Expiration: 2026-01-12
--
BuyPutStrike: 6655
SellPutStrike: 6870
SellCallStrike: 7020
BuyCallStrike: 7055
--
PutTrailingStop: 16.40
CallTrailingStop: 7.50

***PUT SIDE***
currentDate: 2026-01-09
expires: 2026-01-12
underlyingPrice: 6969.66
VIX: 15.81
riskFreeReturn: 3.51%
spreadRequirement: $21500
-->spreadLowerStrikePrice: 6655
-->strikePrice: 6870
-->trailingStopPrice: 16.40
bidPrice: 0.6
askPrice: 0.7
pctOTM: 1.43%
delta: -0.0306
gamma: 0.0013
theoreticalPrice: 0.65
origDelta: -0.0336
origGamma: 0.0014
maxLossIfStoppedOut: 1711.51
ivToVIXRatio: 0.6720
impliedVolatility: 10.62%
origImpliedVolatility: 8.65%
premiumPerContract: $59.35
payoffUtility: $46
premiumCapture: 75.98%
annualizedPremiumPerContract: $15120
unleveragedAnnualizedYield: 2.17%
leveragedAnnualizedYield: 11.68%
marginRequirementPerContract: $129487
leverageFactor: 5.3
sharpe: 0.71

***CALL SIDE***
currentDate: 2026-01-09
expires: 2026-01-12
underlyingPrice: 6969.66
VIX: 15.81
riskFreeReturn: 3.51%
spreadRequirement: $3500
-->spreadLowerStrikePrice: 7055
-->strikePrice: 7020
-->trailingStopPrice: 7.50
bidPrice: 0.35
askPrice: 0.45
pctOTM: 0.72%
delta: 0.0369
gamma: 0.0030
theoreticalPrice: 0.40
origDelta: 0.0376
origGamma: 0.0030
maxLossIfStoppedOut: 816.14
ivToVIXRatio: 0.3366
impliedVolatility: 5.32%
origImpliedVolatility: 4.35%
premiumPerContract: $34.35
payoffUtility: $27
premiumCapture: 76.66%
annualizedPremiumPerContract: $8820
unleveragedAnnualizedYield: 1.27%
leveragedAnnualizedYield: 6.56%
marginRequirementPerContract: $134394
leverageFactor: 5.2
sharpe: 0.34