Expiration: 2025-12-09
--
BuyPutStrike: 6425
SellPutStrike: 6735
SellCallStrike: 6895
BuyCallStrike: 6960
--
PutTrailingStop: 17.20
CallTrailingStop: 7.80

***PUT SIDE***
currentDate: 2025-12-08
expires: 2025-12-09
underlyingPrice: 6838.1
VIX: 16.84
riskFreeReturn: 3.62%
spreadRequirement: $31000
-->spreadLowerStrikePrice: 6425
-->strikePrice: 6735
-->trailingStopPrice: 17.20
bidPrice: 0.6
askPrice: 0.7
pctOTM: 1.51%
delta: -0.0245
gamma: 0.0012
theoreticalPrice: 0.65
origDelta: -0.0298
origGamma: 0.0012
maxLossIfStoppedOut: 1785.45
ivToVIXRatio: 0.7672
impliedVolatility: 12.92%
origImpliedVolatility: 15.56%
premiumPerContract: $59.35
payoffUtility: $48
premiumCapture: 80.05%
annualizedPremiumPerContract: $15120
unleveragedAnnualizedYield: 2.21%
leveragedAnnualizedYield: 11.95%
marginRequirementPerContract: $126512
leverageFactor: 5.3
sharpe: 0.90

***CALL SIDE***
currentDate: 2025-12-08
expires: 2025-12-09
underlyingPrice: 6838.1
VIX: 16.84
riskFreeReturn: 3.62%
spreadRequirement: $6500
-->spreadLowerStrikePrice: 6960
-->strikePrice: 6895
-->trailingStopPrice: 7.80
bidPrice: 0.95
askPrice: 1.05
pctOTM: 0.83%
delta: 0.0544
gamma: 0.0034
theoreticalPrice: 1.00
origDelta: 0.0668
origGamma: 0.0035
maxLossIfStoppedOut: 849.75
ivToVIXRatio: 0.4995
impliedVolatility: 8.41%
origImpliedVolatility: 10.24%
premiumPerContract: $94.35
payoffUtility: $79
premiumCapture: 83.40%
annualizedPremiumPerContract: $23940
unleveragedAnnualizedYield: 3.50%
leveragedAnnualizedYield: 18.25%
marginRequirementPerContract: $131167
leverageFactor: 5.3
sharpe: 0.64