Expiration: 2026-03-24
--
BuyPutStrike: 5775
SellPutStrike: 6415
SellCallStrike: 6720
BuyCallStrike: 6825
--
PutTrailingStop: 24.80
CallTrailingStop: 14.90

***PUT SIDE***
currentDate: 2026-03-23
expires: 2026-03-24
underlyingPrice: 6580.64
VIX: 31.04
riskFreeReturn: 3.61%
spreadRequirement: $64000
-->spreadLowerStrikePrice: 5775
-->strikePrice: 6415
-->trailingStopPrice: 24.80
bidPrice: 2.15
askPrice: 2.25
pctOTM: 2.52%
delta: -0.0505
gamma: 0.0010
theoreticalPrice: 2.20
origDelta: -0.0510
origGamma: 0.0010
maxLossIfStoppedOut: 2554.31
ivToVIXRatio: 0.8429
impliedVolatility: 26.17%
origImpliedVolatility: 30.13%
premiumPerContract: $214.35
payoffUtility: $173
premiumCapture: 80.34%
annualizedPremiumPerContract: $54180
unleveragedAnnualizedYield: 8.23%
leveragedAnnualizedYield: 47.01%
marginRequirementPerContract: $115264
leverageFactor: 5.6
sharpe: 1.63

***CALL SIDE***
currentDate: 2026-03-23
expires: 2026-03-24
underlyingPrice: 6580.64
VIX: 31.04
riskFreeReturn: 3.61%
spreadRequirement: $10500
-->spreadLowerStrikePrice: 6825
-->strikePrice: 6720
-->trailingStopPrice: 14.90
bidPrice: 0.95
askPrice: 1.05
pctOTM: 2.12%
delta: 0.0340
gamma: 0.0010
theoreticalPrice: 1.00
origDelta: 0.0364
origGamma: 0.0010
maxLossIfStoppedOut: 1562.26
ivToVIXRatio: 0.6107
impliedVolatility: 18.96%
origImpliedVolatility: 21.81%
premiumPerContract: $94.35
payoffUtility: $79
premiumCapture: 83.25%
annualizedPremiumPerContract: $23940
unleveragedAnnualizedYield: 3.64%
leveragedAnnualizedYield: 20.33%
marginRequirementPerContract: $117772
leverageFactor: 5.7
sharpe: 1.07