Expiration: 2026-05-26
--
BuyPutStrike: 6625
SellPutStrike: 7355
SellCallStrike: 7580
BuyCallStrike: 9200
--
PutTrailingStop: 63.70
CallTrailingStop: 38.20

***PUT SIDE***
currentDate: 2026-05-22
expires: 2026-05-26
underlyingPrice: 7476.28
VIX: 17.39
partialVIX: 11.31
riskFreeReturn: 3.58%
spreadRequirement: $73000
-->spreadLowerStrikePrice: 6625
-->strikePrice: 7355
-->trailingStopPrice: 63.70
bidPrice: 3.8
askPrice: 4
pctOTM: 1.62%
delta: -0.0902
gamma: 0.0018
origDelta: -0.0900
origGamma: 0.0017
vega: 0.8938
maxLossIfStoppedOut: 6439.16
ivToVIXRatio: 0.9707
ivToPartialVIXRatio: 1.4923
impliedVolatility: 16.88%
origImpliedVolatility: 12.11%
premiumPerContract: $379.35
payoffUtility: $202
premiumCapture: 53.20%
annualizedPremiumPerContract: $95760
unleveragedAnnualizedYield: 12.81%
leveragedAnnualizedYield: 69.50%
marginRequirementPerContract: $137778
leverageFactor: 5.3
sharpe: 1.42

***CALL SIDE***
currentDate: 2026-05-22
expires: 2026-05-26
underlyingPrice: 7476.28
VIX: 17.39
partialVIX: 9.11
riskFreeReturn: 3.58%
spreadRequirement: $162000
-->spreadLowerStrikePrice: 9200
-->strikePrice: 7580
-->trailingStopPrice: 38.20
bidPrice: 2.2
askPrice: 2.3
pctOTM: 1.39%
delta: 0.0729
gamma: 0.0020
origDelta: 0.0767
origGamma: 0.0021
vega: 0.7611
maxLossIfStoppedOut: 3891.50
ivToVIXRatio: 0.7281
ivToPartialVIXRatio: 1.3904
impliedVolatility: 12.66%
origImpliedVolatility: 8.69%
premiumPerContract: $219.35
payoffUtility: $134
premiumCapture: 61.07%
annualizedPremiumPerContract: $55440
unleveragedAnnualizedYield: 7.42%
leveragedAnnualizedYield: 39.78%
marginRequirementPerContract: $139374
leverageFactor: 5.4
sharpe: 1.02