As for possibly being expensive at time of roll:
The strategy mitigates this by buying long dated puts and rolling way before time decay sets in. ...


FWIW, that's not the risk that I was contemplating.

There are options available now. They might not be in future. For reasons unknown, the implied interest rate might be 40%/year two years from now, due to some strange capital charge on those who are short them or some other thing we don't foresee. Who knows? Or equivalent options may not be available for any price. Derivatives come and go. (speaking of someone who used to use single stock futures).

The risk is this: you can't safely enter a position whose safety may rely on the future existence of a security that may or may not exist being available at a reasonable price. I have done it, but I'm consciously aware of the risk that I'm taking. It is very much like taking out a loan for two years when you really need one for five or six, assuming that you can always get another two year loan when the time comes. But maybe you can't. You may choose to borrow for only two years, which is fine, but one should be aware that there is a risk being taken.

Leverage is safe only when it is uncallable (check), decently priced (adequate at the moment), and lasts as long as you need it. It's that last one that you have to watch out for.

Jim