Expiration: 2026-03-26
--
BuyPutStrike: 5900
SellPutStrike: 6450
SellCallStrike: 6710
BuyCallStrike: 6870
--
PutTrailingStop: 65.90
CallTrailingStop: 32.50

***PUT SIDE***
currentDate: 2026-03-25
expires: 2026-03-26
underlyingPrice: 6590
VIX: 26.67
riskFreeReturn: 3.62%
spreadRequirement: $55000
-->spreadLowerStrikePrice: 5900
-->strikePrice: 6450
-->trailingStopPrice: 65.90
bidPrice: 2.1
askPrice: 2.2
pctOTM: 2.12%
delta: -0.0559
gamma: 0.0013
theoreticalPrice: 2.15
origDelta: -0.0571
origGamma: 0.0013
maxLossIfStoppedOut: 6660.00
ivToVIXRatio: 0.8492
impliedVolatility: 22.65%
origImpliedVolatility: 26.03%
premiumPerContract: $209.35
payoffUtility: $106
premiumCapture: 50.57%
annualizedPremiumPerContract: $52920
unleveragedAnnualizedYield: 8.03%
leveragedAnnualizedYield: 44.84%
marginRequirementPerContract: $118010
leverageFactor: 5.5
sharpe: 1.44

***CALL SIDE***
currentDate: 2026-03-25
expires: 2026-03-26
underlyingPrice: 6590
VIX: 26.67
riskFreeReturn: 3.62%
spreadRequirement: $16000
-->spreadLowerStrikePrice: 6870
-->strikePrice: 6710
-->trailingStopPrice: 32.50
bidPrice: 1.5
askPrice: 1.6
pctOTM: 1.82%
delta: 0.0514
gamma: 0.0015
theoreticalPrice: 1.55
origDelta: 0.0526
origGamma: 0.0015
maxLossIfStoppedOut: 3320.00
ivToVIXRatio: 0.6813
impliedVolatility: 18.17%
origImpliedVolatility: 20.90%
premiumPerContract: $149.35
payoffUtility: $100
premiumCapture: 67.00%
annualizedPremiumPerContract: $37800
unleveragedAnnualizedYield: 5.74%
leveragedAnnualizedYield: 31.51%
marginRequirementPerContract: $119950
leverageFactor: 5.6
sharpe: 1.12