Expiration: 2026-01-29
--
BuyPutStrike: 6420
SellPutStrike: 6810
SellCallStrike: 7050
BuyCallStrike: 7145
--
PutTrailingStop: 15.70
CallTrailingStop: 20.60

***PUT SIDE***
currentDate: 2026-01-28
expires: 2026-01-29
underlyingPrice: 6978.03
VIX: 17.18
riskFreeReturn: 3.58%
spreadRequirement: $39000
-->spreadLowerStrikePrice: 6420
-->strikePrice: 6810
-->trailingStopPrice: 15.70
bidPrice: 0.85
askPrice: 0.95
pctOTM: 2.41%
delta: -0.0265
gamma: 0.0007
theoreticalPrice: 0.90
origDelta: -0.0318
origGamma: 0.0008
maxLossIfStoppedOut: 1640.06
ivToVIXRatio: 1.2334
impliedVolatility: 21.19%
origImpliedVolatility: 23.33%
premiumPerContract: $84.35
payoffUtility: $72
premiumCapture: 85.09%
annualizedPremiumPerContract: $21420
unleveragedAnnualizedYield: 3.07%
leveragedAnnualizedYield: 17.44%
marginRequirementPerContract: $122843
leverageFactor: 5.5
sharpe: 1.16

***CALL SIDE***
currentDate: 2026-01-28
expires: 2026-01-29
underlyingPrice: 6978.03
VIX: 17.18
riskFreeReturn: 3.58%
spreadRequirement: $9500
-->spreadLowerStrikePrice: 7145
-->strikePrice: 7050
-->trailingStopPrice: 20.60
bidPrice: 0.45
askPrice: 0.65
pctOTM: 1.03%
delta: 0.0355
gamma: 0.0020
theoreticalPrice: 0.55
origDelta: 0.0309
origGamma: 0.0015
maxLossIfStoppedOut: 2128.52
ivToVIXRatio: 0.5438
impliedVolatility: 9.34%
origImpliedVolatility: 12.45%
premiumPerContract: $44.35
payoffUtility: $25
premiumCapture: 55.85%
annualizedPremiumPerContract: $11340
unleveragedAnnualizedYield: 1.63%
leveragedAnnualizedYield: 8.56%
marginRequirementPerContract: $132409
leverageFactor: 5.3
sharpe: 0.46