Expiration: 2026-02-27
--
BuyPutStrike: 6290
SellPutStrike: 6805
SellCallStrike: 6980
BuyCallStrike: 7030
--
PutTrailingStop: 50.20
CallTrailingStop: 35.70

***PUT SIDE***
currentDate: 2026-02-26
expires: 2026-02-27
underlyingPrice: 6908.87
VIX: 20.54
riskFreeReturn: 3.59%
spreadRequirement: $51500
-->spreadLowerStrikePrice: 6290
-->strikePrice: 6805
-->trailingStopPrice: 50.20
bidPrice: 2.5
askPrice: 2.6
pctOTM: 1.50%
delta: -0.0763
gamma: 0.0019
theoreticalPrice: 2.55
origDelta: -0.0786
origGamma: 0.0020
maxLossIfStoppedOut: 5085.81
ivToVIXRatio: 0.8701
impliedVolatility: 17.87%
origImpliedVolatility: 20.44%
premiumPerContract: $249.35
payoffUtility: $135
premiumCapture: 54.12%
annualizedPremiumPerContract: $63000
unleveragedAnnualizedYield: 9.12%
leveragedAnnualizedYield: 49.20%
marginRequirementPerContract: $128040
leverageFactor: 5.3
sharpe: 1.20

***CALL SIDE***
currentDate: 2026-02-26
expires: 2026-02-27
underlyingPrice: 6908.87
VIX: 20.54
riskFreeReturn: 3.59%
spreadRequirement: $5000
-->spreadLowerStrikePrice: 7030
-->strikePrice: 6980
-->trailingStopPrice: 35.70
bidPrice: 0.7
askPrice: 0.8
pctOTM: 1.03%
delta: 0.0446
gamma: 0.0023
theoreticalPrice: 0.75
origDelta: 0.0453
origGamma: 0.0023
maxLossIfStoppedOut: 3636.30
ivToVIXRatio: 0.4823
impliedVolatility: 9.91%
origImpliedVolatility: 11.49%
premiumPerContract: $69.35
payoffUtility: $27
premiumCapture: 38.68%
annualizedPremiumPerContract: $17640
unleveragedAnnualizedYield: 2.55%
leveragedAnnualizedYield: 13.45%
marginRequirementPerContract: $131134
leverageFactor: 5.3
sharpe: 0.57