Expiration: 2026-05-12
--
BuyPutStrike: 6975
SellPutStrike: 7325
SellCallStrike: 7490
BuyCallStrike: 7545
--
PutTrailingStop: 59.40
CallTrailingStop: 35.70

***PUT SIDE***
currentDate: 2026-05-11
expires: 2026-05-12
underlyingPrice: 7409.74
VIX: 18.47
riskFreeReturn: 3.60%
spreadRequirement: $35000
-->spreadLowerStrikePrice: 6975
-->strikePrice: 7325
-->trailingStopPrice: 59.40
bidPrice: 2.6
askPrice: 2.65
pctOTM: 1.14%
delta: -0.0884
gamma: 0.0025
origDelta: -0.0896
origGamma: 0.0025
vega: 0.7129
maxLossIfStoppedOut: 6013.36
ivToVIXRatio: 0.7788
impliedVolatility: 14.39%
origImpliedVolatility: 16.58%
premiumPerContract: $259.35
payoffUtility: $106
premiumCapture: 40.66%
annualizedPremiumPerContract: $65520
unleveragedAnnualizedYield: 8.84%
leveragedAnnualizedYield: 46.81%
marginRequirementPerContract: $139981
leverageFactor: 5.2
sharpe: 1.00

***CALL SIDE***
currentDate: 2026-05-11
expires: 2026-05-12
underlyingPrice: 7409.74
VIX: 18.47
riskFreeReturn: 3.60%
spreadRequirement: $5500
-->spreadLowerStrikePrice: 7545
-->strikePrice: 7490
-->trailingStopPrice: 35.70
bidPrice: 0.35
askPrice: 0.45
pctOTM: 1.08%
delta: 0.0261
gamma: 0.0015
origDelta: 0.0269
origGamma: 0.0015
vega: 0.2693
maxLossIfStoppedOut: 3636.02
ivToVIXRatio: 0.4934
impliedVolatility: 9.11%
origImpliedVolatility: 10.42%
premiumPerContract: $34.35
payoffUtility: $11
premiumCapture: 31.01%
annualizedPremiumPerContract: $8820
unleveragedAnnualizedYield: 1.19%
leveragedAnnualizedYield: 6.29%
marginRequirementPerContract: $140204
leverageFactor: 5.3
sharpe: 0.46