Expiration: 2026-02-23
--
BuyPutStrike: 5850
SellPutStrike: 6760
SellCallStrike: 6975
BuyCallStrike: 7025
--
PutTrailingStop: 36.20
CallTrailingStop: 38.00

***PUT SIDE***
currentDate: 2026-02-20
expires: 2026-02-23
underlyingPrice: 6904.45
VIX: 21.21
riskFreeReturn: 3.60%
spreadRequirement: $91000
-->spreadLowerStrikePrice: 5850
-->strikePrice: 6760
-->trailingStopPrice: 36.20
bidPrice: 3.6
askPrice: 3.8
pctOTM: 2.09%
delta: -0.0780
gamma: 0.0014
theoreticalPrice: 3.70
origDelta: -0.0799
origGamma: 0.0014
maxLossIfStoppedOut: 3687.24
ivToVIXRatio: 0.9671
impliedVolatility: 20.51%
origImpliedVolatility: 16.77%
premiumPerContract: $359.35
payoffUtility: $261
premiumCapture: 72.59%
annualizedPremiumPerContract: $90720
unleveragedAnnualizedYield: 13.14%
leveragedAnnualizedYield: 73.16%
marginRequirementPerContract: $124004
leverageFactor: 5.5
sharpe: 1.68

***CALL SIDE***
currentDate: 2026-02-20
expires: 2026-02-23
underlyingPrice: 6904.45
VIX: 21.21
riskFreeReturn: 3.60%
spreadRequirement: $5000
-->spreadLowerStrikePrice: 7025
-->strikePrice: 6975
-->trailingStopPrice: 38.00
bidPrice: 0.8
askPrice: 0.9
pctOTM: 1.02%
delta: 0.0492
gamma: 0.0024
theoreticalPrice: 0.85
origDelta: 0.0505
origGamma: 0.0025
maxLossIfStoppedOut: 3874.24
ivToVIXRatio: 0.3851
impliedVolatility: 8.17%
origImpliedVolatility: 6.62%
premiumPerContract: $79.35
payoffUtility: $29
premiumCapture: 36.58%
annualizedPremiumPerContract: $20160
unleveragedAnnualizedYield: 2.92%
leveragedAnnualizedYield: 15.38%
marginRequirementPerContract: $131114
leverageFactor: 5.3
sharpe: 0.59