Expiration: 2026-05-21
--
BuyPutStrike: 6880
SellPutStrike: 7315
SellCallStrike: 7520
BuyCallStrike: 9200
--
PutTrailingStop: 60.50
CallTrailingStop: 36.30

***PUT SIDE***
currentDate: 2026-05-20
expires: 2026-05-21
underlyingPrice: 7427.68
VIX: 18.18
partialVIX: 13.01
riskFreeReturn: 3.56%
spreadRequirement: $43500
-->spreadLowerStrikePrice: 6880
-->strikePrice: 7315
-->trailingStopPrice: 60.50
bidPrice: 3.3
askPrice: 3.4
pctOTM: 1.52%
delta: -0.0861
gamma: 0.0019
origDelta: -0.0877
origGamma: 0.0019
vega: 0.7016
maxLossIfStoppedOut: 6122.79
ivToVIXRatio: 1.0372
ivToPartialVIXRatio: 1.4491
impliedVolatility: 18.86%
origImpliedVolatility: 21.61%
premiumPerContract: $329.35
payoffUtility: $171
premiumCapture: 51.92%
annualizedPremiumPerContract: $83160
unleveragedAnnualizedYield: 11.20%
leveragedAnnualizedYield: 60.43%
marginRequirementPerContract: $137616
leverageFactor: 5.3
sharpe: 1.30

***CALL SIDE***
currentDate: 2026-05-20
expires: 2026-05-21
underlyingPrice: 7427.68
VIX: 18.18
partialVIX: 10.98
riskFreeReturn: 3.56%
spreadRequirement: $168000
-->spreadLowerStrikePrice: 9200
-->strikePrice: 7520
-->trailingStopPrice: 36.30
bidPrice: 2.05
askPrice: 2.15
pctOTM: 1.24%
delta: 0.0749
gamma: 0.0022
origDelta: 0.0772
origGamma: 0.0023
vega: 0.6314
maxLossIfStoppedOut: 3701.67
ivToVIXRatio: 0.7741
ivToPartialVIXRatio: 1.2815
impliedVolatility: 14.07%
origImpliedVolatility: 16.31%
premiumPerContract: $204.35
payoffUtility: $122
premiumCapture: 59.35%
annualizedPremiumPerContract: $51660
unleveragedAnnualizedYield: 6.96%
leveragedAnnualizedYield: 37.03%
marginRequirementPerContract: $139527
leverageFactor: 5.4
sharpe: 0.93