Expiration: 2025-11-25
--
BuyPutStrike: 6060
SellPutStrike: 6580
SellCallStrike: 6775
BuyCallStrike: 6855
--
PutTrailingStop: 39.40
CallTrailingStop: 31.90

***PUT SIDE***
currentDate: 2025-11-24
expires: 2025-11-25
underlyingPrice: 6701.76
VIX: 20.66
riskFreeReturn: 3.73%
spreadRequirement: $52000
-->spreadLowerStrikePrice: 6060
-->strikePrice: 6580
-->trailingStopPrice: 39.40
bidPrice: 2.35
askPrice: 2.45
pctOTM: 1.82%
delta: -0.0660
gamma: 0.0016
theoreticalPrice: 2.40
origDelta: -0.0659
origGamma: 0.0015
maxLossIfStoppedOut: 3937.74
otmLimit: 2.74%
ivToVIXRatio: 0.9876
impliedVolatility: 20.40%
origImpliedVolatility: 23.33%
altIV: 23.33%
altDelta: -0.0662
altGamma: 0.0016
altTTE: 0.002781
premiumPerContract: $234.35
payoffUtility: $154
premiumCapture: 65.73%
annualizedPremiumPerContract: $59220
unleveragedAnnualizedYield: 8.84%
leveragedAnnualizedYield: 48.50%
marginRequirementPerContract: $122094
leverageFactor: 5.4
sharpe: 1.34

***CALL SIDE***
currentDate: 2025-11-24
expires: 2025-11-25
underlyingPrice: 6701.76
VIX: 20.66
riskFreeReturn: 3.73%
spreadRequirement: $8000
-->spreadLowerStrikePrice: 6855
-->strikePrice: 6775
-->trailingStopPrice: 31.90
bidPrice: 1.05
askPrice: 1.15
pctOTM: 1.09%
delta: 0.0569
gamma: 0.0025
theoreticalPrice: 1.10
origDelta: 0.0582
origGamma: 0.0026
maxLossIfStoppedOut: 3187.69
otmLimit: 2.74%
ivToVIXRatio: 0.5430
impliedVolatility: 11.22%
origImpliedVolatility: 12.90%
altIV: 12.90%
altDelta: 0.0568
altGamma: 0.0025
altTTE: 0.002770
premiumPerContract: $104.35
payoffUtility: $54
premiumCapture: 51.15%
annualizedPremiumPerContract: $26460
unleveragedAnnualizedYield: 3.95%
leveragedAnnualizedYield: 20.86%
marginRequirementPerContract: $126816
leverageFactor: 5.3
sharpe: 0.69