Expiration: 2026-02-25
--
BuyPutStrike: 6360
SellPutStrike: 6795
SellCallStrike: 6985
BuyCallStrike: 7005
--
PutTrailingStop: 54.50
CallTrailingStop: 8.70

***PUT SIDE***
currentDate: 2026-02-24
expires: 2026-02-25
underlyingPrice: 6890.47
VIX: 22.08
riskFreeReturn: 3.59%
spreadRequirement: $43500
-->spreadLowerStrikePrice: 6360
-->strikePrice: 6795
-->trailingStopPrice: 54.50
bidPrice: 2.3
askPrice: 2.4
pctOTM: 1.39%
delta: -0.0765
gamma: 0.0021
theoreticalPrice: 2.35
origDelta: -0.0779
origGamma: 0.0021
maxLossIfStoppedOut: 5519.68
ivToVIXRatio: 0.7448
impliedVolatility: 16.45%
origImpliedVolatility: 18.86%
premiumPerContract: $229.35
payoffUtility: $108
premiumCapture: 47.04%
annualizedPremiumPerContract: $57960
unleveragedAnnualizedYield: 8.41%
leveragedAnnualizedYield: 45.11%
marginRequirementPerContract: $128492
leverageFactor: 5.3
sharpe: 1.10

***CALL SIDE***
currentDate: 2026-02-24
expires: 2026-02-25
underlyingPrice: 6890.47
VIX: 22.08
riskFreeReturn: 3.59%
spreadRequirement: $2000
-->spreadLowerStrikePrice: 7005
-->strikePrice: 6985
-->trailingStopPrice: 8.70
bidPrice: 0.05
askPrice: 0.15
pctOTM: 1.37%
delta: 0.0079
gamma: 0.0006
theoreticalPrice: 0.10
origDelta: 0.0082
origGamma: 0.0006
maxLossIfStoppedOut: 943.22
ivToVIXRatio: 0.4207
impliedVolatility: 9.29%
origImpliedVolatility: 10.73%
premiumPerContract: $4.35
payoffUtility: $3
premiumCapture: 64.72%
annualizedPremiumPerContract: $1260
unleveragedAnnualizedYield: 0.18%
leveragedAnnualizedYield: 0.98%
marginRequirementPerContract: $128361
leverageFactor: 5.4
sharpe: 0.23