Expiration: 2025-11-24
--
BuyPutStrike: 5300
SellPutStrike: 6460
SellCallStrike: 6720
BuyCallStrike: 6885
--
PutTrailingStop: 44.00
CallTrailingStop: 35.60

***PUT SIDE***
currentDate: 2025-11-21
expires: 2025-11-24
underlyingPrice: 6620.94
VIX: 23.37
riskFreeReturn: 3.74%
spreadRequirement: $116000
-->spreadLowerStrikePrice: 5300
-->strikePrice: 6460
-->trailingStopPrice: 44.00
bidPrice: 3.2
askPrice: 3.5
pctOTM: 2.43%
delta: -0.0682
gamma: 0.0012
theoreticalPrice: 3.35
origDelta: -0.0713
origGamma: 0.0012
maxLossIfStoppedOut: 4400.54
otmLimit: 3.79%
ivToVIXRatio: 0.9717
impliedVolatility: 22.71%
origImpliedVolatility: 18.70%
altIV: 26.44%
altDelta: -0.0179
altGamma: 0.0006
altTTE: 0.004000
premiumPerContract: $319.35
payoffUtility: $223
premiumCapture: 69.74%
annualizedPremiumPerContract: $80640
unleveragedAnnualizedYield: 12.18%
leveragedAnnualizedYield: 69.13%
marginRequirementPerContract: $116645
leverageFactor: 5.5
sharpe: 1.79

***CALL SIDE***
currentDate: 2025-11-21
expires: 2025-11-24
underlyingPrice: 6620.94
VIX: 23.37
riskFreeReturn: 3.74%
spreadRequirement: $16500
-->spreadLowerStrikePrice: 6885
-->strikePrice: 6720
-->trailingStopPrice: 35.60
bidPrice: 2.9
askPrice: 3.1
pctOTM: 1.50%
delta: 0.0901
gamma: 0.0023
theoreticalPrice: 3.00
origDelta: 0.0910
origGamma: 0.0023
maxLossIfStoppedOut: 3562.34
otmLimit: 3.79%
ivToVIXRatio: 0.6315
impliedVolatility: 14.76%
origImpliedVolatility: 11.92%
altIV: 17.26%
altDelta: 0.0258
altGamma: 0.0012
altTTE: 0.004000
premiumPerContract: $289.35
payoffUtility: $184
premiumCapture: 63.30%
annualizedPremiumPerContract: $73080
unleveragedAnnualizedYield: 11.04%
leveragedAnnualizedYield: 59.51%
marginRequirementPerContract: $122803
leverageFactor: 5.5
sharpe: 1.22