Expiration: 2026-03-09
--
BuyPutStrike: 5400
SellPutStrike: 6470
SellCallStrike: 6900
BuyCallStrike: 6975
--
PutTrailingStop: 16.40
CallTrailingStop: 14.00

***PUT SIDE***
currentDate: 2026-03-06
expires: 2026-03-09
underlyingPrice: 6737.89
VIX: 29.70
riskFreeReturn: 3.57%
spreadRequirement: $107000
-->spreadLowerStrikePrice: 5400
-->strikePrice: 6470
-->trailingStopPrice: 16.40
bidPrice: 4.1
askPrice: 4.3
pctOTM: 3.98%
delta: -0.0560
gamma: 0.0006
theoreticalPrice: 4.20
origDelta: -0.0577
origGamma: 0.0007
maxLossIfStoppedOut: 1706.87
ivToVIXRatio: 1.1851
impliedVolatility: 35.20%
origImpliedVolatility: 28.81%
premiumPerContract: $409.35
payoffUtility: $364
premiumCapture: 88.80%
annualizedPremiumPerContract: $103320
unleveragedAnnualizedYield: 15.33%
leveragedAnnualizedYield: 95.33%
marginRequirementPerContract: $108379
leverageFactor: 6.0
sharpe: 2.74

***CALL SIDE***
currentDate: 2026-03-06
expires: 2026-03-09
underlyingPrice: 6737.89
VIX: 29.70
riskFreeReturn: 3.57%
spreadRequirement: $7500
-->spreadLowerStrikePrice: 6975
-->strikePrice: 6900
-->trailingStopPrice: 14.00
bidPrice: 1.3
askPrice: 1.4
pctOTM: 2.41%
delta: 0.0380
gamma: 0.0009
theoreticalPrice: 1.35
origDelta: 0.0394
origGamma: 0.0009
maxLossIfStoppedOut: 1474.27
ivToVIXRatio: 0.6066
impliedVolatility: 18.02%
origImpliedVolatility: 14.80%
premiumPerContract: $129.35
payoffUtility: $112
premiumCapture: 85.94%
annualizedPremiumPerContract: $32760
unleveragedAnnualizedYield: 4.86%
leveragedAnnualizedYield: 27.60%
marginRequirementPerContract: $118677
leverageFactor: 5.8
sharpe: 1.28