Expiration: 2025-12-08
--
BuyPutStrike: 6425
SellPutStrike: 6760
SellCallStrike: 6920
BuyCallStrike: 6970
--
PutTrailingStop: 15.80
CallTrailingStop: 7.20

***PUT SIDE***
currentDate: 2025-12-05
expires: 2025-12-08
underlyingPrice: 6864.36
VIX: 15.43
riskFreeReturn: 3.60%
spreadRequirement: $33500
-->spreadLowerStrikePrice: 6425
-->strikePrice: 6760
-->trailingStopPrice: 15.80
bidPrice: 0.75
askPrice: 0.85
pctOTM: 1.52%
delta: -0.0583
gamma: 0.0013
theoreticalPrice: 0.80
origDelta: -0.0350
origGamma: 0.0013
maxLossIfStoppedOut: 1647.85
ivToVIXRatio: 0.8734
impliedVolatility: 13.48%
origImpliedVolatility: 9.55%
premiumPerContract: $74.35
payoffUtility: $48
premiumCapture: 63.48%
annualizedPremiumPerContract: $18900
unleveragedAnnualizedYield: 2.75%
leveragedAnnualizedYield: 14.89%
marginRequirementPerContract: $126926
leverageFactor: 5.3
sharpe: 0.47

***CALL SIDE***
currentDate: 2025-12-05
expires: 2025-12-08
underlyingPrice: 6864.36
VIX: 15.43
riskFreeReturn: 3.60%
spreadRequirement: $5000
-->spreadLowerStrikePrice: 6970
-->strikePrice: 6920
-->trailingStopPrice: 7.20
bidPrice: 0.65
askPrice: 0.75
pctOTM: 0.81%
delta: 0.0809
gamma: 0.0031
theoreticalPrice: 0.70
origDelta: 0.0545
origGamma: 0.0034
maxLossIfStoppedOut: 787.21
ivToVIXRatio: 0.4947
impliedVolatility: 7.63%
origImpliedVolatility: 5.22%
premiumPerContract: $64.35
payoffUtility: $45
premiumCapture: 69.60%
annualizedPremiumPerContract: $16380
unleveragedAnnualizedYield: 2.39%
leveragedAnnualizedYield: 12.43%
marginRequirementPerContract: $131788
leverageFactor: 5.3
sharpe: 0.30