Expiration: 2026-03-17
--
BuyPutStrike: 5825
SellPutStrike: 6565
SellCallStrike: 6795
BuyCallStrike: 6885
--
PutTrailingStop: 34.10
CallTrailingStop: 25.70

***PUT SIDE***
currentDate: 2026-03-16
expires: 2026-03-17
underlyingPrice: 6699.07
VIX: 26.42
riskFreeReturn: 3.60%
spreadRequirement: $74000
-->spreadLowerStrikePrice: 5825
-->strikePrice: 6565
-->trailingStopPrice: 34.10
bidPrice: 2.25
askPrice: 2.35
pctOTM: 2.00%
delta: -0.0602
gamma: 0.0014
theoreticalPrice: 2.30
origDelta: -0.0610
origGamma: 0.0014
maxLossIfStoppedOut: 3475.33
ivToVIXRatio: 0.8283
impliedVolatility: 21.88%
origImpliedVolatility: 25.09%
premiumPerContract: $224.35
payoffUtility: $160
premiumCapture: 71.18%
annualizedPremiumPerContract: $56700
unleveragedAnnualizedYield: 8.46%
leveragedAnnualizedYield: 46.94%
marginRequirementPerContract: $120799
leverageFactor: 5.4
sharpe: 1.40

***CALL SIDE***
currentDate: 2026-03-16
expires: 2026-03-17
underlyingPrice: 6699.07
VIX: 26.42
riskFreeReturn: 3.60%
spreadRequirement: $9000
-->spreadLowerStrikePrice: 6885
-->strikePrice: 6795
-->trailingStopPrice: 25.70
bidPrice: 0.95
askPrice: 1.1
pctOTM: 1.43%
delta: 0.0451
gamma: 0.0017
theoreticalPrice: 1.03
origDelta: 0.0461
origGamma: 0.0017
maxLossIfStoppedOut: 2644.40
ivToVIXRatio: 0.5220
impliedVolatility: 13.79%
origImpliedVolatility: 15.83%
premiumPerContract: $94.35
payoffUtility: $62
premiumCapture: 64.97%
annualizedPremiumPerContract: $23940
unleveragedAnnualizedYield: 3.57%
leveragedAnnualizedYield: 19.23%
marginRequirementPerContract: $124483
leverageFactor: 5.5
sharpe: 0.79