Expiration: 2026-03-03
--
BuyPutStrike: 6150
SellPutStrike: 6750
SellCallStrike: 6955
BuyCallStrike: 7005
--
PutTrailingStop: 35.30
CallTrailingStop: 35.50

***PUT SIDE***
currentDate: 2026-03-02
expires: 2026-03-03
underlyingPrice: 6885.15
VIX: 25.24
riskFreeReturn: 3.59%
spreadRequirement: $60000
-->spreadLowerStrikePrice: 6150
-->strikePrice: 6750
-->trailingStopPrice: 35.30
bidPrice: 2.4
askPrice: 2.5
pctOTM: 1.96%
delta: -0.0625
gamma: 0.0014
theoreticalPrice: 2.45
origDelta: -0.0640
origGamma: 0.0014
maxLossIfStoppedOut: 3600.40
ivToVIXRatio: 0.8601
impliedVolatility: 21.71%
origImpliedVolatility: 24.83%
premiumPerContract: $239.35
payoffUtility: $170
premiumCapture: 70.77%
annualizedPremiumPerContract: $60480
unleveragedAnnualizedYield: 8.78%
leveragedAnnualizedYield: 48.61%
marginRequirementPerContract: $124428
leverageFactor: 5.4
sharpe: 1.41

***CALL SIDE***
currentDate: 2026-03-02
expires: 2026-03-03
underlyingPrice: 6885.15
VIX: 25.24
riskFreeReturn: 3.59%
spreadRequirement: $5000
-->spreadLowerStrikePrice: 7005
-->strikePrice: 6955
-->trailingStopPrice: 35.50
bidPrice: 0.65
askPrice: 0.75
pctOTM: 1.01%
delta: 0.0430
gamma: 0.0023
theoreticalPrice: 0.70
origDelta: 0.0427
origGamma: 0.0022
maxLossIfStoppedOut: 3620.61
ivToVIXRatio: 0.3816
impliedVolatility: 9.63%
origImpliedVolatility: 11.11%
premiumPerContract: $64.35
payoffUtility: $24
premiumCapture: 36.91%
annualizedPremiumPerContract: $16380
unleveragedAnnualizedYield: 2.38%
leveragedAnnualizedYield: 12.52%
marginRequirementPerContract: $130783
leverageFactor: 5.3
sharpe: 0.55