Expiration: 2026-03-16
--
BuyPutStrike: 5400
SellPutStrike: 6395
SellCallStrike: 6805
BuyCallStrike: 6970
--
PutTrailingStop: 18.60
CallTrailingStop: 13.20

***PUT SIDE***
currentDate: 2026-03-13
expires: 2026-03-16
underlyingPrice: 6631.55
VIX: 28.47
riskFreeReturn: 3.60%
spreadRequirement: $99500
-->spreadLowerStrikePrice: 5400
-->strikePrice: 6395
-->trailingStopPrice: 18.60
bidPrice: 3.8
askPrice: 4
pctOTM: 3.57%
delta: -0.0581
gamma: 0.0007
theoreticalPrice: 3.90
origDelta: -0.0592
origGamma: 0.0008
maxLossIfStoppedOut: 1930.03
ivToVIXRatio: 1.1176
impliedVolatility: 31.82%
origImpliedVolatility: 25.90%
premiumPerContract: $379.35
payoffUtility: $331
premiumCapture: 87.08%
annualizedPremiumPerContract: $95760
unleveragedAnnualizedYield: 14.44%
leveragedAnnualizedYield: 87.57%
marginRequirementPerContract: $109356
leverageFactor: 5.8
sharpe: 2.48

***CALL SIDE***
currentDate: 2026-03-13
expires: 2026-03-16
underlyingPrice: 6631.55
VIX: 28.47
riskFreeReturn: 3.60%
spreadRequirement: $16500
-->spreadLowerStrikePrice: 6970
-->strikePrice: 6805
-->trailingStopPrice: 13.20
bidPrice: 1.45
askPrice: 1.6
pctOTM: 2.62%
delta: 0.0395
gamma: 0.0009
theoreticalPrice: 1.52
origDelta: 0.0406
origGamma: 0.0009
maxLossIfStoppedOut: 1390.74
ivToVIXRatio: 0.6931
impliedVolatility: 19.73%
origImpliedVolatility: 16.00%
premiumPerContract: $144.35
payoffUtility: $126
premiumCapture: 87.06%
annualizedPremiumPerContract: $36540
unleveragedAnnualizedYield: 5.51%
leveragedAnnualizedYield: 31.66%
marginRequirementPerContract: $115431
leverageFactor: 5.9
sharpe: 1.40