A small cannulated bone screw is provided having an optimized combination of strength, cannula size and thread depth. A set of such strong and small size screws is also provided where the smallest sizes can have one performance ratio emphasized over another, and the larger sizes can have the emphasis reversed. In particular, the smallest screws optimize the combination of their strength and cannula size with the larger screws optimizing the combination of their strength and thread depth. In any event, each of the screws in the set has an optimized combination of strength, cannula size and thread depth throughout the full range of screw sizes in the set, e.g. 3.0 mm to 7.5 mm major diameters.