Expiration: 2026-05-20
--
BuyPutStrike: 6990
SellPutStrike: 7260
SellCallStrike: 7430
BuyCallStrike: 9200
--
PutTrailingStop: 59.30
CallTrailingStop: 35.60

***PUT SIDE***
currentDate: 2026-05-19
expires: 2026-05-20
underlyingPrice: 7348.3
VIX: 18.36
partialVIX: 10.13
riskFreeReturn: 3.58%
spreadRequirement: $27000
-->spreadLowerStrikePrice: 6990
-->strikePrice: 7260
-->trailingStopPrice: 59.30
bidPrice: 2.55
askPrice: 2.65
pctOTM: 1.20%
delta: -0.0857
gamma: 0.0024
origDelta: -0.0854
origGamma: 0.0024
vega: 0.6911
maxLossIfStoppedOut: 5999.40
ivToVIXRatio: 0.8122
ivToPartialVIXRatio: 1.4714
impliedVolatility: 14.91%
origImpliedVolatility: 17.20%
premiumPerContract: $254.35
payoffUtility: $106
premiumCapture: 41.65%
annualizedPremiumPerContract: $64260
unleveragedAnnualizedYield: 8.74%
leveragedAnnualizedYield: 46.43%
marginRequirementPerContract: $138391
leverageFactor: 5.2
sharpe: 1.02

***CALL SIDE***
currentDate: 2026-05-19
expires: 2026-05-20
underlyingPrice: 7348.3
VIX: 18.36
partialVIX: 9.44
riskFreeReturn: 3.58%
spreadRequirement: $177000
-->spreadLowerStrikePrice: 9200
-->strikePrice: 7430
-->trailingStopPrice: 35.60
bidPrice: 1.55
askPrice: 1.65
pctOTM: 1.11%
delta: 0.0680
gamma: 0.0024
origDelta: 0.0712
origGamma: 0.0025
vega: 0.5795
maxLossIfStoppedOut: 3627.64
ivToVIXRatio: 0.6626
ivToPartialVIXRatio: 1.2883
impliedVolatility: 12.17%
origImpliedVolatility: 13.92%
premiumPerContract: $154.35
payoffUtility: $84
premiumCapture: 54.21%
annualizedPremiumPerContract: $39060
unleveragedAnnualizedYield: 5.32%
leveragedAnnualizedYield: 28.11%
marginRequirementPerContract: $138951
leverageFactor: 5.3
sharpe: 0.78