Expiration: 2026-03-05
--
BuyPutStrike: 6000
SellPutStrike: 6735
SellCallStrike: 6955
BuyCallStrike: 7005
--
PutTrailingStop: 34.70
CallTrailingStop: 32.50

***PUT SIDE***
currentDate: 2026-03-04
expires: 2026-03-05
underlyingPrice: 6876.55
VIX: 24.87
riskFreeReturn: 3.60%
spreadRequirement: $73500
-->spreadLowerStrikePrice: 6000
-->strikePrice: 6735
-->trailingStopPrice: 34.70
bidPrice: 2.8
askPrice: 2.9
pctOTM: 2.06%
delta: -0.0670
gamma: 0.0013
theoreticalPrice: 2.85
origDelta: -0.0686
origGamma: 0.0014
maxLossIfStoppedOut: 3538.51
ivToVIXRatio: 0.9383
impliedVolatility: 23.33%
origImpliedVolatility: 26.62%
premiumPerContract: $279.35
payoffUtility: $203
premiumCapture: 72.56%
annualizedPremiumPerContract: $70560
unleveragedAnnualizedYield: 10.26%
leveragedAnnualizedYield: 57.06%
marginRequirementPerContract: $123656
leverageFactor: 5.4
sharpe: 1.53

***CALL SIDE***
currentDate: 2026-03-04
expires: 2026-03-05
underlyingPrice: 6876.55
VIX: 24.87
riskFreeReturn: 3.60%
spreadRequirement: $5000
-->spreadLowerStrikePrice: 7005
-->strikePrice: 6955
-->trailingStopPrice: 32.50
bidPrice: 0.8
askPrice: 0.9
pctOTM: 1.14%
delta: 0.0455
gamma: 0.0021
theoreticalPrice: 0.85
origDelta: 0.0450
origGamma: 0.0021
maxLossIfStoppedOut: 3319.72
ivToVIXRatio: 0.4428
impliedVolatility: 11.01%
origImpliedVolatility: 12.77%
premiumPerContract: $79.35
payoffUtility: $39
premiumCapture: 49.24%
annualizedPremiumPerContract: $20160
unleveragedAnnualizedYield: 2.93%
leveragedAnnualizedYield: 15.54%
marginRequirementPerContract: $129766
leverageFactor: 5.4
sharpe: 0.64