Expiration: 2026-05-06
--
BuyPutStrike: 6805
SellPutStrike: 7170
SellCallStrike: 7355
BuyCallStrike: 7390
--
PutTrailingStop: 62.00
CallTrailingStop: 10.30

***PUT SIDE***
currentDate: 2026-05-05
expires: 2026-05-06
underlyingPrice: 7259.32
VIX: 18.02
riskFreeReturn: 3.60%
spreadRequirement: $36500
-->spreadLowerStrikePrice: 6805
-->strikePrice: 7170
-->trailingStopPrice: 62.00
bidPrice: 2.25
askPrice: 2.35
pctOTM: 1.23%
delta: -0.0787
gamma: 0.0023
theoreticalPrice: 2.30
origDelta: -0.0798
origGamma: 0.0023
maxLossIfStoppedOut: 6273.16
ivToVIXRatio: 0.8182
impliedVolatility: 14.74%
origImpliedVolatility: 17.02%
premiumPerContract: $224.35
payoffUtility: $85
premiumCapture: 37.89%
annualizedPremiumPerContract: $56700
unleveragedAnnualizedYield: 7.81%
leveragedAnnualizedYield: 41.54%
marginRequirementPerContract: $136479
leverageFactor: 5.3
sharpe: 0.99

***CALL SIDE***
currentDate: 2026-05-05
expires: 2026-05-06
underlyingPrice: 7259.32
VIX: 18.02
riskFreeReturn: 3.60%
spreadRequirement: $3500
-->spreadLowerStrikePrice: 7390
-->strikePrice: 7355
-->trailingStopPrice: 10.30
bidPrice: 0.1
askPrice: 0.15
pctOTM: 1.32%
delta: 0.0093
gamma: 0.0006
theoreticalPrice: 0.13
origDelta: 0.0097
origGamma: 0.0006
maxLossIfStoppedOut: 1095.67
ivToVIXRatio: 0.5074
impliedVolatility: 9.14%
origImpliedVolatility: 10.50%
premiumPerContract: $9.35
payoffUtility: $8
premiumCapture: 75.13%
annualizedPremiumPerContract: $2520
unleveragedAnnualizedYield: 0.35%
leveragedAnnualizedYield: 1.86%
marginRequirementPerContract: $135628
leverageFactor: 5.4
sharpe: 0.37