Expiration: 2026-04-02
--
BuyPutStrike: 5925
SellPutStrike: 6415
SellCallStrike: 6705
BuyCallStrike: 6925
--
PutTrailingStop: 38.40
CallTrailingStop: 23.10

***PUT SIDE***
currentDate: 2026-04-01
expires: 2026-04-02
underlyingPrice: 6575.4
VIX: 25.35
riskFreeReturn: 3.60%
spreadRequirement: $49000
-->spreadLowerStrikePrice: 5925
-->strikePrice: 6415
-->trailingStopPrice: 38.40
bidPrice: 2.9
askPrice: 3.1
pctOTM: 2.44%
delta: -0.0637
gamma: 0.0012
theoreticalPrice: 3.00
origDelta: -0.0642
origGamma: 0.0011
maxLossIfStoppedOut: 3912.74
ivToVIXRatio: 1.0767
impliedVolatility: 27.29%
origImpliedVolatility: 31.96%
premiumPerContract: $289.35
payoffUtility: $210
premiumCapture: 72.55%
annualizedPremiumPerContract: $73080
unleveragedAnnualizedYield: 11.11%
leveragedAnnualizedYield: 63.13%
marginRequirementPerContract: $115758
leverageFactor: 5.5
sharpe: 1.75

***CALL SIDE***
currentDate: 2026-04-01
expires: 2026-04-02
underlyingPrice: 6575.4
VIX: 25.35
riskFreeReturn: 3.60%
spreadRequirement: $22000
-->spreadLowerStrikePrice: 6925
-->strikePrice: 6705
-->trailingStopPrice: 23.10
bidPrice: 1.65
askPrice: 1.75
pctOTM: 1.97%
delta: 0.0520
gamma: 0.0014
theoreticalPrice: 1.70
origDelta: 0.0537
origGamma: 0.0014
maxLossIfStoppedOut: 2375.64
ivToVIXRatio: 0.7814
impliedVolatility: 19.81%
origImpliedVolatility: 22.13%
premiumPerContract: $164.35
payoffUtility: $126
premiumCapture: 76.64%
annualizedPremiumPerContract: $41580
unleveragedAnnualizedYield: 6.32%
leveragedAnnualizedYield: 35.03%
marginRequirementPerContract: $118713
leverageFactor: 5.6
sharpe: 1.22