|---|---|
| 2016-11-23 | -15.3% |  | 3.0% / -1.2% / -3.3% | 2.44x **LIQ** | 3.43x **LIQ** | 4.70x **LIQ** | 63% vs 54% |
| 2024-10-30 | -11.6% |  | 7.1% / 3.0% / 1.0% | 2.30x delever | 3.11x **LIQ** | 4.07x **LIQ** | 63% vs 65% |
| 2025-08-07 | -9.5% |  | 9.3% / 5.3% / 3.3% | 2.23x in band | 2.97x delever | 3.79x **LIQ** | 63% vs 72% |
| 2015-10-12 | -8.8% | yes | 10.0% / 6.1% / 4.1% | 2.21x in band | 2.92x delever | 3.71x delever | 74% vs 74% |
| 2021-03-15 | -7.2% | yes | 11.5% / 7.6% / 5.7% | 2.17x in band | 2.83x delever | 3.56x delever | 78% vs 78% |
| 2007-10-25 | -7.1% |  | 11.6% / 7.7% / 5.8% | 2.17x in band | 2.83x delever | 3.54x delever | 79% vs 79% |
| 2020-03-12 | -6.6% |  | 12.1% / 8.3% / 6.3% | 2.15x in band | 2.80x delever | 3.49x delever | 80% vs 80% |
| 2020-10-27 | -6.1% |  | 12.5% / 8.7% / 6.8% | 2.14x in band | 2.77x delever | 3.45x delever | 82% vs 82% |
| 2025-05-01 | -6.1% |  | 12.6% / 8.7% / 6.8% | 2.14x in band | 2.77x delever | 3.45x delever | 82% vs 82% |
| 2020-03-16 | -6.0% | yes | 12.7% / 8.8% / 6.9% | 2.14x in band | 2.76x delever | 3.44x delever | 82% vs 82% |

**MRNA** (Moderna, Phoenix MRNA, maintenance 3.5%)

| Date | Gap | Wknd | Health at floor | 2x → lev | 2.5x → lev | 3x → lev | NAV kept at 3x (actual vs no-liq) |
|---|---|---|---|---|---|---|---|
| 2025-01-13 | -21.2% | yes | -4.2% / -8.7% / -11.0% | 2.74x **LIQ** | 4.19x **LIQ** | 6.49x **LIQ** | 63% vs 36% |
| 2024-08-01 | -16.5% |  | 1.7% / -2.6% / -4.8% | 2.49x **LIQ** | 3.55x **LIQ** | 4.95x **LIQ** | 63% vs 51% |
| 2023-11-02 | -15.6% |  | 2.8% / -1.5% / -3.6% | 2.45x **LIQ** | 3.45x **LIQ** | 4.75x **LIQ** | 63% vs 53% |
| 2021-11-05 | -14.9% |  | 3.5% / -0.8% / -2.9% | 2.43x **LIQ** | 3.39x **LIQ** | 4.63x **LIQ** | 63% vs 55% |
| 2024-09-12 | -14.6% |  | 3.8% / -0.4% / -2.5% | 2.41x delever | 3.36x **LIQ** | 4.56x **LIQ** | 63% vs 56% |
| 2021-11-04 | -14.5% |  | 4.0% / -0.2% / -2.3% | 2.41x delever | 3.35x **LIQ** | 4.54x **LIQ** | 63% vs 57% |
| 2026-08-20 | -13.9% |  | 4.6% / 0.5% / -1.6% | 2.39x delever | 3.30x **LIQ** | 4.43x **LIQ** | 63% vs 58% |
| 2021-12-10 | -13.5% |  | 5.1% / 0.9% / -1.2% | 2.37x delever | 3.27x **LIQ** | 4.36x **LIQ** | 63% vs 59% |
| 2020-05-27 | -11.3% |  | 7.5% / 3.4% / 1.4% | 2.29x in band | 3.09x **LIQ** | 4.02x **LIQ** | 63% vs 66% |
| 2020-02-28 | -10.6% |  | 8.1% / 4.1% / 2.1% | 2.27x in band | 3.04x delever | 3.94x **LIQ** | 63% vs 68% |

