Expiration: 2026-05-05
--
BuyPutStrike: 6690
SellPutStrike: 7110
SellCallStrike: 7270
BuyCallStrike: 7350
--
PutTrailingStop: 61.60
CallTrailingStop: 41.20

***PUT SIDE***
currentDate: 2026-05-04
expires: 2026-05-05
underlyingPrice: 7201.32
VIX: 19.08
riskFreeReturn: 3.59%
spreadRequirement: $42000
-->spreadLowerStrikePrice: 6690
-->strikePrice: 7110
-->trailingStopPrice: 61.60
bidPrice: 2.55
askPrice: 2.65
pctOTM: 1.27%
delta: -0.0838
gamma: 0.0023
theoreticalPrice: 2.60
origDelta: -0.0852
origGamma: 0.0023
maxLossIfStoppedOut: 6229.87
ivToVIXRatio: 0.8187
impliedVolatility: 15.62%
origImpliedVolatility: 17.96%
premiumPerContract: $254.35
payoffUtility: $105
premiumCapture: 40.99%
annualizedPremiumPerContract: $64260
unleveragedAnnualizedYield: 8.92%
leveragedAnnualizedYield: 47.55%
marginRequirementPerContract: $135149
leverageFactor: 5.3
sharpe: 1.06

***CALL SIDE***
currentDate: 2026-05-04
expires: 2026-05-05
underlyingPrice: 7201.32
VIX: 19.08
riskFreeReturn: 3.59%
spreadRequirement: $8000
-->spreadLowerStrikePrice: 7350
-->strikePrice: 7270
-->trailingStopPrice: 41.20
bidPrice: 0.85
askPrice: 0.9
pctOTM: 0.95%
delta: 0.0509
gamma: 0.0025
theoreticalPrice: 0.88
origDelta: 0.0532
origGamma: 0.0026
maxLossIfStoppedOut: 4190.23
ivToVIXRatio: 0.4988
impliedVolatility: 9.52%
origImpliedVolatility: 10.96%
premiumPerContract: $84.35
payoffUtility: $28
premiumCapture: 33.24%
annualizedPremiumPerContract: $21420
unleveragedAnnualizedYield: 2.97%
leveragedAnnualizedYield: 15.61%
marginRequirementPerContract: $137243
leverageFactor: 5.3
sharpe: 0.58