Expiration: 2026-03-12
--
BuyPutStrike: 5800
SellPutStrike: 6625
SellCallStrike: 6880
BuyCallStrike: 6960
--
PutTrailingStop: 31.70
CallTrailingStop: 21.50

***PUT SIDE***
currentDate: 2026-03-11
expires: 2026-03-12
underlyingPrice: 6773.6
VIX: 26.23
riskFreeReturn: 3.60%
spreadRequirement: $82500
-->spreadLowerStrikePrice: 5800
-->strikePrice: 6625
-->trailingStopPrice: 31.70
bidPrice: 2.7
askPrice: 2.8
pctOTM: 2.19%
delta: -0.0633
gamma: 0.0012
theoreticalPrice: 2.75
origDelta: -0.0651
origGamma: 0.0013
maxLossIfStoppedOut: 3244.12
ivToVIXRatio: 0.9295
impliedVolatility: 24.38%
origImpliedVolatility: 27.97%
premiumPerContract: $269.35
payoffUtility: $203
premiumCapture: 75.06%
annualizedPremiumPerContract: $68040
unleveragedAnnualizedYield: 10.04%
leveragedAnnualizedYield: 56.29%
marginRequirementPerContract: $120882
leverageFactor: 5.5
sharpe: 1.59

***CALL SIDE***
currentDate: 2026-03-11
expires: 2026-03-12
underlyingPrice: 6773.6
VIX: 26.23
riskFreeReturn: 3.60%
spreadRequirement: $8000
-->spreadLowerStrikePrice: 6960
-->strikePrice: 6880
-->trailingStopPrice: 21.50
bidPrice: 0.85
askPrice: 0.95
pctOTM: 1.57%
delta: 0.0382
gamma: 0.0014
theoreticalPrice: 0.90
origDelta: 0.0390
origGamma: 0.0014
maxLossIfStoppedOut: 2217.13
ivToVIXRatio: 0.5510
impliedVolatility: 14.45%
origImpliedVolatility: 16.71%
premiumPerContract: $84.35
payoffUtility: $61
premiumCapture: 72.04%
annualizedPremiumPerContract: $21420
unleveragedAnnualizedYield: 3.16%
leveragedAnnualizedYield: 17.15%
marginRequirementPerContract: $124917
leverageFactor: 5.5
sharpe: 0.83