For contrast, US500 under **D7's NAV basis** — the rows that read "delever" above turn red here:

| Date | Gap | Wknd | Health at floor | 2x → lev | 2.5x → lev | 3x → lev | NAV kept at 3x (actual vs no-liq) |
|---|---|---|---|---|---|---|---|
| 2020-03-16 | -10.4% | yes | 2.3% / -0.5% / -2.4% | 2.26x **LIQ** | 3.03x **LIQ** | 3.91x **LIQ** | 75% vs 69% |
| 2008-10-24 | -8.3% |  | 4.6% / 1.8% / 0.0% | 2.20x in band | 2.89x **LIQ** | 3.67x **LIQ** | 75% vs 75% |
| 2020-03-09 | -7.4% | yes | 5.5% / 2.8% / 1.0% | 2.18x in band | 2.84x **LIQ** | 3.58x **LIQ** | 75% vs 78% |
| 2020-03-12 | -6.7% |  | 6.2% / 3.5% / 1.8% | 2.15x in band | 2.80x delever | 3.50x **LIQ** | 75% vs 80% |
| 2020-03-18 | -6.5% |  | 6.4% / 3.7% / 1.9% | 2.15x in band | 2.79x delever | 3.49x **LIQ** | 75% vs 80% |
| 2015-08-24 | -5.1% | yes | 7.8% / 5.1% / 3.4% | 2.11x in band | 2.72x in band | 3.36x **LIQ** | 75% vs 85% |
| 2008-10-10 | -4.3% |  | 8.5% / 5.9% / 4.2% | 2.10x in band | 2.68x in band | 3.30x in band | 87% vs 87% |
| 2024-08-05 | -4.0% | yes | 8.9% / 6.3% / 4.5% | 2.09x in band | 2.67x in band | 3.27x in band | 88% vs 88% |
| 2020-04-01 | -3.8% |  | 9.1% / 6.5% / 4.7% | 2.08x in band | 2.66x in band | 3.26x in band | 89% vs 89% |
| 2008-01-22 | -3.7% | yes | 9.2% / 6.6% / 4.8% | 2.08x in band | 2.65x in band | 3.25x in band | 89% vs 89% |

---

## 5. Funding scenarios

Funding is the one input with no history. Cost drag at 3x under a flat ±10%/yr rate, against the 0% default. Longs pay when the rate is positive.

| Token | Cost drag @ 0% | @ +10%/yr | @ −10%/yr | Swing | Swing /wk |
|---|---|---|---|---|---|
| uGOLD | 1.37% | 30.69% | -28.48% | 59.18% | 1.14% |
| dGOLD | 2.78% | -28.48% | 31.79% | 60.27% | 1.16% |
| uSILVER | 3.47% | 33.07% | -25.71% | 58.78% | 1.13% |
| dSILVER | 4.49% | -24.73% | 35.04% | 59.77% | 1.15% |
| uWTIOIL | 2.78% | 34.29% | -27.07% | 61.35% | 1.18% |
| dWTIOIL | 6.93% | -21.56% | 36.14% | 57.70% | 1.11% |
| uUS500 | 1.58% | 31.18% | -27.56% | 58.74% | 1.13% |
| dUS500 | 2.39% | -27.70% | 33.81% | 61.51% | 1.18% |
| uUS100 | 1.83% | 31.90% | -26.97% | 58.87% | 1.13% |
| dUS100 | 3.44% | -26.56% | 33.27% | 59.84% | 1.15% |
| uTSLA | 5.66% | 35.29% | -23.27% | 58.56% | 1.13% |
| dTSLA | 13.99% | -16.44% | 42.15% | 58.58% | 1.13% |
| uNVDA | 3.71% | 30.62% | -27.15% | 57.77% | 1.11% |
| dNVDA | 11.47% | -18.29% | 39.42% | 57.71% | 1.11% |
| uAAPL | 2.47% | 31.98% | -25.70% | 57.68% | 1.11% |
| dAAPL | 5.28% | -24.09% | 36.50% | 60.59% | 1.17% |
| uMSTR | 5.32% | 34.12% | -23.02% | 57.14% | 1.10% |
| dMSTR | 14.28% | -15.80% | 43.22% | 59.02% | 1.13% |
| uCOIN | 3.18% | 34.61% | -21.66% | 56.27% | 1.08% |
| dCOIN | 27.74% | -4.25% | 55.99% | 60.25% | 1.16% |
| uHOOD | 7.98% | 38.40% | -20.01% | 58.41% | 1.12% |
| dHOOD | 20.81% | -11.40% | 52.52% | 63.92% | 1.23% |
| uSPCX | 14.40% | 35.75% | -15.67% | 51.42% | 0.99% |
| dSPCX | 36.58% | 2.41% | 66.01% | 63.60% | 1.22% |
| uSNDK | 4.43% | 37.02% | -22.13% | 59.15% | 1.14% |
| dSNDK | 15.52% | 4.27% | 26.28% | 22.01% | 0.42% |
| uMU | 6.65% | 34.90% | -23.64% | 58.54% | 1.13% |
| dMU | 14.89% | -15.34% | 45.66% | 61.00% | 1.17% |
| uPLTR | 9.24% | 38.50% | -22.84% | 61.34% | 1.18% |
| dPLTR | 19.16% | -10.20% | 52.71% | 62.91% | 1.21% |
| uLLY | 1.61% | 30.88% | -27.88% | 58.76% | 1.13% |
| dLLY | 4.53% | -27.02% | 34.04% | 61.06% | 1.17% |
| uMRNA | 10.10% | 40.59% | -22.37% | 62.95% | 1.21% |
| dMRNA | 23.56% | -6.17% | 56.87% | 63.04% | 1.21% |

