Expiration: 2025-12-18
--
BuyPutStrike: 5900
SellPutStrike: 6630
SellCallStrike: 6780
BuyCallStrike: 7055
--
PutTrailingStop: 17.70
CallTrailingStop: 8.00

***PUT SIDE***
currentDate: 2025-12-17
expires: 2025-12-18
underlyingPrice: 6731.43
VIX: 17.66
riskFreeReturn: 3.54%
spreadRequirement: $73000
-->spreadLowerStrikePrice: 5900
-->strikePrice: 6630
-->trailingStopPrice: 17.70
bidPrice: 2.95
askPrice: 3.1
pctOTM: 1.51%
delta: -0.0767
gamma: 0.0020
theoreticalPrice: 2.51
origDelta: -0.0899
origGamma: 0.0021
maxLossIfStoppedOut: 1840.92
ivToVIXRatio: 1.0098
impliedVolatility: 17.83%
origImpliedVolatility: 21.70%
premiumPerContract: $294.35
payoffUtility: $238
premiumCapture: 80.83%
annualizedPremiumPerContract: $74340
unleveragedAnnualizedYield: 11.04%
leveragedAnnualizedYield: 59.58%
marginRequirementPerContract: $124781
leverageFactor: 5.3
sharpe: 1.44

***CALL SIDE***
currentDate: 2025-12-17
expires: 2025-12-18
underlyingPrice: 6731.43
VIX: 17.66
riskFreeReturn: 3.54%
spreadRequirement: $27500
-->spreadLowerStrikePrice: 7055
-->strikePrice: 6780
-->trailingStopPrice: 8.00
bidPrice: 8
askPrice: 8.2
pctOTM: 0.72%
delta: 0.2141
gamma: 0.0049
theoreticalPrice: 7.24
origDelta: 0.2333
origGamma: 0.0049
maxLossIfStoppedOut: 874.96
ivToVIXRatio: 0.8314
impliedVolatility: 14.68%
origImpliedVolatility: 17.73%
premiumPerContract: $799.35
payoffUtility: $586
premiumCapture: 73.20%
annualizedPremiumPerContract: $201600
unleveragedAnnualizedYield: 29.95%
leveragedAnnualizedYield: 154.40%
marginRequirementPerContract: $130572
leverageFactor: 5.2
sharpe: 1.40