# IWM P260/P255 · May 22 2026 · Setup Analysis

Put credit spread entered 2026-04-22 at 09:50 Central. Second trade in the live tastytrade account after QQQ.

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This is a bull put spread on IWM — the iShares Russell 2000 ETF. It's a textbook-shape setup: small, defined-risk, entered at a reasonable IV level, with a mechanical exit plan. The only thing worth flagging up front is that the expected value on this trade is thin — positive, but not what it would have been at a tighter delta.

The setup: sell the $260 put, buy the $255 put, both expiring May 22, 2026. Thirty days to expiration, five dollars wide.

The credit was $0.70, or $70 per contract. After $2.25 in commissions and fees, net premium collected is $67.75. Max profit is that $70 — or $67.75 net — and max loss is $430, which is the $500 width minus the $70 credit. Buying power reduced by $432.25.

Now the walk-through.

On delta. The short 260 put filled at negative 20. That's at the top edge of the 16-to-20 delta sweet spot — inside the band, but at the aggressive end. IWM was trading at $276.59 at the moment of fill, so getting to $260 — where the short strike lives — requires about a 6 percent drop in the Russell 2000. Not the base case over thirty days, but not tail-risk either.

On implied volatility. IVR was 46.5 — above the 30 threshold, which is the minimum bar for selling premium. Not stellar; anything in the 60-plus zone is where premium selling really pays. The IVx itself at 26.9% means the market's pricing in about a $14.50 one-standard-deviation move in IWM over thirty days. The $260 short strike sits $16.58 below spot — a little more than one standard deviation away.

On probability. tastytrade's calculator at fill showed probability of profit at 80 percent and P50 — the probability of being able to close at 50 percent of max profit — at 87 percent.

On expected value. Here's where I need to be careful. The pre-trade analysis showed plan-adjusted EV of positive $9.92 per contract, but that was computed against the 16-delta template at $0.67 credit. The actual fill was at 20 delta and $0.70 credit. Re-running the scenario tree with the correct template — 20 delta, managed exits — yields plan-adjusted EV of positive $2.31 per contract. That's $2.31 on $430 of risk, or about 0.54 percent expected return per trade. Still positive, but the scenario tree flags it: break-even probability needed is 80 percent, actual win probability is 80 percent, meaning only the bucket structure — the difference between a managed-exit win and a stopped-out loss — keeps this positive. Small assumption errors flip it negative.

The warning from the scenario tree reads: "positive EV but thin; size small; small assumption errors flip this negative." I took the trade anyway, at one contract, because the exposure is already small relative to account size — $430 on a $5,000 account is about 8.6 percent of capital — and because a positive-EV trade with a mechanical exit plan is still better than waiting for a tighter setup that may not come.

On what could go wrong. IWM has no single-name earnings risk — it's an ETF holding a basket of small-caps, so no one company's report moves it materially. The main risk is a broad small-cap selloff. If the Russell drops 4 or 5 percent quickly, delta on the 260 put will expand and the spread will widen against me. That's what the stop loss is for.

On management. Three exit triggers. Close at 50 percent of max profit — that's a spread mid at or below $0.35. Close at 2x stop loss — that's a mid at or above $1.40. And a hard time stop at 21 days to expiration — which is May 1. If the position is sitting in the middle of the range at the time stop, close anyway. Gamma risk is not compensated in the final 21 days.

Overall read: IVR acceptable, delta at the aggressive edge of the zone, EV positive but thin. Mechanical exit plan in place. Size is small.

Trade placed. Monitoring from here.