A 3x token carries 3× notional, so a 10%/yr funding rate costs the paying side ~30%/yr — larger than every fee in D8 combined by an order of magnitude, and comparable to the volatility drag itself. The "Swing" column is the full ±10% range, so ~60%/yr and ~1.16%/week; one-sided that is ~0.58%/week, **more than uUS500's 0.25%/week of decay at the same leverage.** At an index holder's horizon funding, not decay, is the dominant cost. Instrument it from day one (`snapshots.funding_rate_bps_annual` is already in the schema) and revisit after two weeks of live data.

---

## 6. Leverage, for the choice D22 defers to #13

D22 keeps the registry at 3x for every token and moves the tiering decision to vault creation. These are the numbers for it. Since D21 makes solvency leverage-invariant, the rule is about decay, forced trading and tracking: drop to 2.5x if, at 3x, the long token decays more than 50%/yr, loses >95% in more than 5% of simulated years, shows more than 1.5 hard delevers/yr on the intraday model, breaks 50 bps/day tracking p95, or the asset's history gaps past the 3x hard-delever distance more than once every two years.

| Asset | Suggested | Why | Short side |
|---|---|---|---|
| GOLD | **3x** | decay 12.5%/yr (0.24%/wk), tracking p95 30 bps/day, 0.0 hard delevers/yr, 0% wipeout years, worst gap 6.0% against an 11.1% hard delever | tracks acceptably at the same level (p95 30 bps, 0% wipeout years) |
| SILVER | **3x** | decay 36.3%/yr (0.70%/wk), tracking p95 50 bps/day, 0.0 hard delevers/yr, 0% wipeout years, worst gap 15.4% against an 11.1% hard delever | tracks acceptably at the same level (p95 78 bps, 10% wipeout years) |
| WTIOIL | **2.5x** | 10% of simulated years lose >95% at 3x (10% at 2.5x); tracking p95 60 bps/day at 3x (47 at 2.5x) against PRD §6's 25 | tracks acceptably at the same level (p95 96 bps, 5% wipeout years) |
| US500 | **3x** | decay 13.1%/yr (0.25%/wk), tracking p95 30 bps/day, 0.0 hard delevers/yr, 0% wipeout years, worst gap 10.4% against an 11.1% hard delever | tracks acceptably at the same level (p95 34 bps, 0% wipeout years) |
| US100 | **3x** | decay 16.2%/yr (0.31%/wk), tracking p95 35 bps/day, 0.0 hard delevers/yr, 0% wipeout years, worst gap 9.5% against an 11.1% hard delever | tracks acceptably at the same level (p95 44 bps, 0% wipeout years) |
| TSLA | **2.5x** | decays 117%/yr — 2.25%/wk — against 71% and 1.36%/wk at 2.5x; tracking p95 144 bps/day at 3x (84 at 2.5x) against PRD §6's 25 | materially worse (50% wipeout years, p95 198 bps): one notch lower, or do not list it |
| NVDA | **2.5x** | decays 85%/yr — 1.63%/wk — against 49% and 0.95%/wk at 2.5x; 10% of simulated years lose >95% at 3x (5% at 2.5x); tracking p95 102 bps/day at 3x (73 at 2.5x) against PRD §6's 25 | materially worse (38% wipeout years, p95 160 bps): one notch lower, or do not list it |
| AAPL | **2.5x** | tracking p95 58 bps/day at 3x (42 at 2.5x) against PRD §6's 25 | tracks acceptably at the same level (p95 89 bps, 10% wipeout years) |
