Expiration: 2026-03-31
--
BuyPutStrike: 5695
SellPutStrike: 6200
SellCallStrike: 6535
BuyCallStrike: 6805
--
PutTrailingStop: 27.70
CallTrailingStop: 11.10

***PUT SIDE***
currentDate: 2026-03-30
expires: 2026-03-31
underlyingPrice: 6347.88
VIX: 31.52
riskFreeReturn: 3.60%
spreadRequirement: $50500
-->spreadLowerStrikePrice: 5695
-->strikePrice: 6200
-->trailingStopPrice: 27.70
bidPrice: 2.1
askPrice: 2.2
pctOTM: 2.33%
delta: -0.0538
gamma: 0.0012
theoreticalPrice: 2.15
origDelta: -0.0541
origGamma: 0.0012
maxLossIfStoppedOut: 2841.25
ivToVIXRatio: 0.7815
impliedVolatility: 24.63%
origImpliedVolatility: 28.13%
premiumPerContract: $209.35
payoffUtility: $161
premiumCapture: 76.85%
annualizedPremiumPerContract: $52920
unleveragedAnnualizedYield: 8.34%
leveragedAnnualizedYield: 47.09%
marginRequirementPerContract: $112380
leverageFactor: 5.5
sharpe: 1.55

***CALL SIDE***
currentDate: 2026-03-30
expires: 2026-03-31
underlyingPrice: 6347.88
VIX: 31.52
riskFreeReturn: 3.60%
spreadRequirement: $27000
-->spreadLowerStrikePrice: 6805
-->strikePrice: 6535
-->trailingStopPrice: 11.10
bidPrice: 1.4
askPrice: 1.5
pctOTM: 2.95%
delta: 0.0361
gamma: 0.0008
theoreticalPrice: 1.45
origDelta: 0.0370
origGamma: 0.0008
maxLossIfStoppedOut: 1182.89
ivToVIXRatio: 0.8454
impliedVolatility: 26.65%
origImpliedVolatility: 30.64%
premiumPerContract: $139.35
payoffUtility: $125
premiumCapture: 89.23%
annualizedPremiumPerContract: $35280
unleveragedAnnualizedYield: 5.56%
leveragedAnnualizedYield: 32.55%
marginRequirementPerContract: $108386
leverageFactor: 6.0
sharpe: 1.54