Expiration: 2026-01-08
--
BuyPutStrike: 6545
SellPutStrike: 6820
SellCallStrike: 6970
BuyCallStrike: 7010
--
PutTrailingStop: 16.00
CallTrailingStop: 7.30

***PUT SIDE***
currentDate: 2026-01-07
expires: 2026-01-08
underlyingPrice: 6920.98
VIX: 15.48
riskFreeReturn: 3.52%
spreadRequirement: $27500
-->spreadLowerStrikePrice: 6545
-->strikePrice: 6820
-->trailingStopPrice: 16.00
bidPrice: 0.5
askPrice: 0.6
pctOTM: 1.46%
delta: -0.0269
gamma: 0.0012
theoreticalPrice: 0.55
origDelta: -0.0277
origGamma: 0.0012
maxLossIfStoppedOut: 1666.02
ivToVIXRatio: 0.8287
impliedVolatility: 12.83%
origImpliedVolatility: 14.81%
premiumPerContract: $49.35
payoffUtility: $38
premiumCapture: 75.83%
annualizedPremiumPerContract: $12600
unleveragedAnnualizedYield: 1.82%
leveragedAnnualizedYield: 9.82%
marginRequirementPerContract: $128372
leverageFactor: 5.3
sharpe: 0.68

***CALL SIDE***
currentDate: 2026-01-07
expires: 2026-01-08
underlyingPrice: 6920.98
VIX: 15.48
riskFreeReturn: 3.52%
spreadRequirement: $4000
-->spreadLowerStrikePrice: 7010
-->strikePrice: 6970
-->trailingStopPrice: 7.30
bidPrice: 0.8
askPrice: 0.85
pctOTM: 0.71%
delta: 0.0615
gamma: 0.0039
theoreticalPrice: 0.82
origDelta: 0.0619
origGamma: 0.0040
maxLossIfStoppedOut: 795.47
ivToVIXRatio: 0.4828
impliedVolatility: 7.47%
origImpliedVolatility: 8.45%
premiumPerContract: $79.35
payoffUtility: $64
premiumCapture: 79.90%
annualizedPremiumPerContract: $20160
unleveragedAnnualizedYield: 2.91%
leveragedAnnualizedYield: 15.09%
marginRequirementPerContract: $133598
leverageFactor: 5.2
sharpe: 0.47