Expiration: 2026-01-02
--
BuyPutStrike: 6225
SellPutStrike: 6760
SellCallStrike: 6905
BuyCallStrike: 7020
--
PutTrailingStop: 15.40
CallTrailingStop: 7.00

***PUT SIDE***
currentDate: 2025-12-31
expires: 2026-01-02
underlyingPrice: 6856.66
VIX: 15.08
riskFreeReturn: 3.54%
spreadRequirement: $53500
-->spreadLowerStrikePrice: 6225
-->strikePrice: 6760
-->trailingStopPrice: 15.40
bidPrice: 0.95
askPrice: 1.05
pctOTM: 1.41%
delta: -0.0418
gamma: 0.0016
theoreticalPrice: 0.97
origDelta: -0.0439
origGamma: 0.0016
maxLossIfStoppedOut: 1610.33
ivToVIXRatio: 0.7426
impliedVolatility: 11.20%
origImpliedVolatility: 11.20%
premiumPerContract: $94.35
payoffUtility: $75
premiumCapture: 78.86%
annualizedPremiumPerContract: $23940
unleveragedAnnualizedYield: 3.49%
leveragedAnnualizedYield: 18.77%
marginRequirementPerContract: $127562
leverageFactor: 5.3
sharpe: 0.83

***CALL SIDE***
currentDate: 2025-12-31
expires: 2026-01-02
underlyingPrice: 6856.66
VIX: 15.08
riskFreeReturn: 3.54%
spreadRequirement: $11500
-->spreadLowerStrikePrice: 7020
-->strikePrice: 6905
-->trailingStopPrice: 7.00
bidPrice: 2.5
askPrice: 2.6
pctOTM: 0.71%
delta: 0.1309
gamma: 0.0051
theoreticalPrice: 2.73
origDelta: 0.1276
origGamma: 0.0050
maxLossIfStoppedOut: 770.15
ivToVIXRatio: 0.5405
impliedVolatility: 8.15%
origImpliedVolatility: 8.15%
premiumPerContract: $249.35
payoffUtility: $194
premiumCapture: 77.74%
annualizedPremiumPerContract: $63000
unleveragedAnnualizedYield: 9.19%
leveragedAnnualizedYield: 47.53%
marginRequirementPerContract: $132549
leverageFactor: 5.2
sharpe: 0.70