Expiration: 2025-12-23
--
BuyPutStrike: 6570
SellPutStrike: 6780
SellCallStrike: 6930
BuyCallStrike: 6965
--
PutTrailingStop: 15.60
CallTrailingStop: 7.10

***PUT SIDE***
currentDate: 2025-12-22
expires: 2025-12-23
underlyingPrice: 6878.84
VIX: 15.26
riskFreeReturn: 3.53%
spreadRequirement: $21000
-->spreadLowerStrikePrice: 6570
-->strikePrice: 6780
-->trailingStopPrice: 15.60
bidPrice: 0.35
askPrice: 0.45
pctOTM: 1.44%
delta: -0.0167
gamma: 0.0009
theoreticalPrice: 0.28
origDelta: -0.0223
origGamma: 0.0011
maxLossIfStoppedOut: 1633.76
ivToVIXRatio: 0.7502
impliedVolatility: 11.45%
origImpliedVolatility: 13.84%
premiumPerContract: $34.35
payoffUtility: $28
premiumCapture: 79.67%
annualizedPremiumPerContract: $8820
unleveragedAnnualizedYield: 1.28%
leveragedAnnualizedYield: 6.91%
marginRequirementPerContract: $127728
leverageFactor: 5.3
sharpe: 0.77

***CALL SIDE***
currentDate: 2025-12-22
expires: 2025-12-23
underlyingPrice: 6878.84
VIX: 15.26
riskFreeReturn: 3.53%
spreadRequirement: $3500
-->spreadLowerStrikePrice: 6965
-->strikePrice: 6930
-->trailingStopPrice: 7.10
bidPrice: 0.3
askPrice: 0.35
pctOTM: 0.74%
delta: 0.0246
gamma: 0.0023
theoreticalPrice: 0.24
origDelta: 0.0302
origGamma: 0.0026
maxLossIfStoppedOut: 780.80
ivToVIXRatio: 0.4037
impliedVolatility: 6.16%
origImpliedVolatility: 7.37%
premiumPerContract: $29.35
payoffUtility: $25
premiumCapture: 82.96%
annualizedPremiumPerContract: $7560
unleveragedAnnualizedYield: 1.10%
leveragedAnnualizedYield: 5.71%
marginRequirementPerContract: $132491
leverageFactor: 5.2
sharpe: 0.45