Expiration: 2025-11-20
--
BuyPutStrike: 5400
SellPutStrike: 6460
SellCallStrike: 6765
BuyCallStrike: 6900
--
PutTrailingStop: 44.40
CallTrailingStop: 35.90

***PUT SIDE***
currentDate: 2025-11-19
expires: 2025-11-20
underlyingPrice: 6644.03
VIX: 23.50
riskFreeReturn: 3.77%
spreadRequirement: $106000
-->spreadLowerStrikePrice: 5400
-->strikePrice: 6460
-->trailingStopPrice: 44.40
bidPrice: 3.8
askPrice: 4
pctOTM: 2.77%
delta: -0.0690
gamma: 0.0010
theoreticalPrice: 3.90
origDelta: -0.0716
origGamma: 0.0011
maxLossIfStoppedOut: 4440.45
otmLimit: 3.11%
ivToVIXRatio: 1.3553
impliedVolatility: 31.85%
origImpliedVolatility: 36.69%
altIV: 36.69%
altDelta: -0.0690
altGamma: 0.0010
altTTE: 0.002719
premiumPerContract: $379.35
payoffUtility: $277
premiumCapture: 72.95%
annualizedPremiumPerContract: $95760
unleveragedAnnualizedYield: 14.41%
leveragedAnnualizedYield: 83.37%
marginRequirementPerContract: $114858
leverageFactor: 5.6
sharpe: 2.09

***CALL SIDE***
currentDate: 2025-11-19
expires: 2025-11-20
underlyingPrice: 6644.03
VIX: 23.50
riskFreeReturn: 3.77%
spreadRequirement: $13500
-->spreadLowerStrikePrice: 6900
-->strikePrice: 6765
-->trailingStopPrice: 35.90
bidPrice: 4
askPrice: 4.2
pctOTM: 1.82%
delta: 0.0965
gamma: 0.0019
theoreticalPrice: 4.10
origDelta: 0.0977
origGamma: 0.0019
maxLossIfStoppedOut: 3594.65
otmLimit: 3.11%
ivToVIXRatio: 0.9683
impliedVolatility: 22.75%
origImpliedVolatility: 26.26%
altIV: 26.26%
altDelta: 0.0964
altGamma: 0.0019
altTTE: 0.002723
premiumPerContract: $399.35
payoffUtility: $275
premiumCapture: 68.68%
annualizedPremiumPerContract: $100800
unleveragedAnnualizedYield: 15.17%
leveragedAnnualizedYield: 83.18%
marginRequirementPerContract: $121184
leverageFactor: 5.6
sharpe: 1.57