Expiration: 2025-12-24
--
BuyPutStrike: 6585
SellPutStrike: 6805
SellCallStrike: 6960
BuyCallStrike: 6965
--
PutTrailingStop: 14.90
CallTrailingStop: 6.80

***PUT SIDE***
currentDate: 2025-12-23
expires: 2025-12-24
underlyingPrice: 6902.13
VIX: 14.45
riskFreeReturn: 3.53%
spreadRequirement: $22000
-->spreadLowerStrikePrice: 6585
-->strikePrice: 6805
-->trailingStopPrice: 14.90
bidPrice: 0.3
askPrice: 0.35
pctOTM: 1.41%
delta: -0.0228
gamma: 0.0011
theoreticalPrice: 0.42
origDelta: -0.0195
origGamma: 0.0010
maxLossIfStoppedOut: 1555.77
ivToVIXRatio: 0.7537
impliedVolatility: 10.89%
origImpliedVolatility: 13.21%
premiumPerContract: $29.35
payoffUtility: $21
premiumCapture: 69.51%
annualizedPremiumPerContract: $7560
unleveragedAnnualizedYield: 1.10%
leveragedAnnualizedYield: 5.89%
marginRequirementPerContract: $128360
leverageFactor: 5.3
sharpe: 0.48

***CALL SIDE***
currentDate: 2025-12-23
expires: 2025-12-24
underlyingPrice: 6902.13
VIX: 14.45
riskFreeReturn: 3.53%
spreadRequirement: $500
-->spreadLowerStrikePrice: 6965
-->strikePrice: 6960
-->trailingStopPrice: 6.80
bidPrice: 0.05
askPrice: 0.1
pctOTM: 0.84%
delta: 0.0121
gamma: 0.0013
theoreticalPrice: 0.10
origDelta: 0.0096
origGamma: 0.0010
maxLossIfStoppedOut: 745.35
ivToVIXRatio: 0.3815
impliedVolatility: 5.51%
origImpliedVolatility: 6.79%
premiumPerContract: $4.35
payoffUtility: $3
premiumCapture: 57.95%
annualizedPremiumPerContract: $1260
unleveragedAnnualizedYield: 0.18%
leveragedAnnualizedYield: 0.95%
marginRequirementPerContract: $132261
leverageFactor: 5.3
sharpe: 0.15