Expiration: 2026-01-14
--
BuyPutStrike: 6600
SellPutStrike: 6860
SellCallStrike: 7010
BuyCallStrike: 7075
--
PutTrailingStop: 17.10
CallTrailingStop: 7.80

***PUT SIDE***
currentDate: 2026-01-13
expires: 2026-01-14
underlyingPrice: 6959.78
VIX: 16.50
riskFreeReturn: 3.56%
spreadRequirement: $26000
-->spreadLowerStrikePrice: 6600
-->strikePrice: 6860
-->trailingStopPrice: 17.10
bidPrice: 1
askPrice: 1.05
pctOTM: 1.43%
delta: -0.0425
gamma: 0.0015
theoreticalPrice: 1.02
origDelta: -0.0436
origGamma: 0.0016
maxLossIfStoppedOut: 1780.73
ivToVIXRatio: 0.8552
impliedVolatility: 14.11%
origImpliedVolatility: 16.18%
premiumPerContract: $99.35
payoffUtility: $78
premiumCapture: 77.58%
annualizedPremiumPerContract: $25200
unleveragedAnnualizedYield: 3.62%
leveragedAnnualizedYield: 19.49%
marginRequirementPerContract: $129318
leverageFactor: 5.3
sharpe: 0.85

***CALL SIDE***
currentDate: 2026-01-13
expires: 2026-01-14
underlyingPrice: 6959.78
VIX: 16.50
riskFreeReturn: 3.56%
spreadRequirement: $6500
-->spreadLowerStrikePrice: 7075
-->strikePrice: 7010
-->trailingStopPrice: 7.80
bidPrice: 1.35
askPrice: 1.4
pctOTM: 0.72%
delta: 0.0845
gamma: 0.0043
theoreticalPrice: 1.38
origDelta: 0.0856
origGamma: 0.0043
maxLossIfStoppedOut: 847.60
ivToVIXRatio: 0.5167
impliedVolatility: 8.53%
origImpliedVolatility: 9.82%
premiumPerContract: $134.35
payoffUtility: $107
premiumCapture: 79.39%
annualizedPremiumPerContract: $34020
unleveragedAnnualizedYield: 4.89%
leveragedAnnualizedYield: 25.33%
marginRequirementPerContract: $134309
leverageFactor: 5.2
sharpe: 0.58