Expiration: 2025-11-18
--
BuyPutStrike: 5825
SellPutStrike: 6535
SellCallStrike: 6760
BuyCallStrike: 6875
--
PutTrailingStop: 42.40
CallTrailingStop: 34.30

***PUT SIDE***
currentDate: 2025-11-17
expires: 2025-11-18
underlyingPrice: 6672.04
VIX: 22.35
riskFreeReturn: 3.77%
spreadRequirement: $71000
-->spreadLowerStrikePrice: 5825
-->strikePrice: 6535
-->trailingStopPrice: 42.40
bidPrice: 2.6
askPrice: 2.7
pctOTM: 2.05%
delta: -0.0652
gamma: 0.0014
theoreticalPrice: 2.65
origDelta: -0.0659
origGamma: 0.0014
maxLossIfStoppedOut: 4240.96
otmLimit: 2.97%
ivToVIXRatio: 1.0290
impliedVolatility: 23.00%
origImpliedVolatility: 26.45%
altIV: 26.45%
altDelta: -0.0653
altGamma: 0.0014
altTTE: 0.002745
premiumPerContract: $259.35
payoffUtility: $174
premiumCapture: 66.91%
annualizedPremiumPerContract: $65520
unleveragedAnnualizedYield: 9.82%
leveragedAnnualizedYield: 54.60%
marginRequirementPerContract: $119997
leverageFactor: 5.4
sharpe: 1.51

***CALL SIDE***
currentDate: 2025-11-17
expires: 2025-11-18
underlyingPrice: 6672.04
VIX: 22.35
riskFreeReturn: 3.77%
spreadRequirement: $11500
-->spreadLowerStrikePrice: 6875
-->strikePrice: 6760
-->trailingStopPrice: 34.30
bidPrice: 2.45
askPrice: 2.55
pctOTM: 1.32%
delta: 0.0864
gamma: 0.0025
theoreticalPrice: 2.50
origDelta: 0.0869
origGamma: 0.0025
maxLossIfStoppedOut: 3433.15
otmLimit: 2.97%
ivToVIXRatio: 0.7027
impliedVolatility: 15.71%
origImpliedVolatility: 18.10%
altIV: 18.10%
altDelta: 0.0862
altGamma: 0.0025
altTTE: 0.002749
premiumPerContract: $244.35
payoffUtility: $150
premiumCapture: 61.09%
annualizedPremiumPerContract: $61740
unleveragedAnnualizedYield: 9.25%
leveragedAnnualizedYield: 49.44%
marginRequirementPerContract: $124890
leverageFactor: 5.4
sharpe: 1.07