Madoff Split-Strike Forensic Audit Workbench

Parameters & Drivers [CONFIG]

Initial Fund Capital (AUM) $17.20 B

Target Annual Return 10.5 %

Monthly Base Redemption 1.8 %

Market Shock Month Month 12

Shock Redemption Spike 25 %

CBOE Market Collar Capacity $2.50 B

Collar Put Strike Delta 0.15 Δ

Audit Verdict

SEVERE DEFICIT

Insolvent Under 25% Stress Run

CBOE Capacity Ratio

688%

Claimed OTC vs Exchange OI

Fund Insolvency Month

Month 16

Liquid cash depletion point

Phantom Capital Identified

$17.20 B

Unbacked asset discrepancy

1. Forensic Yield Decomposition (24-Month Horizon) Smoothed Ponzi vs Actual S&P Split-Strike Collar

2. Cash-Flow & Insolvency Run

3. Options Market Capacity Saturator

688%

Total Options Hedging Demand ($17.20B) vs Historical CBOE Capacity ($2.50B)

⚠️ IMPOSSIBLE VOLUME: Exceeds 100% of entire options market open interest.

4. Automated Forensic Flag Detector 3 CRITICAL FLAGS

Madoff Split-Strike Forensic Audit Workbench — Executed Results

Simulation complete for Initial Capital $17.20B under 25% month 12 redemption shock.

Forensic Audit Metric	Observed Value	Threshold Boundary	Compliance Status
CBOE Collar Capacity Ratio	688%	≤ 100% Total Exchange OI	FAIL (OVER-SATURATED)
Fund Cash Insolvency Month	Month 16	> 24 Months Horizon	FAILED IN MONTH 16
Synthetic Sharpe Ratio	3.42	≤ 1.20 Market Collar Max	ANOMALOUS (> 2.8)
Phantom Asset Discrepancy	$17.20B	$0.00 Unbacked Deficit	CRITICAL DEFICIT