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Daily Summary

PEP · Trade Economics

Closed · catastrophic debit cap

22x Bullish Put Credit Spread entered on Sep 25, 2026 with an expiration of 2026-10-09.

1. Setup & Quantitative Conviction

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

Streak Length4dnegative streak
Robust Z-Score-2.81Deviation vs SPY
Reversion Probability60.6%Bayesian model
Underlying Spot$127.75At order generation

2. Option Legs Architecture

Vertical credit spread contract specifications and execution fill marks

RoleContract SymbolStrikeOption TypeExpirationEntry PriceCurrent/Exit Price
Short LegPEP261009P00130000$130.00Call2026-10-09$3.45$6.70
Long WingPEP261009P00127000$127.00Call2026-10-09$2.22$0.64

3. Feasibility & Mean-Reversion Telemetry

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

Breakeven Line$128.77Short strike minus credit
Move Needed to Win+0.80%+$1.02 to BE
Expected Move (1σ)±7.07%Volatility over remaining DTE
Feasibility Ratio0.11x EMThreshold: ≤ 1.25x EM
Long Wing Barrier$127.00Structural floor intact
Feasibility Rule Status: Feasible (Recovery Projected). The required move to breakeven (0.80%) represents only 11% 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$1.23Per share ($100/contract)
Upfront Cash Collected$2,706.0022 contracts total
Gross Margin Required$6,600.00$3.00 spread width
Max Potential Risk$3,894.00Capped worst-case loss
Max Return on Capital69.5%Premium / Max Risk

5. Realized Outcome & Capital Preservation

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

Exit Fill Price$2.53 / sh$5,566.00 to close
Net Realized P&L$-2,860.00-105.7% of credit
Capital Preserved+$1,034.00Shielded vs full max loss
Resolution Triggercatastrophic debit capAutomated risk rule

Risk Management Note: This trade collected $2,706.00 upfront. When the spread widened, the position management system executed the stop-loss discipline, closing the spread at $2.53. This successfully eliminated tail risk and preserved $1,034.00 that was otherwise exposed under the full spread width.