Expiration: 2026-02-10
--
BuyPutStrike: 6630
SellPutStrike: 6860
SellCallStrike: 7020
BuyCallStrike: 7060
--
PutTrailingStop: 50.40
CallTrailingStop: 48.20

***PUT SIDE***
currentDate: 2026-02-09
expires: 2026-02-10
underlyingPrice: 6964.67
VIX: 19.20
riskFreeReturn: 3.59%
spreadRequirement: $23000
-->spreadLowerStrikePrice: 6630
-->strikePrice: 6860
-->trailingStopPrice: 50.40
bidPrice: 1.35
askPrice: 1.45
pctOTM: 1.50%
delta: -0.0510
gamma: 0.0016
theoreticalPrice: 1.40
origDelta: -0.0532
origGamma: 0.0017
maxLossIfStoppedOut: 5105.71
ivToVIXRatio: 0.8120
impliedVolatility: 15.59%
origImpliedVolatility: 17.80%
premiumPerContract: $134.35
payoffUtility: $64
premiumCapture: 47.30%
annualizedPremiumPerContract: $34020
unleveragedAnnualizedYield: 4.88%
leveragedAnnualizedYield: 26.38%
marginRequirementPerContract: $128961
leverageFactor: 5.3
sharpe: 0.96

***CALL SIDE***
currentDate: 2026-02-09
expires: 2026-02-10
underlyingPrice: 6964.67
VIX: 19.20
riskFreeReturn: 3.59%
spreadRequirement: $4000
-->spreadLowerStrikePrice: 7060
-->strikePrice: 7020
-->trailingStopPrice: 48.20
bidPrice: 0.6
askPrice: 0.7
pctOTM: 0.79%
delta: 0.0482
gamma: 0.0031
theoreticalPrice: 0.65
origDelta: 0.0485
origGamma: 0.0030
maxLossIfStoppedOut: 4888.93
ivToVIXRatio: 0.4051
impliedVolatility: 7.78%
origImpliedVolatility: 9.10%
premiumPerContract: $59.35
payoffUtility: $-1
premiumCapture: -1.53%
annualizedPremiumPerContract: $15120
unleveragedAnnualizedYield: 2.17%
leveragedAnnualizedYield: 11.30%
marginRequirementPerContract: $133820
leverageFactor: 5.2
sharpe: 0.45