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Daily Summary

VALE · Trade Economics

Closed · catastrophic debit cap

25x Bullish Put Credit Spread entered on Sep 18, 2026 with an expiration of 2026-10-02.

1. Setup & Quantitative Conviction

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

Streak Length6dnegative streak
Robust Z-Score-0.81Deviation vs SPY
Reversion Probability67.7%Bayesian model
Underlying Spot$14.37At order generation

2. Option Legs Architecture

Vertical credit spread contract specifications and execution fill marks

RoleContract SymbolStrikeOption TypeExpirationEntry PriceCurrent/Exit Price
Short LegVALE261002P00014000$14.00Call2026-10-02$0.19$1.22
Long WingVALE261002P00013000$13.00Call2026-10-02$0.06$0.00

3. Feasibility & Mean-Reversion Telemetry

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

Breakeven Line$13.87Short strike minus credit
Move Needed to Win+0.00%In The Money
Expected Move (1σ)±7.07%Volatility over remaining DTE
Feasibility Ratio0.00x EMThreshold: ≤ 1.25x EM
Long Wing Barrier$13.00Structural 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$0.13Per share ($100/contract)
Upfront Cash Collected$325.0025 contracts total
Gross Margin Required$2,500.00$1.00 spread width
Max Potential Risk$2,175.00Capped worst-case loss
Max Return on Capital14.9%Premium / Max Risk

5. Realized Outcome & Capital Preservation

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

Exit Fill Price$0.24 / sh$600.00 to close
Net Realized P&L$-275.00-84.6% of credit
Capital Preserved+$1,900.00Shielded vs full max loss
Resolution Triggercatastrophic debit capAutomated risk rule

Risk Management Note: This trade collected $325.00 upfront. When the spread widened, the position management system executed the stop-loss discipline, closing the spread at $0.24. This successfully eliminated tail risk and preserved $1,900.00 that was otherwise exposed under the full spread width.