Expiration: 2026-03-20
--
BuyPutStrike: 5640
SellPutStrike: 6445
SellCallStrike: 6740
BuyCallStrike: 7050
--
PutTrailingStop: 27.10
CallTrailingStop: 17.10

***PUT SIDE***
currentDate: 2026-03-19
expires: 2026-03-20
underlyingPrice: 6606.56
VIX: 27.52
riskFreeReturn: 3.61%
spreadRequirement: $80500
-->spreadLowerStrikePrice: 5640
-->strikePrice: 6445
-->trailingStopPrice: 27.10
bidPrice: 2.5
askPrice: 2.6
pctOTM: 2.45%
delta: -0.0569
gamma: 0.0011
theoreticalPrice: 2.55
origDelta: -0.0575
origGamma: 0.0011
maxLossIfStoppedOut: 2778.07
ivToVIXRatio: 0.9558
impliedVolatility: 26.30%
origImpliedVolatility: 30.27%
premiumPerContract: $249.35
payoffUtility: $197
premiumCapture: 78.91%
annualizedPremiumPerContract: $63000
unleveragedAnnualizedYield: 9.54%
leveragedAnnualizedYield: 54.21%
marginRequirementPerContract: $116225
leverageFactor: 5.5
sharpe: 1.68

***CALL SIDE***
currentDate: 2026-03-19
expires: 2026-03-20
underlyingPrice: 6606.56
VIX: 27.52
riskFreeReturn: 3.61%
spreadRequirement: $31000
-->spreadLowerStrikePrice: 7050
-->strikePrice: 6740
-->trailingStopPrice: 17.10
bidPrice: 1.15
askPrice: 1.25
pctOTM: 2.02%
delta: 0.0400
gamma: 0.0012
theoreticalPrice: 1.20
origDelta: 0.0412
origGamma: 0.0012
maxLossIfStoppedOut: 1783.97
ivToVIXRatio: 0.6835
impliedVolatility: 18.81%
origImpliedVolatility: 21.50%
premiumPerContract: $114.35
payoffUtility: $93
premiumCapture: 81.10%
annualizedPremiumPerContract: $28980
unleveragedAnnualizedYield: 4.39%
leveragedAnnualizedYield: 24.37%
marginRequirementPerContract: $118902
leverageFactor: 5.7
sharpe: 1.10