Expiration: 2025-11-26
--
BuyPutStrike: 6255
SellPutStrike: 6655
SellCallStrike: 6840
BuyCallStrike: 6935
--
PutTrailingStop: 35.60
CallTrailingStop: 28.90

***PUT SIDE***
currentDate: 2025-11-25
expires: 2025-11-26
underlyingPrice: 6771.12
VIX: 18.51
riskFreeReturn: 3.73%
spreadRequirement: $40000
-->spreadLowerStrikePrice: 6255
-->strikePrice: 6655
-->trailingStopPrice: 35.60
bidPrice: 1.2
askPrice: 1.25
pctOTM: 1.71%
delta: -0.0432
gamma: 0.0013
theoreticalPrice: 1.22
origDelta: -0.0449
origGamma: 0.0014
maxLossIfStoppedOut: 3564.47
otmLimit: 2.45%
ivToVIXRatio: 0.9169
impliedVolatility: 16.97%
origImpliedVolatility: 19.57%
altIV: 19.57%
altDelta: -0.0433
altGamma: 0.0013
altTTE: 0.002708
premiumPerContract: $119.35
payoffUtility: $76
premiumCapture: 63.58%
annualizedPremiumPerContract: $30240
unleveragedAnnualizedYield: 4.47%
leveragedAnnualizedYield: 24.40%
marginRequirementPerContract: $123930
leverageFactor: 5.4
sharpe: 1.03

***CALL SIDE***
currentDate: 2025-11-25
expires: 2025-11-26
underlyingPrice: 6771.12
VIX: 18.51
riskFreeReturn: 3.73%
spreadRequirement: $9500
-->spreadLowerStrikePrice: 6935
-->strikePrice: 6840
-->trailingStopPrice: 28.90
bidPrice: 0.65
askPrice: 0.7
pctOTM: 1.02%
delta: 0.0424
gamma: 0.0023
theoreticalPrice: 0.67
origDelta: 0.0435
origGamma: 0.0023
maxLossIfStoppedOut: 2885.52
otmLimit: 2.45%
ivToVIXRatio: 0.5200
impliedVolatility: 9.62%
origImpliedVolatility: 11.05%
altIV: 11.04%
altDelta: 0.0423
altGamma: 0.0023
altTTE: 0.002756
premiumPerContract: $64.35
payoffUtility: $32
premiumCapture: 48.74%
annualizedPremiumPerContract: $16380
unleveragedAnnualizedYield: 2.42%
leveragedAnnualizedYield: 12.74%
marginRequirementPerContract: $128599
leverageFactor: 5.3
sharpe: 0.57