Expiration: 2026-03-19
--
BuyPutStrike: 5875
SellPutStrike: 6475
SellCallStrike: 6750
BuyCallStrike: 6955
--
PutTrailingStop: 31.00
CallTrailingStop: 20.00

***PUT SIDE***
currentDate: 2026-03-18
expires: 2026-03-19
underlyingPrice: 6627.34
VIX: 24.53
riskFreeReturn: 3.61%
spreadRequirement: $60000
-->spreadLowerStrikePrice: 5875
-->strikePrice: 6475
-->trailingStopPrice: 31.00
bidPrice: 3
askPrice: 3.1
pctOTM: 2.30%
delta: -0.0666
gamma: 0.0012
theoreticalPrice: 3.05
origDelta: -0.0688
origGamma: 0.0013
maxLossIfStoppedOut: 3165.03
ivToVIXRatio: 1.0607
impliedVolatility: 26.02%
origImpliedVolatility: 29.92%
premiumPerContract: $299.35
payoffUtility: $228
premiumCapture: 76.16%
annualizedPremiumPerContract: $75600
unleveragedAnnualizedYield: 11.41%
leveragedAnnualizedYield: 64.28%
marginRequirementPerContract: $117613
leverageFactor: 5.5
sharpe: 1.71

***CALL SIDE***
currentDate: 2026-03-18
expires: 2026-03-19
underlyingPrice: 6627.34
VIX: 24.53
riskFreeReturn: 3.61%
spreadRequirement: $20500
-->spreadLowerStrikePrice: 6955
-->strikePrice: 6750
-->trailingStopPrice: 20.00
bidPrice: 1.3
askPrice: 1.35
pctOTM: 1.85%
delta: 0.0454
gamma: 0.0013
theoreticalPrice: 1.33
origDelta: 0.0464
origGamma: 0.0014
maxLossIfStoppedOut: 2072.14
ivToVIXRatio: 0.7273
impliedVolatility: 17.84%
origImpliedVolatility: 20.57%
premiumPerContract: $129.35
payoffUtility: $101
premiumCapture: 77.96%
annualizedPremiumPerContract: $32760
unleveragedAnnualizedYield: 4.94%
leveragedAnnualizedYield: 27.21%
marginRequirementPerContract: $120411
leverageFactor: 5.6
sharpe: 1.09