Expiration: 2026-01-30
--
BuyPutStrike: 6430
SellPutStrike: 6780
SellCallStrike: 7025
BuyCallStrike: 7110
--
PutTrailingStop: 49.60
CallTrailingStop: 17.40

***PUT SIDE***
currentDate: 2026-01-29
expires: 2026-01-30
underlyingPrice: 6949.24
VIX: 19.74
riskFreeReturn: 3.58%
spreadRequirement: $35000
-->spreadLowerStrikePrice: 6430
-->strikePrice: 6780
-->trailingStopPrice: 49.60
bidPrice: 0.7
askPrice: 0.8
pctOTM: 2.44%
delta: -0.0230
gamma: 0.0006
theoreticalPrice: 0.75
origDelta: -0.0244
origGamma: 0.0006
maxLossIfStoppedOut: 5033.38
ivToVIXRatio: 1.0410
impliedVolatility: 20.55%
origImpliedVolatility: 23.78%
premiumPerContract: $69.35
payoffUtility: $40
premiumCapture: 56.84%
annualizedPremiumPerContract: $17640
unleveragedAnnualizedYield: 2.54%
leveragedAnnualizedYield: 14.44%
marginRequirementPerContract: $122131
leverageFactor: 5.6
sharpe: 1.10

***CALL SIDE***
currentDate: 2026-01-29
expires: 2026-01-30
underlyingPrice: 6949.24
VIX: 19.74
riskFreeReturn: 3.58%
spreadRequirement: $8500
-->spreadLowerStrikePrice: 7110
-->strikePrice: 7025
-->trailingStopPrice: 17.40
bidPrice: 1
askPrice: 1.05
pctOTM: 1.09%
delta: 0.0530
gamma: 0.0024
theoreticalPrice: 1.02
origDelta: 0.0530
origGamma: 0.0023
maxLossIfStoppedOut: 1814.70
ivToVIXRatio: 0.5521
impliedVolatility: 10.90%
origImpliedVolatility: 12.58%
premiumPerContract: $99.35
payoffUtility: $72
premiumCapture: 71.60%
annualizedPremiumPerContract: $25200
unleveragedAnnualizedYield: 3.63%
leveragedAnnualizedYield: 19.16%
marginRequirementPerContract: $131509
leverageFactor: 5.3
sharpe: 0.68