Expiration: 2026-05-07
--
BuyPutStrike: 6740
SellPutStrike: 7280
SellCallStrike: 7440
BuyCallStrike: 7650
--
PutTrailingStop: 68.80
CallTrailingStop: 40.10

***PUT SIDE***
currentDate: 2026-05-06
expires: 2026-05-07
underlyingPrice: 7367.71
VIX: 17.35
riskFreeReturn: 3.60%
spreadRequirement: $54000
-->spreadLowerStrikePrice: 6740
-->strikePrice: 7280
-->trailingStopPrice: 68.80
bidPrice: 3.1
askPrice: 3.2
pctOTM: 1.19%
delta: -0.0968
gamma: 0.0025
theoreticalPrice: 3.15
origDelta: -0.0985
origGamma: 0.0025
maxLossIfStoppedOut: 6945.71
ivToVIXRatio: 0.8942
impliedVolatility: 15.51%
origImpliedVolatility: 17.79%
premiumPerContract: $309.35
payoffUtility: $114
premiumCapture: 36.64%
annualizedPremiumPerContract: $78120
unleveragedAnnualizedYield: 10.60%
leveragedAnnualizedYield: 56.24%
marginRequirementPerContract: $138893
leverageFactor: 5.2
sharpe: 1.10

***CALL SIDE***
currentDate: 2026-05-06
expires: 2026-05-07
underlyingPrice: 7367.71
VIX: 17.35
riskFreeReturn: 3.60%
spreadRequirement: $21000
-->spreadLowerStrikePrice: 7650
-->strikePrice: 7440
-->trailingStopPrice: 40.10
bidPrice: 0.9
askPrice: 0.95
pctOTM: 0.98%
delta: 0.0510
gamma: 0.0024
theoreticalPrice: 0.92
origDelta: 0.0511
origGamma: 0.0024
maxLossIfStoppedOut: 4079.49
ivToVIXRatio: 0.5626
impliedVolatility: 9.76%
origImpliedVolatility: 11.20%
premiumPerContract: $89.35
payoffUtility: $34
premiumCapture: 38.08%
annualizedPremiumPerContract: $22680
unleveragedAnnualizedYield: 3.08%
leveragedAnnualizedYield: 16.18%
marginRequirementPerContract: $140215
leverageFactor: 5.3
sharpe: 0.60