Expiration: 2025-11-14
--
BuyPutStrike: 5930
SellPutStrike: 6600
SellCallStrike: 6810
BuyCallStrike: 6985
--
PutTrailingStop: 28.40
CallTrailingStop: 24.70

***PUT SIDE***
currentDate: 2025-11-13
expires: 2025-11-14
underlyingPrice: 6732.83
VIX: 20.80
riskFreeReturn: 3.79%
spreadRequirement: $67000
-->spreadLowerStrikePrice: 5930
-->strikePrice: 6600
-->traliingStopPrice: 28.40
bidPrice: 2.45
askPrice: 2.6
pctOTM: 1.97%
delta: -0.0645
gamma: 0.0014
theoreticalPrice: 2.53
origDelta: -0.0665
origGamma: 0.0014
maxLossIfStoppedOut: 2844.86
otmLimit: 2.75%
ivToVIXRatio: 1.0613
impliedVolatility: 22.08%
origImpliedVolatility: 25.26%
altIV: 25.26%
altDelta: -0.0646
altGamma: 0.0014
altTTE: 0.002754
premiumPerContract: $244.35
payoffUtility: $183
premiumCapture: 74.83%
annualizedPremiumPerContract: $61740
unleveragedAnnualizedYield: 9.17%
leveragedAnnualizedYield: 50.77%
marginRequirementPerContract: $121619
leverageFactor: 5.4
sharpe: 1.42

***CALL SIDE***
currentDate: 2025-11-13
expires: 2025-11-14
underlyingPrice: 6732.83
VIX: 20.80
riskFreeReturn: 3.79%
spreadRequirement: $17500
-->spreadLowerStrikePrice: 6985
-->strikePrice: 6810
-->traliingStopPrice: 24.70
bidPrice: 4.1
askPrice: 4.3
pctOTM: 1.15%
delta: 0.0384
gamma: 0.0019
theoreticalPrice: 4.20
origDelta: 0.1285
origGamma: 0.0031
maxLossIfStoppedOut: 2465.54
otmLimit: 2.75%
ivToVIXRatio: 0.5078
impliedVolatility: 10.56%
origImpliedVolatility: 18.89%
altIV: 18.89%
altDelta: 0.0381
altGamma: 0.0019
altTTE: 0.001145
premiumPerContract: $409.35
payoffUtility: $371
premiumCapture: 90.39%
annualizedPremiumPerContract: $103320
unleveragedAnnualizedYield: 15.35%
leveragedAnnualizedYield: 81.13%
marginRequirementPerContract: $127350
leverageFactor: 5.3
sharpe: 4.00