Expiration: 2026-03-11
--
BuyPutStrike: 5975
SellPutStrike: 6595
SellCallStrike: 6895
BuyCallStrike: 7000
--
PutTrailingStop: 25.50
CallTrailingStop: 21.00

***PUT SIDE***
currentDate: 2026-03-10
expires: 2026-03-11
underlyingPrice: 6777.25
VIX: 26.01
riskFreeReturn: 3.60%
spreadRequirement: $62000
-->spreadLowerStrikePrice: 5975
-->strikePrice: 6595
-->trailingStopPrice: 25.50
bidPrice: 3.2
askPrice: 3.3
pctOTM: 2.69%
delta: -0.0616
gamma: 0.0010
theoreticalPrice: 3.25
origDelta: -0.0615
origGamma: 0.0010
maxLossIfStoppedOut: 2621.23
ivToVIXRatio: 1.1426
impliedVolatility: 29.72%
origImpliedVolatility: 33.92%
premiumPerContract: $319.35
payoffUtility: $261
premiumCapture: 81.57%
annualizedPremiumPerContract: $80640
unleveragedAnnualizedYield: 11.90%
leveragedAnnualizedYield: 68.55%
marginRequirementPerContract: $117640
leverageFactor: 5.6
sharpe: 1.93

***CALL SIDE***
currentDate: 2026-03-10
expires: 2026-03-11
underlyingPrice: 6777.25
VIX: 26.01
riskFreeReturn: 3.60%
spreadRequirement: $10500
-->spreadLowerStrikePrice: 7000
-->strikePrice: 6895
-->trailingStopPrice: 21.00
bidPrice: 1.15
askPrice: 1.3
pctOTM: 1.74%
delta: 0.0443
gamma: 0.0014
theoreticalPrice: 1.23
origDelta: 0.0453
origGamma: 0.0014
maxLossIfStoppedOut: 2173.01
ivToVIXRatio: 0.6399
impliedVolatility: 16.64%
origImpliedVolatility: 19.11%
premiumPerContract: $114.35
payoffUtility: $87
premiumCapture: 75.34%
annualizedPremiumPerContract: $28980
unleveragedAnnualizedYield: 4.28%
leveragedAnnualizedYield: 23.39%
marginRequirementPerContract: $123885
leverageFactor: 5.6
sharpe: 0.97