Expiration: 2026-04-06
--
BuyPutStrike: 5475
SellPutStrike: 6365
SellCallStrike: 6730
BuyCallStrike: 6900
--
PutTrailingStop: 35.00
CallTrailingStop: 21.00

***PUT SIDE***
currentDate: 2026-04-02
expires: 2026-04-06
underlyingPrice: 6582.2
VIX: 27.89
riskFreeReturn: 3.61%
spreadRequirement: $89000
-->spreadLowerStrikePrice: 5475
-->strikePrice: 6365
-->trailingStopPrice: 35.00
bidPrice: 3.7
askPrice: 3.9
pctOTM: 3.30%
delta: -0.0606
gamma: 0.0008
theoreticalPrice: 3.80
origDelta: -0.0617
origGamma: 0.0008
maxLossIfStoppedOut: 3566.38
ivToVIXRatio: 1.0695
impliedVolatility: 29.83%
origImpliedVolatility: 20.97%
premiumPerContract: $369.35
payoffUtility: $295
premiumCapture: 79.64%
annualizedPremiumPerContract: $93240
unleveragedAnnualizedYield: 14.17%
leveragedAnnualizedYield: 84.54%
marginRequirementPerContract: $110294
leverageFactor: 5.8
sharpe: 2.34

***CALL SIDE***
currentDate: 2026-04-02
expires: 2026-04-06
underlyingPrice: 6582.2
VIX: 27.89
riskFreeReturn: 3.61%
spreadRequirement: $17000
-->spreadLowerStrikePrice: 6900
-->strikePrice: 6730
-->trailingStopPrice: 21.00
bidPrice: 1.7
askPrice: 1.8
pctOTM: 2.25%
delta: 0.0486
gamma: 0.0012
theoreticalPrice: 1.75
origDelta: 0.0498
origGamma: 0.0012
maxLossIfStoppedOut: 2167.83
ivToVIXRatio: 0.6446
impliedVolatility: 17.98%
origImpliedVolatility: 12.65%
premiumPerContract: $169.35
payoffUtility: $136
premiumCapture: 80.15%
annualizedPremiumPerContract: $42840
unleveragedAnnualizedYield: 6.51%
leveragedAnnualizedYield: 36.60%
marginRequirementPerContract: $117034
leverageFactor: 5.8
sharpe: 1.34