Expiration: 2026-01-22
--
BuyPutStrike: 6575
SellPutStrike: 6775
SellCallStrike: 6925
BuyCallStrike: 7025
--
PutTrailingStop: 21.30
CallTrailingStop: 9.70

***PUT SIDE***
currentDate: 2026-01-21
expires: 2026-01-22
underlyingPrice: 6873.32
VIX: 20.81
riskFreeReturn: 3.57%
spreadRequirement: $20000
-->spreadLowerStrikePrice: 6575
-->strikePrice: 6775
-->trailingStopPrice: 21.30
bidPrice: 1.3
askPrice: 1.35
pctOTM: 1.43%
delta: -0.0513
gamma: 0.0017
theoreticalPrice: 1.32
origDelta: -0.0525
origGamma: 0.0017
maxLossIfStoppedOut: 2200.79
ivToVIXRatio: 0.7140
impliedVolatility: 14.86%
origImpliedVolatility: 17.05%
premiumPerContract: $129.35
payoffUtility: $96
premiumCapture: 73.86%
annualizedPremiumPerContract: $32760
unleveragedAnnualizedYield: 4.77%
leveragedAnnualizedYield: 25.64%
marginRequirementPerContract: $127764
leverageFactor: 5.3
sharpe: 0.93

***CALL SIDE***
currentDate: 2026-01-21
expires: 2026-01-22
underlyingPrice: 6873.32
VIX: 20.81
riskFreeReturn: 3.57%
spreadRequirement: $10000
-->spreadLowerStrikePrice: 7025
-->strikePrice: 6925
-->trailingStopPrice: 9.70
bidPrice: 2.9
askPrice: 3.1
pctOTM: 0.75%
delta: 0.1324
gamma: 0.0047
theoreticalPrice: 3.00
origDelta: 0.1337
origGamma: 0.0047
maxLossIfStoppedOut: 1038.54
ivToVIXRatio: 0.5263
impliedVolatility: 10.95%
origImpliedVolatility: 12.59%
premiumPerContract: $289.35
payoffUtility: $220
premiumCapture: 75.71%
annualizedPremiumPerContract: $73080
unleveragedAnnualizedYield: 10.63%
leveragedAnnualizedYield: 55.12%
marginRequirementPerContract: $132588
leverageFactor: 5.2
sharpe: 0.80