Expiration: 2026-01-28
--
BuyPutStrike: 6605
SellPutStrike: 6855
SellCallStrike: 7040
BuyCallStrike: 7070
--
PutTrailingStop: 15.70
CallTrailingStop: 20.60

***PUT SIDE***
currentDate: 2026-01-27
expires: 2026-01-28
underlyingPrice: 6980.38
VIX: 16.27
riskFreeReturn: 3.57%
spreadRequirement: $25000
-->spreadLowerStrikePrice: 6605
-->strikePrice: 6855
-->trailingStopPrice: 15.70
bidPrice: 0.7
askPrice: 0.75
pctOTM: 1.80%
delta: -0.0282
gamma: 0.0010
theoreticalPrice: 0.73
origDelta: -0.0289
origGamma: 0.0010
maxLossIfStoppedOut: 1640.59
ivToVIXRatio: 0.9770
impliedVolatility: 15.90%
origImpliedVolatility: 18.32%
premiumPerContract: $69.35
payoffUtility: $57
premiumCapture: 81.39%
annualizedPremiumPerContract: $17640
unleveragedAnnualizedYield: 2.53%
leveragedAnnualizedYield: 13.87%
marginRequirementPerContract: $127140
leverageFactor: 5.4
sharpe: 0.90

***CALL SIDE***
currentDate: 2026-01-27
expires: 2026-01-28
underlyingPrice: 6980.38
VIX: 16.27
riskFreeReturn: 3.57%
spreadRequirement: $3000
-->spreadLowerStrikePrice: 7070
-->strikePrice: 7040
-->trailingStopPrice: 20.60
bidPrice: 0.4
askPrice: 0.45
pctOTM: 0.85%
delta: 0.0338
gamma: 0.0024
theoreticalPrice: 0.42
origDelta: 0.0362
origGamma: 0.0024
maxLossIfStoppedOut: 2129.21
ivToVIXRatio: 0.4663
impliedVolatility: 7.59%
origImpliedVolatility: 8.82%
premiumPerContract: $39.35
payoffUtility: $21
premiumCapture: 53.11%
annualizedPremiumPerContract: $10080
unleveragedAnnualizedYield: 1.44%
leveragedAnnualizedYield: 7.54%
marginRequirementPerContract: $133686
leverageFactor: 5.3
sharpe: 0.43