Expiration: 2026-03-10
--
BuyPutStrike: 5500
SellPutStrike: 6585
SellCallStrike: 6930
BuyCallStrike: 7040
--
PutTrailingStop: 19.20
CallTrailingStop: 15.40

***PUT SIDE***
currentDate: 2026-03-09
expires: 2026-03-10
underlyingPrice: 6798.38
VIX: 35.30
riskFreeReturn: 3.59%
spreadRequirement: $108500
-->spreadLowerStrikePrice: 5500
-->strikePrice: 6585
-->trailingStopPrice: 19.20
bidPrice: 2.5
askPrice: 2.65
pctOTM: 3.14%
delta: -0.0472
gamma: 0.0008
theoreticalPrice: 2.57
origDelta: -0.0488
origGamma: 0.0008
maxLossIfStoppedOut: 1987.52
ivToVIXRatio: 0.9081
impliedVolatility: 32.05%
origImpliedVolatility: 36.72%
premiumPerContract: $249.35
payoffUtility: $216
premiumCapture: 86.24%
annualizedPremiumPerContract: $63000
unleveragedAnnualizedYield: 9.27%
leveragedAnnualizedYield: 54.84%
marginRequirementPerContract: $114880
leverageFactor: 5.7
sharpe: 1.96

***CALL SIDE***
currentDate: 2026-03-09
expires: 2026-03-10
underlyingPrice: 6798.38
VIX: 35.30
riskFreeReturn: 3.59%
spreadRequirement: $11000
-->spreadLowerStrikePrice: 7040
-->strikePrice: 6930
-->trailingStopPrice: 15.40
bidPrice: 0.75
askPrice: 0.9
pctOTM: 1.94%
delta: 0.0308
gamma: 0.0010
theoreticalPrice: 0.83
origDelta: 0.0315
origGamma: 0.0010
maxLossIfStoppedOut: 1610.73
ivToVIXRatio: 0.4795
impliedVolatility: 16.93%
origImpliedVolatility: 19.59%
premiumPerContract: $74.35
payoffUtility: $61
premiumCapture: 81.08%
annualizedPremiumPerContract: $18900
unleveragedAnnualizedYield: 2.78%
leveragedAnnualizedYield: 15.38%
marginRequirementPerContract: $122881
leverageFactor: 5.6
sharpe: 0.90