Expiration: 2026-02-03
--
BuyPutStrike: 6660
SellPutStrike: 6885
SellCallStrike: 7030
BuyCallStrike: 7080
--
PutTrailingStop: 46.30
CallTrailingStop: 48.60

***PUT SIDE***
currentDate: 2026-02-02
expires: 2026-02-03
underlyingPrice: 6976.99
VIX: 19.96
riskFreeReturn: 3.58%
spreadRequirement: $22500
-->spreadLowerStrikePrice: 6660
-->strikePrice: 6885
-->trailingStopPrice: 46.30
bidPrice: 1.35
askPrice: 1.4
pctOTM: 1.32%
delta: -0.0550
gamma: 0.0019
theoreticalPrice: 1.37
origDelta: -0.0568
origGamma: 0.0019
maxLossIfStoppedOut: 4701.39
ivToVIXRatio: 0.6993
impliedVolatility: 13.96%
origImpliedVolatility: 16.13%
premiumPerContract: $134.35
payoffUtility: $64
premiumCapture: 47.31%
annualizedPremiumPerContract: $34020
unleveragedAnnualizedYield: 4.88%
leveragedAnnualizedYield: 26.07%
marginRequirementPerContract: $130476
leverageFactor: 5.3
sharpe: 0.89

***CALL SIDE***
currentDate: 2026-02-02
expires: 2026-02-03
underlyingPrice: 6976.99
VIX: 19.96
riskFreeReturn: 3.58%
spreadRequirement: $5000
-->spreadLowerStrikePrice: 7080
-->strikePrice: 7030
-->trailingStopPrice: 48.60
bidPrice: 0.55
askPrice: 0.65
pctOTM: 0.76%
delta: 0.0469
gamma: 0.0032
theoreticalPrice: 0.60
origDelta: 0.0481
origGamma: 0.0032
maxLossIfStoppedOut: 4931.18
ivToVIXRatio: 0.3687
impliedVolatility: 7.36%
origImpliedVolatility: 8.45%
premiumPerContract: $54.35
payoffUtility: $-5
premiumCapture: -8.28%
annualizedPremiumPerContract: $13860
unleveragedAnnualizedYield: 1.99%
leveragedAnnualizedYield: 10.32%
marginRequirementPerContract: $134294
leverageFactor: 5.2
sharpe: 0.42