What if we roll up the LEAP puts separately from the LEAP call spread in the #FuzzyLEAPs trade?
Roll up the put when the market is up and roll up the call spread when the market is down.
This would delay the extra investment in the rolling of the call spread, increasing the return.
Also, partially ITM call spread would work better as a hedge in SPX down move.
One thing I am not sure is how easy it would be to roll up a call spread that is 1/2 or more ITM.