Expiration: 2026-02-02
--
BuyPutStrike: 6225
SellPutStrike: 6755
SellCallStrike: 7020
BuyCallStrike: 7075
--
PutTrailingStop: 18.90
CallTrailingStop: 34.60

***PUT SIDE***
currentDate: 2026-01-30
expires: 2026-02-02
underlyingPrice: 6943.59
VIX: 19.27
riskFreeReturn: 3.58%
spreadRequirement: $53000
-->spreadLowerStrikePrice: 6225
-->strikePrice: 6755
-->trailingStopPrice: 18.90
bidPrice: 0.95
askPrice: 1
pctOTM: 2.72%
delta: -0.0258
gamma: 0.0006
theoreticalPrice: 0.98
origDelta: -0.0267
origGamma: 0.0006
maxLossIfStoppedOut: 1957.78
ivToVIXRatio: 1.0066
impliedVolatility: 19.40%
origImpliedVolatility: 16.05%
premiumPerContract: $94.35
payoffUtility: $80
premiumCapture: 84.61%
annualizedPremiumPerContract: $23940
unleveragedAnnualizedYield: 3.45%
leveragedAnnualizedYield: 19.93%
marginRequirementPerContract: $120108
leverageFactor: 5.6
sharpe: 1.34

***CALL SIDE***
currentDate: 2026-01-30
expires: 2026-02-02
underlyingPrice: 6943.59
VIX: 19.27
riskFreeReturn: 3.58%
spreadRequirement: $5500
-->spreadLowerStrikePrice: 7075
-->strikePrice: 7020
-->trailingStopPrice: 34.60
bidPrice: 0.9
askPrice: 0.95
pctOTM: 1.10%
delta: 0.0494
gamma: 0.0023
theoreticalPrice: 0.93
origDelta: 0.0519
origGamma: 0.0024
maxLossIfStoppedOut: 3525.97
ivToVIXRatio: 0.4575
impliedVolatility: 8.82%
origImpliedVolatility: 6.94%
premiumPerContract: $89.35
payoffUtility: $43
premiumCapture: 47.68%
annualizedPremiumPerContract: $22680
unleveragedAnnualizedYield: 3.27%
leveragedAnnualizedYield: 17.27%
marginRequirementPerContract: $131321
leverageFactor: 5.3
sharpe: 0.66