Expiration: 2026-01-13
--
BuyPutStrike: 6595
SellPutStrike: 6880
SellCallStrike: 7030
BuyCallStrike: 7085
--
PutTrailingStop: 17.30
CallTrailingStop: 7.90

***PUT SIDE***
currentDate: 2026-01-12
expires: 2026-01-13
underlyingPrice: 6979.99
VIX: 16.66
riskFreeReturn: 3.51%
spreadRequirement: $28500
-->spreadLowerStrikePrice: 6595
-->strikePrice: 6880
-->trailingStopPrice: 17.30
bidPrice: 0.9
askPrice: 0.95
pctOTM: 1.43%
delta: -0.0395
gamma: 0.0015
theoreticalPrice: 0.92
origDelta: -0.0406
origGamma: 0.0015
maxLossIfStoppedOut: 1802.33
ivToVIXRatio: 0.8254
impliedVolatility: 13.75%
origImpliedVolatility: 15.79%
premiumPerContract: $89.35
payoffUtility: $69
premiumCapture: 77.06%
annualizedPremiumPerContract: $22680
unleveragedAnnualizedYield: 3.25%
leveragedAnnualizedYield: 17.49%
marginRequirementPerContract: $129691
leverageFactor: 5.3
sharpe: 0.82

***CALL SIDE***
currentDate: 2026-01-12
expires: 2026-01-13
underlyingPrice: 6979.99
VIX: 16.66
riskFreeReturn: 3.51%
spreadRequirement: $5500
-->spreadLowerStrikePrice: 7085
-->strikePrice: 7030
-->trailingStopPrice: 7.90
bidPrice: 0.95
askPrice: 1.05
pctOTM: 0.72%
delta: 0.0689
gamma: 0.0040
theoreticalPrice: 1.00
origDelta: 0.0710
origGamma: 0.0040
maxLossIfStoppedOut: 857.42
ivToVIXRatio: 0.4687
impliedVolatility: 7.81%
origImpliedVolatility: 9.10%
premiumPerContract: $94.35
payoffUtility: $75
premiumCapture: 78.84%
annualizedPremiumPerContract: $23940
unleveragedAnnualizedYield: 3.43%
leveragedAnnualizedYield: 17.77%
marginRequirementPerContract: $134694
leverageFactor: 5.2
sharpe: 0.50