Expiration: 2026-01-15
--
BuyPutStrike: 6380
SellPutStrike: 6815
SellCallStrike: 6965
BuyCallStrike: 7065
--
PutTrailingStop: 18.60
CallTrailingStop: 8.50

***PUT SIDE***
currentDate: 2026-01-14
expires: 2026-01-15
underlyingPrice: 6912.91
VIX: 18.10
riskFreeReturn: 3.56%
spreadRequirement: $43500
-->spreadLowerStrikePrice: 6380
-->strikePrice: 6815
-->trailingStopPrice: 18.60
bidPrice: 1.4
askPrice: 1.5
pctOTM: 1.42%
delta: -0.0547
gamma: 0.0018
theoreticalPrice: 1.45
origDelta: -0.0556
origGamma: 0.0018
maxLossIfStoppedOut: 1933.98
ivToVIXRatio: 0.8264
impliedVolatility: 14.96%
origImpliedVolatility: 17.28%
premiumPerContract: $139.35
payoffUtility: $107
premiumCapture: 76.32%
annualizedPremiumPerContract: $35280
unleveragedAnnualizedYield: 5.10%
leveragedAnnualizedYield: 27.43%
marginRequirementPerContract: $128607
leverageFactor: 5.3
sharpe: 0.93

***CALL SIDE***
currentDate: 2026-01-14
expires: 2026-01-15
underlyingPrice: 6912.91
VIX: 18.10
riskFreeReturn: 3.56%
spreadRequirement: $10000
-->spreadLowerStrikePrice: 7065
-->strikePrice: 6965
-->trailingStopPrice: 8.50
bidPrice: 3.4
askPrice: 3.5
pctOTM: 0.75%
delta: 0.1423
gamma: 0.0047
theoreticalPrice: 3.45
origDelta: 0.1459
origGamma: 0.0048
maxLossIfStoppedOut: 917.26
ivToVIXRatio: 0.6300
impliedVolatility: 11.40%
origImpliedVolatility: 13.07%
premiumPerContract: $339.35
payoffUtility: $261
premiumCapture: 76.90%
annualizedPremiumPerContract: $85680
unleveragedAnnualizedYield: 12.39%
leveragedAnnualizedYield: 64.23%
marginRequirementPerContract: $133389
leverageFactor: 5.2
sharpe: 0.87