Expiration: 2026-04-16
--
BuyPutStrike: 6400
SellPutStrike: 6935
SellCallStrike: 7090
BuyCallStrike: 7375
--
PutTrailingStop: 56.20
CallTrailingStop: 33.70

***PUT SIDE***
currentDate: 2026-04-15
expires: 2026-04-16
underlyingPrice: 7024.09
VIX: 18.50
riskFreeReturn: 3.61%
spreadRequirement: $53500
-->spreadLowerStrikePrice: 6400
-->strikePrice: 6935
-->trailingStopPrice: 56.20
bidPrice: 2.7
askPrice: 2.8
pctOTM: 1.27%
delta: -0.0882
gamma: 0.0024
theoreticalPrice: 2.75
origDelta: -0.0899
origGamma: 0.0024
maxLossIfStoppedOut: 5694.90
ivToVIXRatio: 0.8601
impliedVolatility: 15.91%
origImpliedVolatility: 18.22%
premiumPerContract: $269.35
payoffUtility: $122
premiumCapture: 45.23%
annualizedPremiumPerContract: $68040
unleveragedAnnualizedYield: 9.69%
leveragedAnnualizedYield: 51.61%
marginRequirementPerContract: $131843
leverageFactor: 5.3
sharpe: 1.10

***CALL SIDE***
currentDate: 2026-04-15
expires: 2026-04-16
underlyingPrice: 7024.09
VIX: 18.50
riskFreeReturn: 3.61%
spreadRequirement: $28500
-->spreadLowerStrikePrice: 7375
-->strikePrice: 7090
-->trailingStopPrice: 33.70
bidPrice: 1.25
askPrice: 1.35
pctOTM: 0.94%
delta: 0.0682
gamma: 0.0030
theoreticalPrice: 1.30
origDelta: 0.0693
origGamma: 0.0030
maxLossIfStoppedOut: 3444.94
ivToVIXRatio: 0.5545
impliedVolatility: 10.26%
origImpliedVolatility: 11.86%
premiumPerContract: $124.35
payoffUtility: $59
premiumCapture: 47.11%
annualizedPremiumPerContract: $31500
unleveragedAnnualizedYield: 4.48%
leveragedAnnualizedYield: 23.50%
marginRequirementPerContract: $134016
leverageFactor: 5.3
sharpe: 0.66