USB · Trade Economics

Closed · catastrophic debit cap

25x Bullish Put Credit Spread entered on Sep 24, 2026 with an expiration of 2026-10-09.

1. Setup & Quantitative Conviction

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

Streak Length6dnegative streak

Robust Z-Score-1.92Deviation vs SPY

Reversion Probability79.3%Bayesian model

Underlying Spot$58.31At 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	`USB261009P00060000`	$60.00	Call	2026-10-09	$1.98	$2.57
Long Wing	`USB261009P00058000`	$58.00	Call	2026-10-09	$0.98	$0.65

3. Feasibility & Mean-Reversion Telemetry

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

Breakeven Line$59.00Short strike minus credit

Move Needed to Win+1.18%+$0.69 to BE

Expected Move (1σ)±7.32%Volatility over remaining DTE

Feasibility Ratio0.16x EMThreshold: ≤ 1.25x EM

Long Wing Barrier$58.00Structural floor intact

Feasibility Rule Status: Feasible (Recovery Projected). The required move to breakeven (1.18%) represents only 16% 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$1.00Per share ($100/contract)

Upfront Cash Collected$2,500.0025 contracts total

Gross Margin Required$5,000.00$2.00 spread width

Max Potential Risk$2,500.00Capped worst-case loss

Max Return on Capital100.0%Premium / Max Risk

5. Realized Outcome & Capital Preservation

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

Exit Fill PriceClosedActive

Net Realized P&LClosedResolved

Capital Preserved—Shielded vs full max loss

Resolution Triggercatastrophic debit capAutomated risk rule

Risk Management Note: This trade collected $2,500.00 upfront. When the spread widened, the position management system executed the stop-loss discipline, closing the spread at market. This successfully eliminated tail risk and preserved $0.00 that was otherwise exposed under the full spread width.