Expiration: 2026-03-04
--
BuyPutStrike: 5925
SellPutStrike: 6645
SellCallStrike: 6920
BuyCallStrike: 6990
--
PutTrailingStop: 27.30
CallTrailingStop: 21.30

***PUT SIDE***
currentDate: 2026-03-03
expires: 2026-03-04
underlyingPrice: 6811.04
VIX: 28.15
riskFreeReturn: 3.60%
spreadRequirement: $72000
-->spreadLowerStrikePrice: 5925
-->strikePrice: 6645
-->trailingStopPrice: 27.30
bidPrice: 2.6
askPrice: 2.7
pctOTM: 2.44%
delta: -0.0573
gamma: 0.0011
theoreticalPrice: 2.65
origDelta: -0.0586
origGamma: 0.0011
maxLossIfStoppedOut: 2795.39
ivToVIXRatio: 0.9317
impliedVolatility: 26.23%
origImpliedVolatility: 30.08%
premiumPerContract: $259.35
payoffUtility: $206
premiumCapture: 79.27%
annualizedPremiumPerContract: $65520
unleveragedAnnualizedYield: 9.62%
leveragedAnnualizedYield: 54.66%
marginRequirementPerContract: $119877
leverageFactor: 5.5
sharpe: 1.68

***CALL SIDE***
currentDate: 2026-03-03
expires: 2026-03-04
underlyingPrice: 6811.04
VIX: 28.15
riskFreeReturn: 3.60%
spreadRequirement: $7000
-->spreadLowerStrikePrice: 6990
-->strikePrice: 6920
-->trailingStopPrice: 21.30
bidPrice: 0.9
askPrice: 1
pctOTM: 1.60%
delta: 0.0390
gamma: 0.0014
theoreticalPrice: 0.95
origDelta: 0.0391
origGamma: 0.0014
maxLossIfStoppedOut: 2202.68
ivToVIXRatio: 0.5254
impliedVolatility: 14.79%
origImpliedVolatility: 17.01%
premiumPerContract: $89.35
payoffUtility: $66
premiumCapture: 72.98%
annualizedPremiumPerContract: $22680
unleveragedAnnualizedYield: 3.33%
leveragedAnnualizedYield: 18.08%
marginRequirementPerContract: $125415
leverageFactor: 5.5
sharpe: 0.85