Expiration: 2026-03-02
--
BuyPutStrike: 5800
SellPutStrike: 6720
SellCallStrike: 6965
BuyCallStrike: 7050
--
PutTrailingStop: 33.70
CallTrailingStop: 26.80

***PUT SIDE***
currentDate: 2026-02-27
expires: 2026-03-02
underlyingPrice: 6871.57
VIX: 21.74
riskFreeReturn: 3.58%
spreadRequirement: $92000
-->spreadLowerStrikePrice: 5800
-->strikePrice: 6720
-->trailingStopPrice: 33.70
bidPrice: 3.5
askPrice: 3.7
pctOTM: 2.21%
delta: -0.0743
gamma: 0.0013
theoreticalPrice: 3.60
origDelta: -0.0755
origGamma: 0.0013
maxLossIfStoppedOut: 3435.66
ivToVIXRatio: 0.9786
impliedVolatility: 21.27%
origImpliedVolatility: 17.56%
premiumPerContract: $349.35
payoffUtility: $261
premiumCapture: 74.71%
annualizedPremiumPerContract: $88200
unleveragedAnnualizedYield: 12.84%
leveragedAnnualizedYield: 71.93%
marginRequirementPerContract: $122624
leverageFactor: 5.5
sharpe: 1.73

***CALL SIDE***
currentDate: 2026-02-27
expires: 2026-03-02
underlyingPrice: 6871.57
VIX: 21.74
riskFreeReturn: 3.58%
spreadRequirement: $8500
-->spreadLowerStrikePrice: 7050
-->strikePrice: 6965
-->trailingStopPrice: 26.80
bidPrice: 0.9
askPrice: 1
pctOTM: 1.36%
delta: 0.0436
gamma: 0.0017
theoreticalPrice: 0.95
origDelta: 0.0457
origGamma: 0.0018
maxLossIfStoppedOut: 2747.01
ivToVIXRatio: 0.4852
impliedVolatility: 10.55%
origImpliedVolatility: 8.38%
premiumPerContract: $89.35
payoffUtility: $57
premiumCapture: 63.23%
annualizedPremiumPerContract: $22680
unleveragedAnnualizedYield: 3.30%
leveragedAnnualizedYield: 17.69%
marginRequirementPerContract: $128178
leverageFactor: 5.4
sharpe: 0.76