| MSTR | **2.5x** | decays 123%/yr — 2.36%/wk — against 73% and 1.41%/wk at 2.5x; 19% of simulated years lose >95% at 3x (5% at 2.5x); tracking p95 158 bps/day at 3x (102 at 2.5x) against PRD §6's 25; 14 gaps ≥ 11.1% in 21y (0.68/yr) blow straight through the 3x hard delever | materially worse (29% wipeout years, p95 227 bps): one notch lower, or do not list it |
| COIN | **2.5x** | decays 277%/yr — 5.33%/wk — against 169% and 3.25%/wk at 2.5x; 50% of simulated years lose >95% at 3x (17% at 2.5x); tracking p95 217 bps/day at 3x (164 at 2.5x) against PRD §6's 25; 6 gaps ≥ 11.1% in 5y (1.11/yr) blow straight through the 3x hard delever | materially worse (67% wipeout years, p95 392 bps): one notch lower, or do not list it |
| HOOD | **2.5x** | decays 195%/yr — 3.76%/wk — against 115% and 2.21%/wk at 2.5x; 20% of simulated years lose >95% at 3x (20% at 2.5x); tracking p95 190 bps/day at 3x (135 at 2.5x) against PRD §6's 25; 4 gaps ≥ 11.1% in 5y (0.78/yr) blow straight through the 3x hard delever | materially worse (60% wipeout years, p95 311 bps): one notch lower, or do not list it |
| SPCX | **2.5x** | decays 252%/yr — 4.85%/wk — against 158% and 3.03%/wk at 2.5x; tracking p95 333 bps/day at 3x (204 at 2.5x) against PRD §6's 25 | materially worse (0% wipeout years, p95 324 bps): one notch lower, or do not list it |
| SNDK | **2.5x** | decays 362%/yr — 6.96%/wk — against 238% and 4.57%/wk at 2.5x; tracking p95 409 bps/day at 3x (242 at 2.5x) against PRD §6's 25; 2 gaps ≥ 11.1% in 2y (1.27/yr) blow straight through the 3x hard delever | materially worse (100% wipeout years, p95 522 bps): one notch lower, or do not list it |
| MU | **2.5x** | decays 105%/yr — 2.03%/wk — against 63% and 1.22%/wk at 2.5x; 10% of simulated years lose >95% at 3x (5% at 2.5x); tracking p95 133 bps/day at 3x (79 at 2.5x) against PRD §6's 25 | materially worse (38% wipeout years, p95 192 bps): one notch lower, or do not list it |
| PLTR | **2.5x** | decays 182%/yr — 3.50%/wk — against 108% and 2.08%/wk at 2.5x; 17% of simulated years lose >95% at 3x (17% at 2.5x); tracking p95 187 bps/day at 3x (139 at 2.5x) against PRD §6's 25; 7 gaps ≥ 11.1% in 6y (1.18/yr) blow straight through the 3x hard delever | materially worse (67% wipeout years, p95 252 bps): one notch lower, or do not list it |
| LLY | **3x** | decay 25.1%/yr (0.48%/wk), tracking p95 42 bps/day, 0.0 hard delevers/yr, 0% wipeout years, worst gap 15.3% against an 11.1% hard delever | tracks acceptably at the same level (p95 65 bps, 0% wipeout years) |
| MRNA | **2.5x** | decays 228%/yr — 4.39%/wk — against 138% and 2.66%/wk at 2.5x; 50% of simulated years lose >95% at 3x (0% at 2.5x); tracking p95 211 bps/day at 3x (168 at 2.5x) against PRD §6's 25; 9 gaps ≥ 11.1% in 8y (1.16/yr) blow straight through the 3x hard delever | materially worse (63% wipeout years, p95 284 bps): one notch lower, or do not list it |

**Summary: 3x on GOLD, SILVER, US500, US100, LLY; 2.5x on WTIOIL, TSLA, NVDA, AAPL, MSTR, COIN, HOOD, SPCX, SNDK, MU, PLTR, MRNA.**

Where the call is close:

