Expiration: 2026-02-09
--
BuyPutStrike: 6280
SellPutStrike: 6830
SellCallStrike: 7015
BuyCallStrike: 7090
--
PutTrailingStop: 42.10
CallTrailingStop: 38.40

***PUT SIDE***
currentDate: 2026-02-06
expires: 2026-02-09
underlyingPrice: 6944.78
VIX: 21.49
riskFreeReturn: 3.59%
spreadRequirement: $55000
-->spreadLowerStrikePrice: 6280
-->strikePrice: 6830
-->trailingStopPrice: 42.10
bidPrice: 2.7
askPrice: 2.8
pctOTM: 1.65%
delta: -0.0749
gamma: 0.0017
theoreticalPrice: 2.75
origDelta: -0.0764
origGamma: 0.0018
maxLossIfStoppedOut: 4280.81
ivToVIXRatio: 0.7422
impliedVolatility: 15.95%
origImpliedVolatility: 12.93%
premiumPerContract: $269.35
payoffUtility: $171
premiumCapture: 63.30%
annualizedPremiumPerContract: $68040
unleveragedAnnualizedYield: 9.80%
leveragedAnnualizedYield: 53.29%
marginRequirementPerContract: $127688
leverageFactor: 5.3
sharpe: 1.31

***CALL SIDE***
currentDate: 2026-02-06
expires: 2026-02-09
underlyingPrice: 6944.78
VIX: 21.49
riskFreeReturn: 3.59%
spreadRequirement: $7500
-->spreadLowerStrikePrice: 7090
-->strikePrice: 7015
-->trailingStopPrice: 38.40
bidPrice: 0.85
askPrice: 0.95
pctOTM: 1.01%
delta: 0.0513
gamma: 0.0025
theoreticalPrice: 0.90
origDelta: 0.0522
origGamma: 0.0025
maxLossIfStoppedOut: 3907.50
ivToVIXRatio: 0.3808
impliedVolatility: 8.18%
origImpliedVolatility: 6.71%
premiumPerContract: $84.35
payoffUtility: $31
premiumCapture: 37.02%
annualizedPremiumPerContract: $21420
unleveragedAnnualizedYield: 3.08%
leveragedAnnualizedYield: 16.23%
marginRequirementPerContract: $131959
leverageFactor: 5.3
sharpe: 0.60