Expiration: 2025-12-01
--
BuyPutStrike: 6330
SellPutStrike: 6705
SellCallStrike: 6895
BuyCallStrike: 7030
--
PutTrailingStop: 27.50
CallTrailingStop: 7.60

***PUT SIDE***
currentDate: 2025-11-28
expires: 2025-12-01
underlyingPrice: 6834.16
VIX: 16.52
riskFreeReturn: 3.75%
spreadRequirement: $37500
-->spreadLowerStrikePrice: 6330
-->strikePrice: 6705
-->trailingStopPrice: 27.50
bidPrice: 0.75
askPrice: 0.85
pctOTM: 1.89%
delta: -0.0650
gamma: 0.0014
theoreticalPrice: 0.80
origDelta: -0.0302
origGamma: 0.0010
maxLossIfStoppedOut: 2752.17
ivToVIXRatio: 0.9779
impliedVolatility: 16.16%
origImpliedVolatility: 11.14%
premiumPerContract: $74.35
payoffUtility: $25
premiumCapture: 33.92%
annualizedPremiumPerContract: $18900
unleveragedAnnualizedYield: 2.77%
leveragedAnnualizedYield: 15.26%
marginRequirementPerContract: $123842
leverageFactor: 5.4
sharpe: 0.43

***CALL SIDE***
currentDate: 2025-11-28
expires: 2025-12-01
underlyingPrice: 6834.16
VIX: 16.52
riskFreeReturn: 3.75%
spreadRequirement: $13500
-->spreadLowerStrikePrice: 7030
-->strikePrice: 6895
-->trailingStopPrice: 7.60
bidPrice: 1.2
askPrice: 1.35
pctOTM: 0.89%
delta: 0.1236
gamma: 0.0040
theoreticalPrice: 1.28
origDelta: 0.0736
origGamma: 0.0035
maxLossIfStoppedOut: 764.49
ivToVIXRatio: 0.5674
impliedVolatility: 9.37%
origImpliedVolatility: 6.30%
premiumPerContract: $119.35
payoffUtility: $82
premiumCapture: 67.96%
annualizedPremiumPerContract: $30240
unleveragedAnnualizedYield: 4.42%
leveragedAnnualizedYield: 23.13%
marginRequirementPerContract: $130719
leverageFactor: 5.3
sharpe: 0.36