Expiration: 2026-04-01
--
BuyPutStrike: 6025
SellPutStrike: 6375
SellCallStrike: 6645
BuyCallStrike: 6880
--
PutTrailingStop: 27.80
CallTrailingStop: 18.20

***PUT SIDE***
currentDate: 2026-03-31
expires: 2026-04-01
underlyingPrice: 6528.38
VIX: 29.64
riskFreeReturn: 3.60%
spreadRequirement: $35000
-->spreadLowerStrikePrice: 6025
-->strikePrice: 6375
-->trailingStopPrice: 27.80
bidPrice: 2.2
askPrice: 2.4
pctOTM: 2.35%
delta: -0.0550
gamma: 0.0011
theoreticalPrice: 2.30
origDelta: -0.0585
origGamma: 0.0012
maxLossIfStoppedOut: 2845.06
ivToVIXRatio: 0.8452
impliedVolatility: 25.05%
origImpliedVolatility: 28.29%
premiumPerContract: $219.35
payoffUtility: $170
premiumCapture: 77.17%
annualizedPremiumPerContract: $55440
unleveragedAnnualizedYield: 8.49%
leveragedAnnualizedYield: 48.02%
marginRequirementPerContract: $115450
leverageFactor: 5.5
sharpe: 1.55

***CALL SIDE***
currentDate: 2026-03-31
expires: 2026-04-01
underlyingPrice: 6528.38
VIX: 29.64
riskFreeReturn: 3.60%
spreadRequirement: $23500
-->spreadLowerStrikePrice: 6880
-->strikePrice: 6645
-->trailingStopPrice: 18.20
bidPrice: 0.85
askPrice: 0.95
pctOTM: 1.79%
delta: 0.0358
gamma: 0.0012
theoreticalPrice: 0.90
origDelta: 0.0338
origGamma: 0.0012
maxLossIfStoppedOut: 1890.79
ivToVIXRatio: 0.5474
impliedVolatility: 16.22%
origImpliedVolatility: 18.80%
premiumPerContract: $84.35
payoffUtility: $66
premiumCapture: 77.24%
annualizedPremiumPerContract: $21420
unleveragedAnnualizedYield: 3.28%
leveragedAnnualizedYield: 18.00%
marginRequirementPerContract: $118991
leverageFactor: 5.6
sharpe: 0.92