Expiration: 2026-01-20
--
BuyPutStrike: 6380
SellPutStrike: 6845
SellCallStrike: 6995
BuyCallStrike: 7060
--
PutTrailingStop: 16.90
CallTrailingStop: 7.70

***PUT SIDE***
currentDate: 2026-01-16
expires: 2026-01-20
underlyingPrice: 6945.27
VIX: 16.29
riskFreeReturn: 3.56%
spreadRequirement: $46500
-->spreadLowerStrikePrice: 6380
-->strikePrice: 6845
-->trailingStopPrice: 16.90
bidPrice: 1.4
askPrice: 1.5
pctOTM: 1.44%
delta: -0.0536
gamma: 0.0017
theoreticalPrice: 1.45
origDelta: -0.0546
origGamma: 0.0017
maxLossIfStoppedOut: 1755.43
ivToVIXRatio: 0.7636
impliedVolatility: 12.44%
origImpliedVolatility: 9.12%
premiumPerContract: $139.35
payoffUtility: $110
premiumCapture: 78.49%
annualizedPremiumPerContract: $35280
unleveragedAnnualizedYield: 5.08%
leveragedAnnualizedYield: 27.34%
marginRequirementPerContract: $129018
leverageFactor: 5.3
sharpe: 0.95

***CALL SIDE***
currentDate: 2026-01-16
expires: 2026-01-20
underlyingPrice: 6945.27
VIX: 16.29
riskFreeReturn: 3.56%
spreadRequirement: $6500
-->spreadLowerStrikePrice: 7060
-->strikePrice: 6995
-->trailingStopPrice: 7.70
bidPrice: 1.75
askPrice: 1.8
pctOTM: 0.72%
delta: 0.1001
gamma: 0.0047
theoreticalPrice: 1.77
origDelta: 0.1084
origGamma: 0.0054
maxLossIfStoppedOut: 836.11
ivToVIXRatio: 0.4498
impliedVolatility: 7.33%
origImpliedVolatility: 4.73%
premiumPerContract: $174.35
payoffUtility: $138
premiumCapture: 79.04%
annualizedPremiumPerContract: $44100
unleveragedAnnualizedYield: 6.35%
leveragedAnnualizedYield: 32.88%
marginRequirementPerContract: $134107
leverageFactor: 5.2
sharpe: 0.63