Expiration: 2026-02-06
--
BuyPutStrike: 6000
SellPutStrike: 6655
SellCallStrike: 6935
BuyCallStrike: 7065
--
PutTrailingStop: 31.70
CallTrailingStop: 18.50

***PUT SIDE***
currentDate: 2026-02-05
expires: 2026-02-06
underlyingPrice: 6800.22
VIX: 23.10
riskFreeReturn: 3.58%
spreadRequirement: $65500
-->spreadLowerStrikePrice: 6000
-->strikePrice: 6655
-->trailingStopPrice: 31.70
bidPrice: 3
askPrice: 3.2
pctOTM: 2.14%
delta: -0.0696
gamma: 0.0013
theoreticalPrice: 3.10
origDelta: -0.0712
origGamma: 0.0014
maxLossIfStoppedOut: 3239.38
ivToVIXRatio: 1.0637
impliedVolatility: 24.57%
origImpliedVolatility: 28.06%
premiumPerContract: $299.35
payoffUtility: $224
premiumCapture: 74.67%
annualizedPremiumPerContract: $75600
unleveragedAnnualizedYield: 11.12%
leveragedAnnualizedYield: 62.08%
marginRequirementPerContract: $121782
leverageFactor: 5.5
sharpe: 1.60

***CALL SIDE***
currentDate: 2026-02-05
expires: 2026-02-06
underlyingPrice: 6800.22
VIX: 23.10
riskFreeReturn: 3.58%
spreadRequirement: $13000
-->spreadLowerStrikePrice: 7065
-->strikePrice: 6935
-->trailingStopPrice: 18.50
bidPrice: 1.45
askPrice: 1.55
pctOTM: 1.98%
delta: 0.0464
gamma: 0.0012
theoreticalPrice: 1.50
origDelta: 0.0486
origGamma: 0.0013
maxLossIfStoppedOut: 1919.40
ivToVIXRatio: 0.8335
impliedVolatility: 19.25%
origImpliedVolatility: 22.22%
premiumPerContract: $144.35
payoffUtility: $117
premiumCapture: 80.55%
annualizedPremiumPerContract: $36540
unleveragedAnnualizedYield: 5.37%
leveragedAnnualizedYield: 29.79%
marginRequirementPerContract: $122671
leverageFactor: 5.7
sharpe: 1.16