Expiration: 2026-01-06
--
BuyPutStrike: 6655
SellPutStrike: 6800
SellCallStrike: 6950
BuyCallStrike: 6985
--
PutTrailingStop: 15.70
CallTrailingStop: 7.10

***PUT SIDE***
currentDate: 2026-01-05
expires: 2026-01-06
underlyingPrice: 6900.68
VIX: 15.27
riskFreeReturn: 3.52%
spreadRequirement: $14500
-->spreadLowerStrikePrice: 6655
-->strikePrice: 6800
-->trailingStopPrice: 15.70
bidPrice: 0.35
askPrice: 0.4
pctOTM: 1.46%
delta: -0.0363
gamma: 0.0014
theoreticalPrice: 0.83
origDelta: -0.0211
origGamma: 0.0010
maxLossIfStoppedOut: 1639.76
ivToVIXRatio: 0.9021
impliedVolatility: 13.78%
origImpliedVolatility: 13.78%
premiumPerContract: $34.35
payoffUtility: $19
premiumCapture: 55.64%
annualizedPremiumPerContract: $8820
unleveragedAnnualizedYield: 1.28%
leveragedAnnualizedYield: 6.89%
marginRequirementPerContract: $127981
leverageFactor: 5.3
sharpe: 0.35

***CALL SIDE***
currentDate: 2026-01-05
expires: 2026-01-06
underlyingPrice: 6900.68
VIX: 15.27
riskFreeReturn: 3.52%
spreadRequirement: $3500
-->spreadLowerStrikePrice: 6985
-->strikePrice: 6950
-->trailingStopPrice: 7.10
bidPrice: 0.5
askPrice: 0.55
pctOTM: 0.71%
delta: 0.0743
gamma: 0.0042
theoreticalPrice: 1.11
origDelta: 0.0471
origGamma: 0.0034
maxLossIfStoppedOut: 783.53
ivToVIXRatio: 0.5269
impliedVolatility: 8.05%
origImpliedVolatility: 8.05%
premiumPerContract: $49.35
payoffUtility: $33
premiumCapture: 66.05%
annualizedPremiumPerContract: $12600
unleveragedAnnualizedYield: 1.83%
leveragedAnnualizedYield: 9.46%
marginRequirementPerContract: $133132
leverageFactor: 5.2
sharpe: 0.25