Expiration: 2025-11-19
--
BuyPutStrike: 5825
SellPutStrike: 6490
SellCallStrike: 6730
BuyCallStrike: 6850
--
PutTrailingStop: 45.10
CallTrailingStop: 36.50

***PUT SIDE***
currentDate: 2025-11-18
expires: 2025-11-19
underlyingPrice: 6637.75
VIX: 23.90
riskFreeReturn: 3.77%
spreadRequirement: $66500
-->spreadLowerStrikePrice: 5825
-->strikePrice: 6490
-->trailingStopPrice: 45.10
bidPrice: 2.8
askPrice: 2.9
pctOTM: 2.23%
delta: -0.0650
gamma: 0.0013
theoreticalPrice: 2.85
origDelta: -0.0672
origGamma: 0.0013
maxLossIfStoppedOut: 4511.76
otmLimit: 3.17%
ivToVIXRatio: 1.0427
impliedVolatility: 24.92%
origImpliedVolatility: 28.72%
altIV: 28.72%
altDelta: -0.0651
altGamma: 0.0013
altTTE: 0.002734
premiumPerContract: $279.35
payoffUtility: $188
premiumCapture: 67.31%
annualizedPremiumPerContract: $70560
unleveragedAnnualizedYield: 10.63%
leveragedAnnualizedYield: 59.67%
marginRequirementPerContract: $118260
leverageFactor: 5.5
sharpe: 1.64

***CALL SIDE***
currentDate: 2025-11-18
expires: 2025-11-19
underlyingPrice: 6637.75
VIX: 23.90
riskFreeReturn: 3.77%
spreadRequirement: $12000
-->spreadLowerStrikePrice: 6850
-->strikePrice: 6730
-->trailingStopPrice: 36.50
bidPrice: 2.65
askPrice: 2.75
pctOTM: 1.39%
delta: 0.0879
gamma: 0.0024
theoreticalPrice: 2.70
origDelta: 0.0876
origGamma: 0.0024
maxLossIfStoppedOut: 3652.38
otmLimit: 3.17%
ivToVIXRatio: 0.6977
impliedVolatility: 16.67%
origImpliedVolatility: 19.11%
altIV: 19.11%
altDelta: 0.0878
altGamma: 0.0024
altTTE: 0.002782
premiumPerContract: $264.35
payoffUtility: $161
premiumCapture: 60.91%
annualizedPremiumPerContract: $66780
unleveragedAnnualizedYield: 10.06%
leveragedAnnualizedYield: 53.94%
marginRequirementPerContract: $123795
leverageFactor: 5.4
sharpe: 1.14