Setup Analysis · IWM P260/P255

Credit Received

$0.70

$70 gross / $67.75 after fees

Max Profit

$70

If IWM > $260 at expiry

Max Loss

$430

Width $500 − credit $70

DTE at Entry

Expiry 2026-05-22

Short Strike

$260 P

Δ -0.20

Long Strike

$255 P

Δ -0.15

Width

Defined risk

IWM Spot at Entry

$276.59

Short strike 6.00% OTM

Plan-adjusted EV is thin on this trade. At 20Δ short + $0.70 credit with managed exits, scenario tree outputs +$2.31 per contract — positive, but break-even probability (80%) equals actual win probability (80%), meaning only the managed-exit bucket structure keeps this EV-positive. Sized at 1 contract for this reason.

Entry Gate — tastylive Methodology Check

Rule	Threshold	Actual	Status
Short strike delta	16–20Δ	20Δ	PASS (top edge)
IV Rank	≥ 30	46.5	PASS
Credit / width ratio	≥ 20% (prefer ≥ 33%)	14.0% ($0.70 / $5)	BELOW TARGET
Capital per position	≤ 40% of NetLiq	8.6% ($430 / $5,000)	PASS
Post-cost EV	> 0	+$2.31/contract @ 80% PoP	THIN
DTE band	21–45 DTE	30 DTE	PASS
Expected-move check	Short strike outside ±1 SD	Strike $16.58 below spot, 1 SD = $14.50	PASS (by ~$2)
Earnings inside window	None	IWM is an ETF — no single-name earnings	PASS

Entry criteria from PRD_EQUITY_PUT_SPREADS.md §2. Standing rules in memory/feedback_tastylive_risk_params.md.

Scenario Tree — Probability-Weighted EV

Buckets derived from tastylive 20Δ managed-exit research. Computed via bun scripts/scenario-tree.ts --credit 0.70 --template pcs-20d-managed. Warning from output: "POSITIVE EV but thin. Size small; small assumption errors flip this negative."

Price Ladder

Short strike sits $16.58 below spot — ~1.14 standard deviations at IVx 26.9% over 30 days ($14.50 one-SD move). IWM needs a ~6% decline to threaten the short strike.

Probability Snapshot (Broker-Calculated)

Probability of Profit (POP)

80%

Probability the spread expires profitable at May 22 close

P50 — Probability of 50% gain

87%

Probability we can close at 50% max profit before expiry

Break-even needed

80%

For 0.5:−2.0 payoff structure. Actual 80% — positive EV purely from bucket structure.

Exit Plan (Mechanical)

Profit Target — 50% of credit

$0.35

Close when spread mid ≤ $0.35. Realized profit ≈ $32 after fees.

Stop Loss — 2× credit

$1.40

Close when spread mid ≥ $1.40. Realized loss ≈ $72 after fees.

Time Stop — 21 DTE

2026-05-01

Close / evaluate regardless of P&L. Gamma risk is not compensated inside 21 DTE.

Methodology & References

Document	What it covers
PRD_EQUITY_PUT_SPREADS.md	Active strategy PRD — entry criteria, exit rules, risk framework
feedback_tastylive_risk_params.md	Standing rules: 16–20Δ, IVR ≥ 30, 50% PT, 2× SL
feedback_trade_contingency_framework.md	Pre-trade scenario card + in-trade greek decomposition protocol
project_live_pcs_trades.md	Live trade ledger — position history & setup notes
tastylive "How To Trade Options in 2 Hours"	Original source video — methodology & win-rate research

Setup Analysis · IWM P260/P255 · May 22 2026

Position Summary