Expiration: 2026-05-22
--
BuyPutStrike: 6820
SellPutStrike: 7350
SellCallStrike: 7525
BuyCallStrike: 9200
--
PutTrailingStop: 61.70
CallTrailingStop: 37.00

***PUT SIDE***
currentDate: 2026-05-21
expires: 2026-05-22
underlyingPrice: 7443.05
VIX: 17.87
partialVIX: 10.68
riskFreeReturn: 3.58%
spreadRequirement: $53000
-->spreadLowerStrikePrice: 6820
-->strikePrice: 7350
-->trailingStopPrice: 61.70
bidPrice: 2.95
askPrice: 3.1
pctOTM: 1.25%
delta: -0.0911
gamma: 0.0023
origDelta: -0.0928
origGamma: 0.0023
vega: 0.7348
maxLossIfStoppedOut: 6240.53
ivToVIXRatio: 0.8882
ivToPartialVIXRatio: 1.4865
impliedVolatility: 15.87%
origImpliedVolatility: 18.21%
premiumPerContract: $294.35
payoffUtility: $128
premiumCapture: 43.25%
annualizedPremiumPerContract: $74340
unleveragedAnnualizedYield: 9.99%
leveragedAnnualizedYield: 53.16%
marginRequirementPerContract: $139851
leverageFactor: 5.3
sharpe: 1.10

***CALL SIDE***
currentDate: 2026-05-21
expires: 2026-05-22
underlyingPrice: 7443.05
VIX: 17.87
partialVIX: 9.63
riskFreeReturn: 3.58%
spreadRequirement: $167500
-->spreadLowerStrikePrice: 9200
-->strikePrice: 7525
-->trailingStopPrice: 37.00
bidPrice: 1.95
askPrice: 2.05
pctOTM: 1.10%
delta: 0.0783
gamma: 0.0026
origDelta: 0.0796
origGamma: 0.0026
vega: 0.6560
maxLossIfStoppedOut: 3772.32
ivToVIXRatio: 0.7077
ivToPartialVIXRatio: 1.3126
impliedVolatility: 12.65%
origImpliedVolatility: 14.57%
premiumPerContract: $194.35
payoffUtility: $107
premiumCapture: 54.99%
annualizedPremiumPerContract: $49140
unleveragedAnnualizedYield: 6.60%
leveragedAnnualizedYield: 34.89%
marginRequirementPerContract: $140861
leverageFactor: 5.3
sharpe: 0.84