Expiration: 2026-03-27
--
BuyPutStrike: 5625
SellPutStrike: 6320
SellCallStrike: 6625
BuyCallStrike: 6855
--
PutTrailingStop: 33.70
CallTrailingStop: 20.20

***PUT SIDE***
currentDate: 2026-03-26
expires: 2026-03-27
underlyingPrice: 6475
VIX: 28.46
riskFreeReturn: 3.62%
spreadRequirement: $69500
-->spreadLowerStrikePrice: 5625
-->strikePrice: 6320
-->trailingStopPrice: 33.70
bidPrice: 2.45
askPrice: 2.55
pctOTM: 2.39%
delta: -0.0577
gamma: 0.0011
theoreticalPrice: 2.50
origDelta: -0.0582
origGamma: 0.0011
maxLossIfStoppedOut: 3440.55
ivToVIXRatio: 0.9076
impliedVolatility: 25.83%
origImpliedVolatility: 29.53%
premiumPerContract: $244.35
payoffUtility: $182
premiumCapture: 74.38%
annualizedPremiumPerContract: $61740
unleveragedAnnualizedYield: 9.54%
leveragedAnnualizedYield: 54.04%
marginRequirementPerContract: $114245
leverageFactor: 5.5
sharpe: 1.65

***CALL SIDE***
currentDate: 2026-03-26
expires: 2026-03-27
underlyingPrice: 6475
VIX: 28.46
riskFreeReturn: 3.62%
spreadRequirement: $23000
-->spreadLowerStrikePrice: 6855
-->strikePrice: 6625
-->trailingStopPrice: 20.20
bidPrice: 1.7
askPrice: 1.8
pctOTM: 2.32%
delta: 0.0480
gamma: 0.0011
theoreticalPrice: 1.75
origDelta: 0.0491
origGamma: 0.0011
maxLossIfStoppedOut: 2092.33
ivToVIXRatio: 0.7952
impliedVolatility: 22.63%
origImpliedVolatility: 26.04%
premiumPerContract: $169.35
payoffUtility: $138
premiumCapture: 80.91%
annualizedPremiumPerContract: $42840
unleveragedAnnualizedYield: 6.62%
leveragedAnnualizedYield: 37.36%
marginRequirementPerContract: $114670
leverageFactor: 5.8
sharpe: 1.38