Expiration: 2026-05-28
--
BuyPutStrike: 7025
SellPutStrike: 7350
SellCallStrike: 7605
BuyCallStrike: 9200
--
PutTrailingStop: 64.80
CallTrailingStop: 38.90

***PUT SIDE***
currentDate: 2026-05-27
expires: 2026-05-28
underlyingPrice: 7520.05
VIX: 17.18
partialVIX: 8.25
riskFreeReturn: 3.58%
spreadRequirement: $32500
-->spreadLowerStrikePrice: 7025
-->strikePrice: 7350
-->trailingStopPrice: 64.80
bidPrice: 0.25
askPrice: 0.35
pctOTM: 2.26%
delta: -0.0114
gamma: 0.0004
origDelta: -0.0118
origGamma: 0.0004
vega: 0.1352
maxLossIfStoppedOut: 6554.76
ivToVIXRatio: 0.9803
ivToPartialVIXRatio: 2.0415
impliedVolatility: 16.84%
origImpliedVolatility: 19.48%
premiumPerContract: $24.35
payoffUtility: $6
premiumCapture: 24.87%
annualizedPremiumPerContract: $6300
unleveragedAnnualizedYield: 0.84%
leveragedAnnualizedYield: 4.72%
marginRequirementPerContract: $133421
leverageFactor: 5.5
sharpe: 0.73

***CALL SIDE***
currentDate: 2026-05-27
expires: 2026-05-28
underlyingPrice: 7520.05
VIX: 17.18
partialVIX: 6.74
riskFreeReturn: 3.58%
spreadRequirement: $159500
-->spreadLowerStrikePrice: 9200
-->strikePrice: 7605
-->trailingStopPrice: 38.90
bidPrice: 0.4
askPrice: 0.45
pctOTM: 1.13%
delta: 0.0261
gamma: 0.0014
origDelta: 0.0270
origGamma: 0.0014
vega: 0.2737
maxLossIfStoppedOut: 3960.85
ivToVIXRatio: 0.5527
ivToPartialVIXRatio: 1.4082
impliedVolatility: 9.49%
origImpliedVolatility: 10.86%
premiumPerContract: $39.35
payoffUtility: $14
premiumCapture: 34.00%
annualizedPremiumPerContract: $10080
unleveragedAnnualizedYield: 1.34%
leveragedAnnualizedYield: 7.10%
marginRequirementPerContract: $141946
leverageFactor: 5.4
sharpe: 0.51