- **SILVER** — borderline the other way: 3x clears every test, but tracking p95 50 bps is within a whisker of the 50 bps line, and the worst gap in its history (15.4%) is larger than the 11.1% that trips the 3x hard delever. 2.5x is the cautious read.
- **TSLA** — even 2.5x decays 71%/yr (1.36%/wk), and 2x 35%/yr — a day-trade instrument at any level; 2x is the honest listing.
- **AAPL** — borderline: the only trigger is tracking p95 58 bps, just over the 50 bps line. 3x is defensible if a 3x product is allowed ~2× PRD §6's tracking target.
- **MSTR** — even 2.5x decays 73%/yr (1.41%/wk), and 2x 41%/yr — a day-trade instrument at any level; 2x is the honest listing.
- **COIN** — even 2.5x decays 169%/yr (3.25%/wk), and 2x 85%/yr — a day-trade instrument at any level; 2x is the honest listing.
- **HOOD** — even 2.5x decays 115%/yr (2.21%/wk), and 2x 61%/yr — a day-trade instrument at any level; 2x is the honest listing.
- **SPCX** — even 2.5x decays 158%/yr (3.03%/wk), and 2x 68%/yr — a day-trade instrument at any level; 2x is the honest listing.
- **SNDK** — even 2.5x decays 238%/yr (4.57%/wk), and 2x 125%/yr — a day-trade instrument at any level; 2x is the honest listing.
- **MU** — even 2.5x decays 63%/yr (1.22%/wk), and 2x 34%/yr — a day-trade instrument at any level; 2x is the honest listing.
- **PLTR** — even 2.5x decays 108%/yr (2.08%/wk), and 2x 55%/yr — a day-trade instrument at any level; 2x is the honest listing.
- **MRNA** — even 2.5x decays 138%/yr (2.66%/wk), and 2x 75%/yr — a day-trade instrument at any level; 2x is the honest listing.

D5 launches US500 first and it has the most headroom either way, so nothing about the launch order depends on this. Leverage is a per-token field (`TokenDef.policy`), so applying it at #13 is a registry edit — but D22 is right that it cannot change on a live token, so it has to be right at vault creation.

---

## 7. Parameter status

| Parameter | Status | Note |
|---|---|---|
| Leverage bands | **D6, unchanged** | Band width sets turnover, and turnover costs tens of bps/yr at every level tested — nothing next to the drag. Tightening buys nothing; widening raises tracking error without lowering risk, because the hard delever and the margin floor bound the tail. |
| Margin bands | **D21, adopted** — 17.5 / 12.5 / 22.5% of notional | §2c measures what it bought. Identical to D7 at 2x. |
| Hard delever | **D6, unchanged**; express the on-chain backstop as a *price* | At 3x the hard delever needs an 11.1% adverse move and liquidation 9.3% from the floor — the keeper acts first only if it is awake. Set D7's Phoenix conditional stop at the **margin-floor price**, refreshed on every rebalance; the dev seed already writes that price into `snapshots.stop_price` so the keeper has a reference implementation. |
| Expansion gating | **D6, unchanged** | Costs a little tracking error on Monday mornings; prevents buying an impact-pricing print that has not snapped yet. |
| Per-token leverage | **D22, deferred to #13** | §6 has the numbers. |
| Short tokens | **open** | A short's drag is L(L+1)σ²/2 rather than L(L−1)σ²/2, and it is short a positive drift. §3 shows every single-name short losing the lot inside a year at 3x. Recommend launching shorts only on the index and metal underlyings, one notch lower. |
| Maintenance margin | **estimate, Q13 open** | 3.5% from the registry. Every liquidation number in this sheet moves with it. |

---

## 8. What this sheet does not cover

- **Flows.** One deposit per segment, held. Mint/redeem impact, the stale-NAV arb in D8 and the cap logic are out of scope; D12 already says mints, not rebalances, are the impact risk.
- **OI caps.** docs/VENUES.md puts them near $3M per market, so a 3x token caps near $1M TVL against a 2x token's $1.5M. A business constraint on the leverage choice this sheet does not price.
- **Phoenix ADL / backstop.** Modelled as "the venue absorbs negative equity". A real auto-deleverage would also close the *winning* side of a token.
- **The impact-pricing bound.** Weekend gaps are applied in full at the reopen; the real 4–5% cap plus snap is more forgiving.
- **Commodity levels.** WTIOIL is USO, a futures-roll fund: its volatility and gap shape are usable, its decay-versus-buy-and-hold is not a statement about spot crude.
- **Pre-2006 history**, trimmed out of `data/`. MSTR fell 62% in a day in March 2000 and AAPL 52% in September 2000; nothing at any leverage survives those, and the 2026 order book is not the 2000 one.
- **Correlated venue failure.** A Phoenix outage during a gap is the scenario the on-chain conditional stop exists for, and it is not simulated here.