Expiration: 2026-03-18
--
BuyPutStrike: 5925
SellPutStrike: 6585
SellCallStrike: 6810
BuyCallStrike: 6930
--
PutTrailingStop: 36.10
CallTrailingStop: 27.30

***PUT SIDE***
currentDate: 2026-03-17
expires: 2026-03-18
underlyingPrice: 6716.18
VIX: 24.58
riskFreeReturn: 3.60%
spreadRequirement: $66000
-->spreadLowerStrikePrice: 5925
-->strikePrice: 6585
-->trailingStopPrice: 36.10
bidPrice: 2.5
askPrice: 2.55
pctOTM: 1.95%
delta: -0.0651
gamma: 0.0014
theoreticalPrice: 2.53
origDelta: -0.0657
origGamma: 0.0014
maxLossIfStoppedOut: 3681.30
ivToVIXRatio: 0.8897
impliedVolatility: 21.87%
origImpliedVolatility: 25.15%
premiumPerContract: $249.35
payoffUtility: $175
premiumCapture: 70.00%
annualizedPremiumPerContract: $63000
unleveragedAnnualizedYield: 9.38%
leveragedAnnualizedYield: 51.87%
marginRequirementPerContract: $121456
leverageFactor: 5.4
sharpe: 1.44

***CALL SIDE***
currentDate: 2026-03-17
expires: 2026-03-18
underlyingPrice: 6716.18
VIX: 24.58
riskFreeReturn: 3.60%
spreadRequirement: $12000
-->spreadLowerStrikePrice: 6930
-->strikePrice: 6810
-->trailingStopPrice: 27.30
bidPrice: 1.05
askPrice: 1.15
pctOTM: 1.40%
delta: 0.0481
gamma: 0.0018
theoreticalPrice: 1.10
origDelta: 0.0493
origGamma: 0.0018
maxLossIfStoppedOut: 2799.69
ivToVIXRatio: 0.5564
impliedVolatility: 13.68%
origImpliedVolatility: 15.68%
premiumPerContract: $104.35
payoffUtility: $67
premiumCapture: 63.95%
annualizedPremiumPerContract: $26460
unleveragedAnnualizedYield: 3.94%
leveragedAnnualizedYield: 21.16%
marginRequirementPerContract: $125047
leverageFactor: 5.4
sharpe: 0.82