Expiration: 2026-01-23
--
BuyPutStrike: 6500
SellPutStrike: 6800
SellCallStrike: 6970
BuyCallStrike: 7040
--
PutTrailingStop: 29.60
CallTrailingStop: 17.20

***PUT SIDE***
currentDate: 2026-01-22
expires: 2026-01-23
underlyingPrice: 6912.05
VIX: 16.67
riskFreeReturn: 3.59%
spreadRequirement: $30000
-->spreadLowerStrikePrice: 6500
-->strikePrice: 6800
-->trailingStopPrice: 29.60
bidPrice: 0.9
askPrice: 1
pctOTM: 1.62%
delta: -0.0371
gamma: 0.0013
theoreticalPrice: 0.95
origDelta: -0.0383
origGamma: 0.0013
maxLossIfStoppedOut: 3034.86
ivToVIXRatio: 0.9206
impliedVolatility: 15.35%
origImpliedVolatility: 17.57%
premiumPerContract: $89.35
payoffUtility: $59
premiumCapture: 65.73%
annualizedPremiumPerContract: $22680
unleveragedAnnualizedYield: 3.28%
leveragedAnnualizedYield: 17.84%
marginRequirementPerContract: $127126
leverageFactor: 5.3
sharpe: 0.88

***CALL SIDE***
currentDate: 2026-01-22
expires: 2026-01-23
underlyingPrice: 6912.05
VIX: 16.67
riskFreeReturn: 3.59%
spreadRequirement: $7000
-->spreadLowerStrikePrice: 7040
-->strikePrice: 6970
-->trailingStopPrice: 17.20
bidPrice: 1
askPrice: 1.05
pctOTM: 0.84%
delta: 0.0636
gamma: 0.0034
theoreticalPrice: 1.03
origDelta: 0.0642
origGamma: 0.0033
maxLossIfStoppedOut: 1786.50
ivToVIXRatio: 0.5352
impliedVolatility: 8.92%
origImpliedVolatility: 10.37%
premiumPerContract: $99.35
payoffUtility: $66
premiumCapture: 66.35%
annualizedPremiumPerContract: $25200
unleveragedAnnualizedYield: 3.65%
leveragedAnnualizedYield: 19.01%
marginRequirementPerContract: $132546
leverageFactor: 5.3
sharpe: 0.57