Expiration: 2025-12-12
--
BuyPutStrike: 6490
SellPutStrike: 6790
SellCallStrike: 6955
BuyCallStrike: 7045
--
PutTrailingStop: 15.40
CallTrailingStop: 7.00

***PUT SIDE***
currentDate: 2025-12-11
expires: 2025-12-12
underlyingPrice: 6896.82
VIX: 15.02
riskFreeReturn: 3.57%
spreadRequirement: $30000
-->spreadLowerStrikePrice: 6490
-->strikePrice: 6790
-->trailingStopPrice: 15.40
bidPrice: 0.75
askPrice: 0.85
pctOTM: 1.55%
delta: -0.0277
gamma: 0.0013
theoreticalPrice: 0.80
origDelta: -0.0350
origGamma: 0.0013
maxLossIfStoppedOut: 1613.19
ivToVIXRatio: 0.9105
impliedVolatility: 13.68%
origImpliedVolatility: 16.47%
premiumPerContract: $74.35
payoffUtility: $62
premiumCapture: 82.98%
annualizedPremiumPerContract: $18900
unleveragedAnnualizedYield: 2.74%
leveragedAnnualizedYield: 14.84%
marginRequirementPerContract: $127329
leverageFactor: 5.3
sharpe: 0.99

***CALL SIDE***
currentDate: 2025-12-11
expires: 2025-12-12
underlyingPrice: 6896.82
VIX: 15.02
riskFreeReturn: 3.57%
spreadRequirement: $9000
-->spreadLowerStrikePrice: 7045
-->strikePrice: 6955
-->trailingStopPrice: 7.00
bidPrice: 1.1
askPrice: 1.2
pctOTM: 0.84%
delta: 0.0588
gamma: 0.0035
theoreticalPrice: 1.15
origDelta: 0.0695
origGamma: 0.0034
maxLossIfStoppedOut: 771.45
ivToVIXRatio: 0.5834
impliedVolatility: 8.76%
origImpliedVolatility: 10.63%
premiumPerContract: $109.35
payoffUtility: $93
premiumCapture: 84.75%
annualizedPremiumPerContract: $27720
unleveragedAnnualizedYield: 4.02%
leveragedAnnualizedYield: 20.96%
marginRequirementPerContract: $132228
leverageFactor: 5.3
sharpe: 0.68