Expiration: 2026-02-24
--
BuyPutStrike: 6325
SellPutStrike: 6710
SellCallStrike: 6915
BuyCallStrike: 7000
--
PutTrailingStop: 42.40
CallTrailingStop: 32.10

***PUT SIDE***
currentDate: 2026-02-23
expires: 2026-02-24
underlyingPrice: 6828.89
VIX: 22.04
riskFreeReturn: 3.59%
spreadRequirement: $38500
-->spreadLowerStrikePrice: 6325
-->strikePrice: 6710
-->trailingStopPrice: 42.40
bidPrice: 2.65
askPrice: 2.75
pctOTM: 1.74%
delta: -0.0725
gamma: 0.0017
theoreticalPrice: 2.70
origDelta: -0.0733
origGamma: 0.0017
maxLossIfStoppedOut: 4313.66
ivToVIXRatio: 0.9189
impliedVolatility: 20.25%
origImpliedVolatility: 23.05%
premiumPerContract: $264.35
payoffUtility: $169
premiumCapture: 63.71%
annualizedPremiumPerContract: $66780
unleveragedAnnualizedYield: 9.78%
leveragedAnnualizedYield: 53.44%
marginRequirementPerContract: $124954
leverageFactor: 5.4
sharpe: 1.35

***CALL SIDE***
currentDate: 2026-02-23
expires: 2026-02-24
underlyingPrice: 6828.89
VIX: 22.04
riskFreeReturn: 3.59%
spreadRequirement: $8500
-->spreadLowerStrikePrice: 7000
-->strikePrice: 6915
-->trailingStopPrice: 32.10
bidPrice: 1.15
askPrice: 1.25
pctOTM: 1.26%
delta: 0.0541
gamma: 0.0021
theoreticalPrice: 1.20
origDelta: 0.0549
origGamma: 0.0021
maxLossIfStoppedOut: 3277.40
ivToVIXRatio: 0.5803
impliedVolatility: 12.79%
origImpliedVolatility: 14.82%
premiumPerContract: $114.35
payoffUtility: $65
premiumCapture: 56.88%
annualizedPremiumPerContract: $28980
unleveragedAnnualizedYield: 4.24%
leveragedAnnualizedYield: 22.63%
marginRequirementPerContract: $128082
leverageFactor: 5.4
sharpe: 0.78