Expiration: 2026-01-26
--
BuyPutStrike: 6370
SellPutStrike: 6800
SellCallStrike: 6975
BuyCallStrike: 7045
--
PutTrailingStop: 28.80
CallTrailingStop: 16.70

***PUT SIDE***
currentDate: 2026-01-23
expires: 2026-01-26
underlyingPrice: 6915.38
VIX: 16.21
riskFreeReturn: 3.59%
spreadRequirement: $43000
-->spreadLowerStrikePrice: 6370
-->strikePrice: 6800
-->trailingStopPrice: 28.80
bidPrice: 1.5
askPrice: 1.6
pctOTM: 1.67%
delta: -0.0510
gamma: 0.0015
theoreticalPrice: 1.55
origDelta: -0.0529
origGamma: 0.0015
maxLossIfStoppedOut: 2954.44
ivToVIXRatio: 0.8714
impliedVolatility: 14.13%
origImpliedVolatility: 11.69%
premiumPerContract: $149.35
payoffUtility: $106
premiumCapture: 70.38%
annualizedPremiumPerContract: $37800
unleveragedAnnualizedYield: 5.47%
leveragedAnnualizedYield: 29.78%
marginRequirementPerContract: $126920
leverageFactor: 5.4
sharpe: 1.07

***CALL SIDE***
currentDate: 2026-01-23
expires: 2026-01-26
underlyingPrice: 6915.38
VIX: 16.21
riskFreeReturn: 3.59%
spreadRequirement: $7000
-->spreadLowerStrikePrice: 7045
-->strikePrice: 6975
-->trailingStopPrice: 16.70
bidPrice: 1
askPrice: 1.05
pctOTM: 0.86%
delta: 0.0626
gamma: 0.0033
theoreticalPrice: 1.02
origDelta: 0.0649
origGamma: 0.0034
maxLossIfStoppedOut: 1739.94
ivToVIXRatio: 0.4558
impliedVolatility: 7.39%
origImpliedVolatility: 5.93%
premiumPerContract: $99.35
payoffUtility: $68
premiumCapture: 67.58%
annualizedPremiumPerContract: $25200
unleveragedAnnualizedYield: 3.64%
leveragedAnnualizedYield: 19.03%
marginRequirementPerContract: $132446
leverageFactor: 5.3
sharpe: 0.58