Expiration: 2026-03-30
--
BuyPutStrike: 0
SellPutStrike: 6145
SellCallStrike: 6615
BuyCallStrike: 6805
--
PutTrailingStop: 17.40
CallTrailingStop: 8.60

***PUT SIDE***
currentDate: 2026-03-27
expires: 2026-03-30
underlyingPrice: 6374.29
VIX: 31.65
riskFreeReturn: 3.61%
spreadRequirement: $614500
-->spreadLowerStrikePrice: 0
-->strikePrice: 6145
-->trailingStopPrice: 17.40
bidPrice: 3
askPrice: 3.3
pctOTM: 3.60%
delta: -0.0514
gamma: 0.0007
theoreticalPrice: 3.15
origDelta: -0.0513
origGamma: 0.0007
maxLossIfStoppedOut: 1808.32
ivToVIXRatio: 0.9771
impliedVolatility: 30.93%
origImpliedVolatility: 24.99%
premiumPerContract: $299.35
payoffUtility: $262
premiumCapture: 87.43%
annualizedPremiumPerContract: $75600
unleveragedAnnualizedYield: 11.86%
leveragedAnnualizedYield: 72.10%
marginRequirementPerContract: $104857
leverageFactor: 5.9
sharpe: 2.31

***CALL SIDE***
currentDate: 2026-03-27
expires: 2026-03-30
underlyingPrice: 6374.29
VIX: 31.65
riskFreeReturn: 3.61%
spreadRequirement: $19000
-->spreadLowerStrikePrice: 6805
-->strikePrice: 6615
-->trailingStopPrice: 8.60
bidPrice: 1.7
askPrice: 1.9
pctOTM: 3.78%
delta: 0.0354
gamma: 0.0006
theoreticalPrice: 1.80
origDelta: 0.0368
origGamma: 0.0006
maxLossIfStoppedOut: 934.07
ivToVIXRatio: 0.8723
impliedVolatility: 27.61%
origImpliedVolatility: 22.43%
premiumPerContract: $169.35
payoffUtility: $156
premiumCapture: 91.97%
annualizedPremiumPerContract: $42840
unleveragedAnnualizedYield: 6.72%
leveragedAnnualizedYield: 41.36%
marginRequirementPerContract: $103585
leverageFactor: 6.4
sharpe: 1.90