Expiration: 2026-05-27
--
BuyPutStrike: 7040
SellPutStrike: 7345
SellCallStrike: 7600
BuyCallStrike: 9200
--
PutTrailingStop: 64.70
CallTrailingStop: 38.80

***PUT SIDE***
currentDate: 2026-05-26
expires: 2026-05-27
underlyingPrice: 7519.12
VIX: 17.23
partialVIX: 8.75
riskFreeReturn: 3.58%
spreadRequirement: $30500
-->spreadLowerStrikePrice: 7040
-->strikePrice: 7345
-->trailingStopPrice: 64.70
bidPrice: 0.5
askPrice: 0.55
pctOTM: 2.32%
delta: -0.0173
gamma: 0.0005
origDelta: -0.0177
origGamma: 0.0005
vega: 0.1928
maxLossIfStoppedOut: 6535.14
ivToVIXRatio: 1.0815
ivToPartialVIXRatio: 2.1291
impliedVolatility: 18.63%
origImpliedVolatility: 21.65%
premiumPerContract: $49.35
payoffUtility: $21
premiumCapture: 42.41%
annualizedPremiumPerContract: $12600
unleveragedAnnualizedYield: 1.68%
leveragedAnnualizedYield: 9.47%
marginRequirementPerContract: $133020
leverageFactor: 5.5
sharpe: 0.97

***CALL SIDE***
currentDate: 2026-05-26
expires: 2026-05-27
underlyingPrice: 7519.12
VIX: 17.23
partialVIX: 7.29
riskFreeReturn: 3.58%
spreadRequirement: $160000
-->spreadLowerStrikePrice: 9200
-->strikePrice: 7600
-->trailingStopPrice: 38.80
bidPrice: 0.4
askPrice: 0.5
pctOTM: 1.08%
delta: 0.0283
gamma: 0.0016
origDelta: 0.0296
origGamma: 0.0016
vega: 0.2919
maxLossIfStoppedOut: 3949.08
ivToVIXRatio: 0.5356
ivToPartialVIXRatio: 1.2664
impliedVolatility: 9.23%
origImpliedVolatility: 10.36%
premiumPerContract: $39.35
payoffUtility: $11
premiumCapture: 28.68%
annualizedPremiumPerContract: $10080
unleveragedAnnualizedYield: 1.34%
leveragedAnnualizedYield: 7.08%
marginRequirementPerContract: $142334
leverageFactor: 5.3
sharpe: 0.47