JPM · Trade Economics

Closed · catastrophic debit cap

7x Bullish Put Credit Spread entered on Oct 1, 2026 with an expiration of 2026-10-09.

1. Setup & Quantitative Conviction

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

Streak Length5dnegative streak

Robust Z-Score-3.67Deviation vs SPY

Reversion Probability75.9%Bayesian model

Underlying Spot$328.01At 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	`JPM261009P00342500`	$342.50	Call	2026-10-09	$9.30	$18.00
Long Wing	`JPM261009P00327500`	$327.50	Call	2026-10-09	$3.20	$4.75

3. Feasibility & Mean-Reversion Telemetry

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

Breakeven Line$336.40Short strike minus credit

Move Needed to Win+2.56%+$8.39 to BE

Expected Move (1σ)±5.35%Volatility over remaining DTE

Feasibility Ratio0.48x EMThreshold: ≤ 1.25x EM

Long Wing Barrier$327.50Structural floor intact

Feasibility Rule Status: Feasible (Recovery Projected). The required move to breakeven (2.56%) represents only 48% 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$6.10Per share ($100/contract)

Upfront Cash Collected$4,270.007 contracts total

Gross Margin Required$10,500.00$15.00 spread width

Max Potential Risk$6,230.00Capped worst-case loss

Max Return on Capital68.5%Premium / Max Risk

5. Realized Outcome & Capital Preservation

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

Exit Fill Price$13.25 / sh$9,275.00 to close

Net Realized P&L$-5,005.00-117.2% of credit

Capital Preserved+$1,225.00Shielded vs full max loss

Resolution Triggercatastrophic debit capAutomated risk rule

Risk Management Note: This trade collected $4,270.00 upfront. When the spread widened, the position management system executed the stop-loss discipline, closing the spread at $13.25. This successfully eliminated tail risk and preserved $1,225.00 that was otherwise exposed under the full spread width.