BMY · Trade Economics

Closed · catastrophic debit cap

1x Bullish Put Credit Spread entered on Sep 16, 2026 with an expiration of 2026-10-02.

1. Setup & Quantitative Conviction

Multi-day relative streak metrics and Bayesian mean-reversion model probability

Streak Length—Relative streak

Robust Z-Score—Deviation vs SPY

Reversion Probability—Bayesian model

Underlying Spot$64.00At order generation

2. Option Legs Architecture

Vertical credit spread contract specifications and execution fill marks

Role	Contract Symbol	Strike	Option Type	Expiration	Entry Price	Current/Exit Price
Short Leg	`BMY261002P00064000`	$64.00	Call	2026-10-02	$1.51	$3.45
Long Wing	`BMY261002P00061000`	$61.00	Call	2026-10-02	$0.58	$0.00

3. Feasibility & Mean-Reversion Telemetry

Contextual stop-loss monitoring: required move to breakeven vs. remaining DTE expected volatility

Breakeven Line$63.07Short strike minus credit

Move Needed to Win+0.00%In The Money

Expected Move (1σ)±7.56%Volatility over remaining DTE

Feasibility Ratio0.00x EMThreshold: ≤ 1.25x EM

Long Wing Barrier$61.00Structural floor intact

Feasibility Rule Status: Feasible (Recovery Projected). The required move to breakeven (0.00%) represents only 0% of the statistical expected move over the remaining holding window, meaning mean reversion remains highly feasible.

4. Capital & Risk Allocation Economics

Detailed margin requirement, cash premium collected, maximum capped loss, and return on capital

Net Entry Credit$0.93Per share ($100/contract)

Upfront Cash Collected$93.001 contracts total

Gross Margin Required$300.00$3.00 spread width

Max Potential Risk$207.00Capped worst-case loss

Max Return on Capital44.9%Premium / Max Risk

5. Realized Outcome & Capital Preservation

Intraday management, stop-loss trigger, realized P&L, and downside capital shielded

Exit Fill Price$3.44 / sh$344.00 to close

Net Realized P&L$-251.00-269.9% of credit

Capital Preserved+$0.00Shielded vs full max loss

Resolution Triggercatastrophic debit capAutomated risk rule

Risk Management Note: This trade collected $93.00 upfront. When the spread widened, the position management system executed the stop-loss discipline, closing the spread at $3.44. This successfully eliminated tail risk and preserved $0.00 that was otherwise exposed under the full spread width.