Expiration: 2026-02-04
--
BuyPutStrike: 6350
SellPutStrike: 6810
SellCallStrike: 6990
BuyCallStrike: 7095
--
PutTrailingStop: 47.20
CallTrailingStop: 37.20

***PUT SIDE***
currentDate: 2026-02-03
expires: 2026-02-04
underlyingPrice: 6913.99
VIX: 20.37
riskFreeReturn: 3.59%
spreadRequirement: $46000
-->spreadLowerStrikePrice: 6350
-->strikePrice: 6810
-->trailingStopPrice: 47.20
bidPrice: 2.6
askPrice: 2.7
pctOTM: 1.50%
delta: -0.0782
gamma: 0.0020
theoreticalPrice: 2.65
origDelta: -0.0784
origGamma: 0.0019
maxLossIfStoppedOut: 4793.46
ivToVIXRatio: 0.8826
impliedVolatility: 17.98%
origImpliedVolatility: 20.62%
premiumPerContract: $259.35
payoffUtility: $147
premiumCapture: 56.68%
annualizedPremiumPerContract: $65520
unleveragedAnnualizedYield: 9.48%
leveragedAnnualizedYield: 51.13%
marginRequirementPerContract: $128141
leverageFactor: 5.3
sharpe: 1.21

***CALL SIDE***
currentDate: 2026-02-03
expires: 2026-02-04
underlyingPrice: 6913.99
VIX: 20.37
riskFreeReturn: 3.59%
spreadRequirement: $10500
-->spreadLowerStrikePrice: 7095
-->strikePrice: 6990
-->trailingStopPrice: 37.20
bidPrice: 1.15
askPrice: 1.2
pctOTM: 1.10%
delta: 0.0580
gamma: 0.0024
theoreticalPrice: 1.18
origDelta: 0.0613
origGamma: 0.0025
maxLossIfStoppedOut: 3792.26
ivToVIXRatio: 0.5594
impliedVolatility: 11.39%
origImpliedVolatility: 13.12%
premiumPerContract: $114.35
payoffUtility: $54
premiumCapture: 47.22%
annualizedPremiumPerContract: $28980
unleveragedAnnualizedYield: 4.19%
leveragedAnnualizedYield: 22.16%
marginRequirementPerContract: $130794
leverageFactor: 5.3
sharpe: 0.72