Expiration: 2026-01-21
--
BuyPutStrike: 6150
SellPutStrike: 6690
SellCallStrike: 6850
BuyCallStrike: 6980
--
PutTrailingStop: 21.20
CallTrailingStop: 9.70

***PUT SIDE***
currentDate: 2026-01-20
expires: 2026-01-21
underlyingPrice: 6790.05
VIX: 20.99
riskFreeReturn: 3.57%
spreadRequirement: $54000
-->spreadLowerStrikePrice: 6150
-->strikePrice: 6690
-->trailingStopPrice: 21.20
bidPrice: 3.8
askPrice: 3.9
pctOTM: 1.47%
delta: -0.1010
gamma: 0.0022
theoreticalPrice: 3.85
origDelta: -0.1027
origGamma: 0.0022
maxLossIfStoppedOut: 2193.18
ivToVIXRatio: 0.9329
impliedVolatility: 19.58%
origImpliedVolatility: 22.70%
premiumPerContract: $379.35
payoffUtility: $288
premiumCapture: 75.80%
annualizedPremiumPerContract: $95760
unleveragedAnnualizedYield: 14.10%
leveragedAnnualizedYield: 75.89%
marginRequirementPerContract: $126176
leverageFactor: 5.3
sharpe: 1.40

***CALL SIDE***
currentDate: 2026-01-20
expires: 2026-01-21
underlyingPrice: 6790.05
VIX: 20.99
riskFreeReturn: 3.57%
spreadRequirement: $13000
-->spreadLowerStrikePrice: 6980
-->strikePrice: 6850
-->trailingStopPrice: 9.70
bidPrice: 7.1
askPrice: 7.3
pctOTM: 0.88%
delta: 0.1935
gamma: 0.0041
theoreticalPrice: 7.20
origDelta: 0.2002
origGamma: 0.0042
maxLossIfStoppedOut: 1035.08
ivToVIXRatio: 0.7878
impliedVolatility: 16.54%
origImpliedVolatility: 18.86%
premiumPerContract: $709.35
payoffUtility: $526
premiumCapture: 74.07%
annualizedPremiumPerContract: $178920
unleveragedAnnualizedYield: 26.35%
leveragedAnnualizedYield: 137.09%
marginRequirementPerContract: $130516
leverageFactor: 5.2
sharpe: 1.36