Expiration: 2026-01-07
--
BuyPutStrike: 6650
SellPutStrike: 6845
SellCallStrike: 6995
BuyCallStrike: 7025
--
PutTrailingStop: 15.70
CallTrailingStop: 7.20

***PUT SIDE***
currentDate: 2026-01-06
expires: 2026-01-07
underlyingPrice: 6945.56
VIX: 15.21
riskFreeReturn: 3.52%
spreadRequirement: $19500
-->spreadLowerStrikePrice: 6650
-->strikePrice: 6845
-->trailingStopPrice: 15.70
bidPrice: 0.35
askPrice: 0.45
pctOTM: 1.45%
delta: -0.0390
gamma: 0.0015
theoreticalPrice: 0.91
origDelta: -0.0220
origGamma: 0.0010
maxLossIfStoppedOut: 1643.76
ivToVIXRatio: 0.9150
impliedVolatility: 13.92%
origImpliedVolatility: 13.92%
premiumPerContract: $34.35
payoffUtility: $18
premiumCapture: 52.24%
annualizedPremiumPerContract: $8820
unleveragedAnnualizedYield: 1.27%
leveragedAnnualizedYield: 6.84%
marginRequirementPerContract: $128890
leverageFactor: 5.3
sharpe: 0.33

***CALL SIDE***
currentDate: 2026-01-06
expires: 2026-01-07
underlyingPrice: 6945.56
VIX: 15.21
riskFreeReturn: 3.52%
spreadRequirement: $3000
-->spreadLowerStrikePrice: 7025
-->strikePrice: 6995
-->trailingStopPrice: 7.20
bidPrice: 0.25
askPrice: 0.35
pctOTM: 0.71%
delta: 0.0509
gamma: 0.0035
theoreticalPrice: 0.63
origDelta: 0.0311
origGamma: 0.0027
maxLossIfStoppedOut: 785.34
ivToVIXRatio: 0.4648
impliedVolatility: 7.07%
origImpliedVolatility: 7.07%
premiumPerContract: $24.35
payoffUtility: $15
premiumCapture: 58.52%
annualizedPremiumPerContract: $6300
unleveragedAnnualizedYield: 0.91%
leveragedAnnualizedYield: 4.70%
marginRequirementPerContract: $133992
leverageFactor: 5.2
sharpe: 0.18