Expiration: 2025-12-02
--
BuyPutStrike: 6430
SellPutStrike: 6725
SellCallStrike: 6870
BuyCallStrike: 6940
--
PutTrailingStop: 17.50
CallTrailingStop: 8.00

***PUT SIDE***
currentDate: 2025-12-01
expires: 2025-12-02
underlyingPrice: 6810.86
VIX: 17.27
riskFreeReturn: 3.70%
spreadRequirement: $29500
-->spreadLowerStrikePrice: 6430
-->strikePrice: 6725
-->trailingStopPrice: 17.50
bidPrice: 1.8
askPrice: 2.05
pctOTM: 1.26%
delta: -0.0625
gamma: 0.0023
theoreticalPrice: 1.93
origDelta: -0.0685
origGamma: 0.0022
maxLossIfStoppedOut: 1822.25
ivToVIXRatio: 0.8065
impliedVolatility: 13.93%
origImpliedVolatility: 16.81%
premiumPerContract: $179.35
payoffUtility: $141
premiumCapture: 78.54%
annualizedPremiumPerContract: $45360
unleveragedAnnualizedYield: 6.66%
leveragedAnnualizedYield: 35.49%
marginRequirementPerContract: $127811
leverageFactor: 5.3
sharpe: 1.07

***CALL SIDE***
currentDate: 2025-12-01
expires: 2025-12-02
underlyingPrice: 6810.86
VIX: 17.27
riskFreeReturn: 3.70%
spreadRequirement: $7000
-->spreadLowerStrikePrice: 6940
-->strikePrice: 6870
-->trailingStopPrice: 8.00
bidPrice: 1.5
askPrice: 1.65
pctOTM: 0.87%
delta: 0.0723
gamma: 0.0037
theoreticalPrice: 1.57
origDelta: 0.0867
origGamma: 0.0038
maxLossIfStoppedOut: 866.48
ivToVIXRatio: 0.5604
impliedVolatility: 9.68%
origImpliedVolatility: 11.48%
premiumPerContract: $149.35
payoffUtility: $125
premiumCapture: 83.17%
annualizedPremiumPerContract: $37800
unleveragedAnnualizedYield: 5.55%
leveragedAnnualizedYield: 28.98%
marginRequirementPerContract: $130453
leverageFactor: 5.3
sharpe: 0.77