Expiration: 2025-12-19
--
BuyPutStrike: 5970
SellPutStrike: 6680
SellCallStrike: 6835
BuyCallStrike: 7005
--
PutTrailingStop: 17.90
CallTrailingStop: 8.10

***PUT SIDE***
currentDate: 2025-12-18
expires: 2025-12-19
underlyingPrice: 6783.85
VIX: 17.68
riskFreeReturn: 3.52%
spreadRequirement: $71000
-->spreadLowerStrikePrice: 5970
-->strikePrice: 6680
-->trailingStopPrice: 17.90
bidPrice: 2.2
askPrice: 2.3
pctOTM: 1.53%
delta: -0.0613
gamma: 0.0018
theoreticalPrice: 1.82
origDelta: -0.0718
origGamma: 0.0019
maxLossIfStoppedOut: 1856.73
ivToVIXRatio: 0.9483
impliedVolatility: 16.77%
origImpliedVolatility: 20.18%
premiumPerContract: $219.35
payoffUtility: $179
premiumCapture: 81.43%
annualizedPremiumPerContract: $55440
unleveragedAnnualizedYield: 8.17%
leveragedAnnualizedYield: 44.17%
marginRequirementPerContract: $125512
leverageFactor: 5.3
sharpe: 1.33

***CALL SIDE***
currentDate: 2025-12-18
expires: 2025-12-19
underlyingPrice: 6783.85
VIX: 17.68
riskFreeReturn: 3.52%
spreadRequirement: $17000
-->spreadLowerStrikePrice: 7005
-->strikePrice: 6835
-->trailingStopPrice: 8.10
bidPrice: 4.6
askPrice: 4.8
pctOTM: 0.75%
delta: 0.1574
gamma: 0.0048
theoreticalPrice: 4.08
origDelta: 0.1703
origGamma: 0.0048
maxLossIfStoppedOut: 882.15
ivToVIXRatio: 0.6868
impliedVolatility: 12.14%
origImpliedVolatility: 14.69%
premiumPerContract: $459.35
payoffUtility: $356
premiumCapture: 77.31%
annualizedPremiumPerContract: $115920
unleveragedAnnualizedYield: 17.09%
leveragedAnnualizedYield: 88.47%
marginRequirementPerContract: $131022
leverageFactor: 5.2
sharpe: 1.09