Expiration: 2025-11-13
--
BuyPutStrike: 6300
SellPutStrike: 6755
SellCallStrike: 6910
BuyCallStrike: 7020
--
PutTrailingStop: 24.40
CallTrailingStop: 21.20

***PUT SIDE***
currentDate: 2025-11-12
expires: 2025-11-13
underlyingPrice: 6855.58
VIX: 17.55
riskFreeReturn: 3.78%
spreadRequirement: $45500
-->spreadLowerStrikePrice: 6300
-->strikePrice: 6755
-->traliingStopPrice: 24.40
bidPrice: 1.45
askPrice: 1.55
pctOTM: 1.47%
delta: -0.0549
gamma: 0.0017
theoreticalPrice: 1.50
origDelta: -0.0583
origGamma: 0.0018
maxLossIfStoppedOut: 2444.11
otmLimit: 2.33%
ivToVIXRatio: 0.8831
impliedVolatility: 15.50%
origImpliedVolatility: 17.90%
altIV: 17.89%
altDelta: -0.0550
altGamma: 0.0017
altTTE: 0.002724
premiumPerContract: $144.35
payoffUtility: $104
premiumCapture: 71.39%
annualizedPremiumPerContract: $36540
unleveragedAnnualizedYield: 5.33%
leveragedAnnualizedYield: 28.73%
marginRequirementPerContract: $127199
leverageFactor: 5.3
sharpe: 0.97

***CALL SIDE***
currentDate: 2025-11-12
expires: 2025-11-13
underlyingPrice: 6855.58
VIX: 17.55
riskFreeReturn: 3.78%
spreadRequirement: $11000
-->spreadLowerStrikePrice: 7020
-->strikePrice: 6910
-->traliingStopPrice: 21.20
bidPrice: 1.85
askPrice: 1.95
pctOTM: 0.79%
delta: 0.0258
gamma: 0.0022
theoreticalPrice: 1.90
origDelta: 0.0903
origGamma: 0.0039
maxLossIfStoppedOut: 2118.23
otmLimit: 2.33%
ivToVIXRatio: 0.3763
impliedVolatility: 6.60%
origImpliedVolatility: 11.69%
altIV: 11.69%
altDelta: 0.0255
altGamma: 0.0022
altTTE: 0.001185
premiumPerContract: $184.35
payoffUtility: $167
premiumCapture: 90.05%
annualizedPremiumPerContract: $46620
unleveragedAnnualizedYield: 6.80%
leveragedAnnualizedYield: 35.36%
marginRequirementPerContract: $131855
leverageFactor: 5.2
sharpe: 2.64