Expiration: 2026-02-12
--
BuyPutStrike: 6500
SellPutStrike: 6840
SellCallStrike: 7010
BuyCallStrike: 7050
--
PutTrailingStop: 49.80
CallTrailingStop: 39.90

***PUT SIDE***
currentDate: 2026-02-11
expires: 2026-02-12
underlyingPrice: 6948
VIX: 18.96
riskFreeReturn: 3.60%
spreadRequirement: $34000
-->spreadLowerStrikePrice: 6500
-->strikePrice: 6840
-->trailingStopPrice: 49.80
bidPrice: 1.5
askPrice: 1.6
pctOTM: 1.55%
delta: -0.0535
gamma: 0.0016
theoreticalPrice: 1.55
origDelta: -0.0549
origGamma: 0.0016
maxLossIfStoppedOut: 5053.38
ivToVIXRatio: 0.8613
impliedVolatility: 16.33%
origImpliedVolatility: 18.67%
premiumPerContract: $149.35
payoffUtility: $75
premiumCapture: 50.19%
annualizedPremiumPerContract: $37800
unleveragedAnnualizedYield: 5.44%
leveragedAnnualizedYield: 29.46%
marginRequirementPerContract: $128310
leverageFactor: 5.3
sharpe: 1.02

***CALL SIDE***
currentDate: 2026-02-11
expires: 2026-02-12
underlyingPrice: 6948
VIX: 18.96
riskFreeReturn: 3.60%
spreadRequirement: $4000
-->spreadLowerStrikePrice: 7050
-->strikePrice: 7010
-->trailingStopPrice: 39.90
bidPrice: 0.55
askPrice: 0.65
pctOTM: 0.89%
delta: 0.0420
gamma: 0.0026
theoreticalPrice: 0.60
origDelta: 0.0427
origGamma: 0.0025
maxLossIfStoppedOut: 4059.68
ivToVIXRatio: 0.4432
impliedVolatility: 8.40%
origImpliedVolatility: 9.76%
premiumPerContract: $54.35
payoffUtility: $11
premiumCapture: 19.56%
annualizedPremiumPerContract: $13860
unleveragedAnnualizedYield: 1.99%
leveragedAnnualizedYield: 10.44%
marginRequirementPerContract: $132815
leverageFactor: 5.3
sharpe: 0.47