Expiration: 2026-03-06
--
BuyPutStrike: 5850
SellPutStrike: 6665
SellCallStrike: 6935
BuyCallStrike: 7020
--
PutTrailingStop: 28.30
CallTrailingStop: 23.60

***PUT SIDE***
currentDate: 2026-03-05
expires: 2026-03-06
underlyingPrice: 6830.74
VIX: 25.84
riskFreeReturn: 3.59%
spreadRequirement: $81500
-->spreadLowerStrikePrice: 5850
-->strikePrice: 6665
-->trailingStopPrice: 28.30
bidPrice: 2.85
askPrice: 3
pctOTM: 2.43%
delta: -0.0613
gamma: 0.0011
theoreticalPrice: 2.93
origDelta: -0.0635
origGamma: 0.0011
maxLossIfStoppedOut: 2895.14
ivToVIXRatio: 1.0359
impliedVolatility: 26.77%
origImpliedVolatility: 30.65%
premiumPerContract: $284.35
payoffUtility: $224
premiumCapture: 78.69%
annualizedPremiumPerContract: $71820
unleveragedAnnualizedYield: 10.51%
leveragedAnnualizedYield: 59.69%
marginRequirementPerContract: $120326
leverageFactor: 5.5
sharpe: 1.72

***CALL SIDE***
currentDate: 2026-03-05
expires: 2026-03-06
underlyingPrice: 6830.74
VIX: 25.84
riskFreeReturn: 3.59%
spreadRequirement: $8500
-->spreadLowerStrikePrice: 7020
-->strikePrice: 6935
-->trailingStopPrice: 23.60
bidPrice: 1
askPrice: 1.1
pctOTM: 1.53%
delta: 0.0433
gamma: 0.0015
theoreticalPrice: 1.05
origDelta: 0.0439
origGamma: 0.0015
maxLossIfStoppedOut: 2433.71
ivToVIXRatio: 0.5632
impliedVolatility: 14.55%
origImpliedVolatility: 16.89%
premiumPerContract: $99.35
payoffUtility: $70
premiumCapture: 70.11%
annualizedPremiumPerContract: $25200
unleveragedAnnualizedYield: 3.69%
leveragedAnnualizedYield: 19.95%
marginRequirementPerContract: $126289
leverageFactor: 5.5
sharpe: 0.85