Expiration: 2026-02-11
--
BuyPutStrike: 6495
SellPutStrike: 6835
SellCallStrike: 7020
BuyCallStrike: 7070
--
PutTrailingStop: 48.50
CallTrailingStop: 32.70

***PUT SIDE***
currentDate: 2026-02-10
expires: 2026-02-11
underlyingPrice: 6948.49
VIX: 17.93
riskFreeReturn: 3.59%
spreadRequirement: $34000
-->spreadLowerStrikePrice: 6495
-->strikePrice: 6835
-->trailingStopPrice: 48.50
bidPrice: 1.7
askPrice: 1.8
pctOTM: 1.63%
delta: -0.0562
gamma: 0.0016
theoreticalPrice: 1.75
origDelta: -0.0574
origGamma: 0.0016
maxLossIfStoppedOut: 4922.61
ivToVIXRatio: 0.9704
impliedVolatility: 17.40%
origImpliedVolatility: 20.00%
premiumPerContract: $169.35
payoffUtility: $92
premiumCapture: 54.30%
annualizedPremiumPerContract: $42840
unleveragedAnnualizedYield: 6.17%
leveragedAnnualizedYield: 33.52%
marginRequirementPerContract: $127791
leverageFactor: 5.3
sharpe: 1.10

***CALL SIDE***
currentDate: 2026-02-10
expires: 2026-02-11
underlyingPrice: 6948.49
VIX: 17.93
riskFreeReturn: 3.59%
spreadRequirement: $5000
-->spreadLowerStrikePrice: 7070
-->strikePrice: 7020
-->trailingStopPrice: 32.70
bidPrice: 0.55
askPrice: 0.65
pctOTM: 1.03%
delta: 0.0380
gamma: 0.0021
theoreticalPrice: 0.60
origDelta: 0.0389
origGamma: 0.0021
maxLossIfStoppedOut: 3338.49
ivToVIXRatio: 0.5261
impliedVolatility: 9.43%
origImpliedVolatility: 10.87%
premiumPerContract: $54.35
payoffUtility: $22
premiumCapture: 39.78%
annualizedPremiumPerContract: $13860
unleveragedAnnualizedYield: 1.99%
leveragedAnnualizedYield: 10.51%
marginRequirementPerContract: $131874
leverageFactor: 5.3
sharpe: 0.53