Expiration: 2026-01-09
--
BuyPutStrike: 6190
SellPutStrike: 6825
SellCallStrike: 6975
BuyCallStrike: 7080
--
PutTrailingStop: 16.30
CallTrailingStop: 7.40

***PUT SIDE***
currentDate: 2026-01-08
expires: 2026-01-09
underlyingPrice: 6922.45
VIX: 15.85
riskFreeReturn: 3.52%
spreadRequirement: $63500
-->spreadLowerStrikePrice: 6190
-->strikePrice: 6825
-->trailingStopPrice: 16.30
bidPrice: 2.3
askPrice: 2.45
pctOTM: 1.41%
delta: -0.0760
gamma: 0.0021
theoreticalPrice: 2.37
origDelta: -0.0776
origGamma: 0.0021
maxLossIfStoppedOut: 1704.52
ivToVIXRatio: 1.0505
impliedVolatility: 16.65%
origImpliedVolatility: 19.09%
premiumPerContract: $229.35
payoffUtility: $181
premiumCapture: 78.91%
annualizedPremiumPerContract: $57960
unleveragedAnnualizedYield: 8.37%
leveragedAnnualizedYield: 44.95%
marginRequirementPerContract: $128934
leverageFactor: 5.3
sharpe: 1.10

***CALL SIDE***
currentDate: 2026-01-08
expires: 2026-01-09
underlyingPrice: 6922.45
VIX: 15.85
riskFreeReturn: 3.52%
spreadRequirement: $10500
-->spreadLowerStrikePrice: 7080
-->strikePrice: 6975
-->trailingStopPrice: 7.40
bidPrice: 3.4
askPrice: 3.5
pctOTM: 0.76%
delta: 0.1416
gamma: 0.0047
theoreticalPrice: 3.45
origDelta: 0.1411
origGamma: 0.0046
maxLossIfStoppedOut: 812.96
ivToVIXRatio: 0.7242
impliedVolatility: 11.48%
origImpliedVolatility: 13.21%
premiumPerContract: $339.35
payoffUtility: $266
premiumCapture: 78.10%
annualizedPremiumPerContract: $85680
unleveragedAnnualizedYield: 12.38%
leveragedAnnualizedYield: 64.16%
marginRequirementPerContract: $133534
leverageFactor: 5.2
sharpe: 0.87