Expiration: 2026-03-23
--
BuyPutStrike: 5200
SellPutStrike: 6285
SellCallStrike: 6680
BuyCallStrike: 6885
--
PutTrailingStop: 19.40
CallTrailingStop: 13.10

***PUT SIDE***
currentDate: 2026-03-20
expires: 2026-03-23
underlyingPrice: 6507.09
VIX: 29.28
riskFreeReturn: 3.62%
spreadRequirement: $108500
-->spreadLowerStrikePrice: 5200
-->strikePrice: 6285
-->trailingStopPrice: 19.40
bidPrice: 3.6
askPrice: 3.7
pctOTM: 3.41%
delta: -0.0580
gamma: 0.0008
theoreticalPrice: 3.65
origDelta: -0.0592
origGamma: 0.0008
maxLossIfStoppedOut: 2014.53
ivToVIXRatio: 1.0398
impliedVolatility: 30.45%
origImpliedVolatility: 25.05%
premiumPerContract: $359.35
payoffUtility: $311
premiumCapture: 86.36%
annualizedPremiumPerContract: $90720
unleveragedAnnualizedYield: 13.94%
leveragedAnnualizedYield: 83.77%
marginRequirementPerContract: $108293
leverageFactor: 5.8
sharpe: 2.40

***CALL SIDE***
currentDate: 2026-03-20
expires: 2026-03-23
underlyingPrice: 6507.09
VIX: 29.28
riskFreeReturn: 3.62%
spreadRequirement: $20500
-->spreadLowerStrikePrice: 6885
-->strikePrice: 6680
-->trailingStopPrice: 13.10
bidPrice: 1.5
askPrice: 1.6
pctOTM: 2.66%
delta: 0.0400
gamma: 0.0009
theoreticalPrice: 1.55
origDelta: 0.0416
origGamma: 0.0009
maxLossIfStoppedOut: 1380.41
ivToVIXRatio: 0.6880
impliedVolatility: 20.15%
origImpliedVolatility: 16.13%
premiumPerContract: $149.35
payoffUtility: $131
premiumCapture: 87.25%
annualizedPremiumPerContract: $37800
unleveragedAnnualizedYield: 5.81%
leveragedAnnualizedYield: 33.45%
marginRequirementPerContract: $113001
leverageFactor: 5.9
sharpe: 1.45