Expiration: 2026-01-27
--
BuyPutStrike: 6595
SellPutStrike: 6840
SellCallStrike: 7010
BuyCallStrike: 7050
--
PutTrailingStop: 15.60
CallTrailingStop: 20.50

***PUT SIDE***
currentDate: 2026-01-26
expires: 2026-01-27
underlyingPrice: 6952.69
VIX: 17.39
riskFreeReturn: 3.58%
spreadRequirement: $24500
-->spreadLowerStrikePrice: 6595
-->strikePrice: 6840
-->trailingStopPrice: 15.60
bidPrice: 0.6
askPrice: 0.7
pctOTM: 1.62%
delta: -0.0281
gamma: 0.0011
theoreticalPrice: 0.65
origDelta: -0.0290
origGamma: 0.0011
maxLossIfStoppedOut: 1634.36
ivToVIXRatio: 0.8255
impliedVolatility: 14.35%
origImpliedVolatility: 16.46%
premiumPerContract: $59.35
payoffUtility: $47
premiumCapture: 78.90%
annualizedPremiumPerContract: $15120
unleveragedAnnualizedYield: 2.17%
leveragedAnnualizedYield: 11.83%
marginRequirementPerContract: $127845
leverageFactor: 5.4
sharpe: 0.77

***CALL SIDE***
currentDate: 2026-01-26
expires: 2026-01-27
underlyingPrice: 6952.69
VIX: 17.39
riskFreeReturn: 3.58%
spreadRequirement: $4000
-->spreadLowerStrikePrice: 7050
-->strikePrice: 7010
-->trailingStopPrice: 20.50
bidPrice: 0.2
askPrice: 0.3
pctOTM: 0.82%
delta: 0.0236
gamma: 0.0020
theoreticalPrice: 0.25
origDelta: 0.0242
origGamma: 0.0020
maxLossIfStoppedOut: 2121.04
ivToVIXRatio: 0.3885
impliedVolatility: 6.76%
origImpliedVolatility: 7.83%
premiumPerContract: $19.35
payoffUtility: $7
premiumCapture: 37.11%
annualizedPremiumPerContract: $5040
unleveragedAnnualizedYield: 0.72%
leveragedAnnualizedYield: 3.78%
marginRequirementPerContract: $133343
leverageFactor: 5.3
sharpe: 0.31