Expiration: 2026-02-05
--
BuyPutStrike: 6325
SellPutStrike: 6775
SellCallStrike: 6995
BuyCallStrike: 7065
--
PutTrailingStop: 40.40
CallTrailingStop: 26.20

***PUT SIDE***
currentDate: 2026-02-04
expires: 2026-02-05
underlyingPrice: 6896.99
VIX: 21.24
riskFreeReturn: 3.60%
spreadRequirement: $45000
-->spreadLowerStrikePrice: 6325
-->strikePrice: 6775
-->trailingStopPrice: 40.40
bidPrice: 3.1
askPrice: 3.3
pctOTM: 1.77%
delta: -0.0795
gamma: 0.0017
theoreticalPrice: 3.20
origDelta: -0.0809
origGamma: 0.0017
maxLossIfStoppedOut: 4109.62
ivToVIXRatio: 1.0009
impliedVolatility: 21.26%
origImpliedVolatility: 24.45%
premiumPerContract: $309.35
payoffUtility: $205
premiumCapture: 66.14%
annualizedPremiumPerContract: $78120
unleveragedAnnualizedYield: 11.33%
leveragedAnnualizedYield: 61.98%
marginRequirementPerContract: $126051
leverageFactor: 5.4
sharpe: 1.42

***CALL SIDE***
currentDate: 2026-02-04
expires: 2026-02-05
underlyingPrice: 6896.99
VIX: 21.24
riskFreeReturn: 3.60%
spreadRequirement: $7000
-->spreadLowerStrikePrice: 7065
-->strikePrice: 6995
-->trailingStopPrice: 26.20
bidPrice: 1.1
askPrice: 1.2
pctOTM: 1.42%
delta: 0.0481
gamma: 0.0017
theoreticalPrice: 1.15
origDelta: 0.0485
origGamma: 0.0017
maxLossIfStoppedOut: 2694.60
ivToVIXRatio: 0.6543
impliedVolatility: 13.90%
origImpliedVolatility: 15.92%
premiumPerContract: $109.35
payoffUtility: $73
premiumCapture: 66.49%
annualizedPremiumPerContract: $27720
unleveragedAnnualizedYield: 4.02%
leveragedAnnualizedYield: 21.61%
marginRequirementPerContract: $128249
leverageFactor: 5.5
sharpe: 0.84