Expiration: 2025-12-17
--
BuyPutStrike: 6280
SellPutStrike: 6690
SellCallStrike: 6865
BuyCallStrike: 6935
--
PutTrailingStop: 24.30
CallTrailingStop: 8.10

***PUT SIDE***
currentDate: 2025-12-16
expires: 2025-12-17
underlyingPrice: 6806.55
VIX: 17.61
riskFreeReturn: 3.55%
spreadRequirement: $41000
-->spreadLowerStrikePrice: 6280
-->strikePrice: 6690
-->trailingStopPrice: 24.30
bidPrice: 0.6
askPrice: 0.7
pctOTM: 1.71%
delta: -0.0274
gamma: 0.0010
theoreticalPrice: 0.65
origDelta: -0.0275
origGamma: 0.0010
maxLossIfStoppedOut: 2504.93
ivToVIXRatio: 0.8550
impliedVolatility: 15.06%
origImpliedVolatility: 17.19%
premiumPerContract: $59.35
payoffUtility: $42
premiumCapture: 69.46%
annualizedPremiumPerContract: $15120
unleveragedAnnualizedYield: 2.22%
leveragedAnnualizedYield: 12.14%
marginRequirementPerContract: $124536
leverageFactor: 5.4
sharpe: 0.81

***CALL SIDE***
currentDate: 2025-12-16
expires: 2025-12-17
underlyingPrice: 6806.55
VIX: 17.61
riskFreeReturn: 3.55%
spreadRequirement: $7000
-->spreadLowerStrikePrice: 6935
-->strikePrice: 6865
-->trailingStopPrice: 8.10
bidPrice: 1.5
askPrice: 1.6
pctOTM: 0.86%
delta: 0.0827
gamma: 0.0037
theoreticalPrice: 1.55
origDelta: 0.0839
origGamma: 0.0037
maxLossIfStoppedOut: 881.64
ivToVIXRatio: 0.5704
impliedVolatility: 10.04%
origImpliedVolatility: 11.58%
premiumPerContract: $149.35
payoffUtility: $121
premiumCapture: 80.54%
annualizedPremiumPerContract: $37800
unleveragedAnnualizedYield: 5.55%
leveragedAnnualizedYield: 28.98%
marginRequirementPerContract: $130436
leverageFactor: 5.3
sharpe: 0.67