Expiration: 2025-12-16
--
BuyPutStrike: 5650
SellPutStrike: 6730
SellCallStrike: 6885
BuyCallStrike: 7275
--
PutTrailingStop: 18.20
CallTrailingStop: 8.30

***PUT SIDE***
currentDate: 2025-12-15
expires: 2025-12-16
underlyingPrice: 6827.41
VIX: 17.85
riskFreeReturn: 3.52%
spreadRequirement: $108000
-->spreadLowerStrikePrice: 5650
-->strikePrice: 6730
-->trailingStopPrice: 18.20
bidPrice: 6.1
askPrice: 6.4
pctOTM: 1.43%
delta: -0.1356
gamma: 0.0024
theoreticalPrice: 6.25
origDelta: -0.1320
origGamma: 0.0023
maxLossIfStoppedOut: 1885.50
ivToVIXRatio: 1.2089
impliedVolatility: 21.58%
origImpliedVolatility: 13.06%
premiumPerContract: $609.35
payoffUtility: $466
premiumCapture: 76.35%
annualizedPremiumPerContract: $153720
unleveragedAnnualizedYield: 22.52%
leveragedAnnualizedYield: 120.64%
marginRequirementPerContract: $127417
leverageFactor: 5.3
sharpe: 1.66

***CALL SIDE***
currentDate: 2025-12-15
expires: 2025-12-16
underlyingPrice: 6827.41
VIX: 17.85
riskFreeReturn: 3.52%
spreadRequirement: $39000
-->spreadLowerStrikePrice: 7275
-->strikePrice: 6885
-->trailingStopPrice: 8.30
bidPrice: 7.3
askPrice: 7.6
pctOTM: 0.84%
delta: 0.2005
gamma: 0.0042
theoreticalPrice: 7.45
origDelta: 0.2094
origGamma: 0.0045
maxLossIfStoppedOut: 895.23
ivToVIXRatio: 0.8922
impliedVolatility: 15.93%
origImpliedVolatility: 9.03%
premiumPerContract: $729.35
payoffUtility: $542
premiumCapture: 74.28%
annualizedPremiumPerContract: $183960
unleveragedAnnualizedYield: 26.94%
leveragedAnnualizedYield: 139.87%
marginRequirementPerContract: $131519
leverageFactor: 5.2
sharpe: 1.34