Expiration: 2025-11-21
--
BuyPutStrike: 4700
SellPutStrike: 6340
SellCallStrike: 6660
BuyCallStrike: 6895
--
PutTrailingStop: 49.10
CallTrailingStop: 39.70

***PUT SIDE***
currentDate: 2025-11-20
expires: 2025-11-21
underlyingPrice: 6538.76
VIX: 26.40
riskFreeReturn: 3.77%
spreadRequirement: $164000
-->spreadLowerStrikePrice: 4700
-->strikePrice: 6340
-->trailingStopPrice: 49.10
bidPrice: 4.1
askPrice: 4.3
pctOTM: 3.04%
delta: -0.0687
gamma: 0.0010
theoreticalPrice: 4.20
origDelta: -0.0710
origGamma: 0.0010
maxLossIfStoppedOut: 4909.38
otmLimit: 3.48%
ivToVIXRatio: 1.3278
impliedVolatility: 35.05%
origImpliedVolatility: 40.22%
altIV: 40.23%
altDelta: -0.0688
altGamma: 0.0010
altTTE: 0.002727
premiumPerContract: $409.35
payoffUtility: $297
premiumCapture: 72.55%
annualizedPremiumPerContract: $103320
unleveragedAnnualizedYield: 15.80%
leveragedAnnualizedYield: 92.82%
marginRequirementPerContract: $111309
leverageFactor: 5.7
sharpe: 2.30

***CALL SIDE***
currentDate: 2025-11-20
expires: 2025-11-21
underlyingPrice: 6538.76
VIX: 26.40
riskFreeReturn: 3.77%
spreadRequirement: $23500
-->spreadLowerStrikePrice: 6895
-->strikePrice: 6660
-->trailingStopPrice: 39.70
bidPrice: 3.8
askPrice: 4
pctOTM: 1.85%
delta: 0.0934
gamma: 0.0019
theoreticalPrice: 3.90
origDelta: 0.0942
origGamma: 0.0018
maxLossIfStoppedOut: 3974.26
otmLimit: 3.48%
ivToVIXRatio: 0.8680
impliedVolatility: 22.91%
origImpliedVolatility: 26.65%
altIV: 26.65%
altDelta: 0.0933
altGamma: 0.0019
altTTE: 0.002667
premiumPerContract: $379.35
payoffUtility: $252
premiumCapture: 66.23%
annualizedPremiumPerContract: $95760
unleveragedAnnualizedYield: 14.64%
leveragedAnnualizedYield: 80.45%
marginRequirementPerContract: $119031
leverageFactor: 5.6
sharpe: 1.57