Expiration: 2026-01-16
--
BuyPutStrike: 6400
SellPutStrike: 6840
SellCallStrike: 6990
BuyCallStrike: 7065
--
PutTrailingStop: 17.10
CallTrailingStop: 7.80

***PUT SIDE***
currentDate: 2026-01-15
expires: 2026-01-16
underlyingPrice: 6940.61
VIX: 16.54
riskFreeReturn: 3.56%
spreadRequirement: $44000
-->spreadLowerStrikePrice: 6400
-->strikePrice: 6840
-->trailingStopPrice: 17.10
bidPrice: 1.2
askPrice: 1.25
pctOTM: 1.45%
delta: -0.0478
gamma: 0.0016
theoreticalPrice: 1.23
origDelta: -0.0498
origGamma: 0.0017
maxLossIfStoppedOut: 1780.15
ivToVIXRatio: 0.8891
impliedVolatility: 14.71%
origImpliedVolatility: 16.92%
premiumPerContract: $119.35
payoffUtility: $94
premiumCapture: 78.17%
annualizedPremiumPerContract: $30240
unleveragedAnnualizedYield: 4.36%
leveragedAnnualizedYield: 23.47%
marginRequirementPerContract: $128871
leverageFactor: 5.3
sharpe: 0.91

***CALL SIDE***
currentDate: 2026-01-15
expires: 2026-01-16
underlyingPrice: 6940.61
VIX: 16.54
riskFreeReturn: 3.56%
spreadRequirement: $7500
-->spreadLowerStrikePrice: 7065
-->strikePrice: 6990
-->trailingStopPrice: 7.80
bidPrice: 2.25
askPrice: 2.35
pctOTM: 0.71%
delta: 0.1166
gamma: 0.0048
theoreticalPrice: 2.30
origDelta: 0.1198
origGamma: 0.0049
maxLossIfStoppedOut: 847.34
ivToVIXRatio: 0.5842
impliedVolatility: 9.66%
origImpliedVolatility: 11.16%
premiumPerContract: $224.35
payoffUtility: $176
premiumCapture: 78.27%
annualizedPremiumPerContract: $56700
unleveragedAnnualizedYield: 8.17%
leveragedAnnualizedYield: 42.28%
marginRequirementPerContract: $134098
leverageFactor: 5.2
sharpe: 0.70