Expiration: 2026-03-25
--
BuyPutStrike: 5750
SellPutStrike: 6410
SellCallStrike: 6690
BuyCallStrike: 6835
--
PutTrailingStop: 30.40
CallTrailingStop: 16.60

***PUT SIDE***
currentDate: 2026-03-24
expires: 2026-03-25
underlyingPrice: 6555.71
VIX: 27.94
riskFreeReturn: 3.62%
spreadRequirement: $66000
-->spreadLowerStrikePrice: 5750
-->strikePrice: 6410
-->trailingStopPrice: 30.40
bidPrice: 2.4
askPrice: 2.5
pctOTM: 2.22%
delta: -0.0594
gamma: 0.0012
theoreticalPrice: 2.45
origDelta: -0.0607
origGamma: 0.0013
maxLossIfStoppedOut: 3112.53
ivToVIXRatio: 0.8649
impliedVolatility: 24.17%
origImpliedVolatility: 27.75%
premiumPerContract: $239.35
payoffUtility: $181
premiumCapture: 75.25%
annualizedPremiumPerContract: $60480
unleveragedAnnualizedYield: 9.23%
leveragedAnnualizedYield: 51.79%
marginRequirementPerContract: $116783
leverageFactor: 5.5
sharpe: 1.55

***CALL SIDE***
currentDate: 2026-03-24
expires: 2026-03-25
underlyingPrice: 6555.71
VIX: 27.94
riskFreeReturn: 3.62%
spreadRequirement: $14500
-->spreadLowerStrikePrice: 6835
-->strikePrice: 6690
-->trailingStopPrice: 16.60
bidPrice: 1.1
askPrice: 1.2
pctOTM: 2.05%
delta: 0.0386
gamma: 0.0011
theoreticalPrice: 1.15
origDelta: 0.0396
origGamma: 0.0011
maxLossIfStoppedOut: 1727.69
ivToVIXRatio: 0.6751
impliedVolatility: 18.86%
origImpliedVolatility: 21.69%
premiumPerContract: $109.35
payoffUtility: $90
premiumCapture: 81.59%
annualizedPremiumPerContract: $27720
unleveragedAnnualizedYield: 4.23%
leveragedAnnualizedYield: 23.53%
marginRequirementPerContract: $117795
leverageFactor: 5.7
sharpe: 1.10