Expiration: 2026-04-07
--
BuyPutStrike: 5975
SellPutStrike: 6470
SellCallStrike: 6705
BuyCallStrike: 6910
--
PutTrailingStop: 38.70
CallTrailingStop: 23.20

***PUT SIDE***
currentDate: 2026-04-06
expires: 2026-04-07
underlyingPrice: 6609.32
VIX: 25.30
riskFreeReturn: 3.62%
spreadRequirement: $49500
-->spreadLowerStrikePrice: 5975
-->strikePrice: 6470
-->trailingStopPrice: 38.70
bidPrice: 2.45
askPrice: 2.55
pctOTM: 2.11%
delta: -0.0621
gamma: 0.0013
theoreticalPrice: 2.50
origDelta: -0.0635
origGamma: 0.0013
maxLossIfStoppedOut: 3940.19
ivToVIXRatio: 0.9217
impliedVolatility: 23.32%
origImpliedVolatility: 26.67%
premiumPerContract: $244.35
payoffUtility: $170
premiumCapture: 69.28%
annualizedPremiumPerContract: $61740
unleveragedAnnualizedYield: 9.34%
leveragedAnnualizedYield: 52.10%
marginRequirementPerContract: $118499
leverageFactor: 5.5
sharpe: 1.51

***CALL SIDE***
currentDate: 2026-04-06
expires: 2026-04-07
underlyingPrice: 6609.32
VIX: 25.30
riskFreeReturn: 3.62%
spreadRequirement: $20500
-->spreadLowerStrikePrice: 6910
-->strikePrice: 6705
-->trailingStopPrice: 23.20
bidPrice: 1.2
askPrice: 1.3
pctOTM: 1.45%
delta: 0.0518
gamma: 0.0018
theoreticalPrice: 1.25
origDelta: 0.0526
origGamma: 0.0018
maxLossIfStoppedOut: 2392.12
ivToVIXRatio: 0.5743
impliedVolatility: 14.53%
origImpliedVolatility: 16.80%
premiumPerContract: $119.35
payoffUtility: $84
premiumCapture: 69.77%
annualizedPremiumPerContract: $30240
unleveragedAnnualizedYield: 4.58%
leveragedAnnualizedYield: 24.64%
marginRequirementPerContract: $122738
leverageFactor: 5.5
sharpe: 0.88