Expiration: 2026-01-05
--
BuyPutStrike: 6380
SellPutStrike: 6750
SellCallStrike: 6900
BuyCallStrike: 6980
--
PutTrailingStop: 15.70
CallTrailingStop: 7.20

***PUT SIDE***
currentDate: 2026-01-02
expires: 2026-01-05
underlyingPrice: 6850.47
VIX: 15.42
riskFreeReturn: 3.53%
spreadRequirement: $37000
-->spreadLowerStrikePrice: 6380
-->strikePrice: 6750
-->trailingStopPrice: 15.70
bidPrice: 0.5
askPrice: 0.6
pctOTM: 1.47%
delta: -0.0097
gamma: 0.0006
theoreticalPrice: 0.14
origDelta: -0.0264
origGamma: 0.0011
maxLossIfStoppedOut: 1643.64
ivToVIXRatio: 0.5644
impliedVolatility: 8.70%
origImpliedVolatility: 8.70%
premiumPerContract: $49.35
payoffUtility: $46
premiumCapture: 91.41%
annualizedPremiumPerContract: $12600
unleveragedAnnualizedYield: 1.84%
leveragedAnnualizedYield: 9.92%
marginRequirementPerContract: $127012
leverageFactor: 5.3
sharpe: 1.90

***CALL SIDE***
currentDate: 2026-01-02
expires: 2026-01-05
underlyingPrice: 6850.47
VIX: 15.42
riskFreeReturn: 3.53%
spreadRequirement: $8000
-->spreadLowerStrikePrice: 6980
-->strikePrice: 6900
-->trailingStopPrice: 7.20
bidPrice: 1.65
askPrice: 1.75
pctOTM: 0.72%
delta: 0.0512
gamma: 0.0036
theoreticalPrice: 0.63
origDelta: 0.1061
origGamma: 0.0050
maxLossIfStoppedOut: 785.29
ivToVIXRatio: 0.3776
impliedVolatility: 5.82%
origImpliedVolatility: 5.82%
premiumPerContract: $164.35
payoffUtility: $147
premiumCapture: 89.33%
annualizedPremiumPerContract: $41580
unleveragedAnnualizedYield: 6.07%
leveragedAnnualizedYield: 31.45%
marginRequirementPerContract: $132221
leverageFactor: 5.2
sharpe: 1.19