Expiration: 2025-11-28
--
BuyPutStrike: 6205
SellPutStrike: 6695
SellCallStrike: 6875
BuyCallStrike: 7025
--
PutTrailingStop: 28.50
CallTrailingStop: 7.90

***PUT SIDE***
currentDate: 2025-11-26
expires: 2025-11-28
underlyingPrice: 6815.66
VIX: 17.17
riskFreeReturn: 3.75%
spreadRequirement: $49000
-->spreadLowerStrikePrice: 6205
-->strikePrice: 6695
-->trailingStopPrice: 28.50
bidPrice: 0.9
askPrice: 1
pctOTM: 1.77%
delta: -0.0593
gamma: 0.0015
theoreticalPrice: 0.95
origDelta: -0.0361
origGamma: 0.0011
maxLossIfStoppedOut: 2852.72
ivToVIXRatio: 0.9191
impliedVolatility: 15.78%
origImpliedVolatility: 13.95%
premiumPerContract: $89.35
payoffUtility: $42
premiumCapture: 47.10%
annualizedPremiumPerContract: $22680
unleveragedAnnualizedYield: 3.33%
leveragedAnnualizedYield: 18.24%
marginRequirementPerContract: $124337
leverageFactor: 5.4
sharpe: 0.56

***CALL SIDE***
currentDate: 2025-11-26
expires: 2025-11-28
underlyingPrice: 6815.66
VIX: 17.17
riskFreeReturn: 3.75%
spreadRequirement: $15000
-->spreadLowerStrikePrice: 7025
-->strikePrice: 6875
-->trailingStopPrice: 7.90
bidPrice: 1
askPrice: 1.1
pctOTM: 0.87%
delta: 0.0966
gamma: 0.0039
theoreticalPrice: 1.05
origDelta: 0.0650
origGamma: 0.0033
maxLossIfStoppedOut: 792.42
ivToVIXRatio: 0.5134
impliedVolatility: 8.82%
origImpliedVolatility: 7.77%
premiumPerContract: $99.35
payoffUtility: $71
premiumCapture: 71.21%
annualizedPremiumPerContract: $25200
unleveragedAnnualizedYield: 3.70%
leveragedAnnualizedYield: 19.31%
marginRequirementPerContract: $130479
leverageFactor: 5.3
sharpe: 0.38