Expiration: 2026-03-13
--
BuyPutStrike: 5475
SellPutStrike: 6500
SellCallStrike: 6820
BuyCallStrike: 6960
--
PutTrailingStop: 26.40
CallTrailingStop: 16.10

***PUT SIDE***
currentDate: 2026-03-12
expires: 2026-03-13
underlyingPrice: 6672.29
VIX: 27.22
riskFreeReturn: 3.60%
spreadRequirement: $102500
-->spreadLowerStrikePrice: 5475
-->strikePrice: 6500
-->trailingStopPrice: 26.40
bidPrice: 2.9
askPrice: 3.1
pctOTM: 2.58%
delta: -0.0607
gamma: 0.0011
theoreticalPrice: 3.00
origDelta: -0.0621
origGamma: 0.0011
maxLossIfStoppedOut: 2710.78
ivToVIXRatio: 1.0434
impliedVolatility: 28.40%
origImpliedVolatility: 32.48%
premiumPerContract: $289.35
payoffUtility: $232
premiumCapture: 80.12%
annualizedPremiumPerContract: $73080
unleveragedAnnualizedYield: 10.95%
leveragedAnnualizedYield: 62.73%
marginRequirementPerContract: $116507
leverageFactor: 5.6
sharpe: 1.80

***CALL SIDE***
currentDate: 2026-03-12
expires: 2026-03-13
underlyingPrice: 6672.29
VIX: 27.22
riskFreeReturn: 3.60%
spreadRequirement: $14000
-->spreadLowerStrikePrice: 6960
-->strikePrice: 6820
-->trailingStopPrice: 16.10
bidPrice: 1.4
askPrice: 1.45
pctOTM: 2.21%
delta: 0.0420
gamma: 0.0011
theoreticalPrice: 1.43
origDelta: 0.0429
origGamma: 0.0011
maxLossIfStoppedOut: 1678.17
ivToVIXRatio: 0.7676
impliedVolatility: 20.89%
origImpliedVolatility: 24.13%
premiumPerContract: $139.35
payoffUtility: $117
premiumCapture: 83.72%
annualizedPremiumPerContract: $35280
unleveragedAnnualizedYield: 5.29%
leveragedAnnualizedYield: 29.69%
marginRequirementPerContract: $118815
leverageFactor: 5.7
sharpe: 1.26