Expiration: 2026-05-29
--
BuyPutStrike: 6875
SellPutStrike: 7370
SellCallStrike: 7650
BuyCallStrike: 9200
--
PutTrailingStop: 66.50
CallTrailingStop: 39.90

***PUT SIDE***
currentDate: 2026-05-28
expires: 2026-05-29
underlyingPrice: 7562.66
VIX: 16.85
partialVIX: 8.36
riskFreeReturn: 3.59%
spreadRequirement: $49500
-->spreadLowerStrikePrice: 6875
-->strikePrice: 7370
-->trailingStopPrice: 66.50
bidPrice: 0.3
askPrice: 0.4
pctOTM: 2.55%
delta: -0.0117
gamma: 0.0004
origDelta: -0.0121
origGamma: 0.0004
vega: 0.1387
maxLossIfStoppedOut: 6719.22
ivToVIXRatio: 1.1317
ivToPartialVIXRatio: 2.2808
impliedVolatility: 19.07%
origImpliedVolatility: 21.94%
premiumPerContract: $29.35
payoffUtility: $10
premiumCapture: 34.12%
annualizedPremiumPerContract: $7560
unleveragedAnnualizedYield: 1.00%
leveragedAnnualizedYield: 5.73%
marginRequirementPerContract: $132017
leverageFactor: 5.6
sharpe: 0.86

***CALL SIDE***
currentDate: 2026-05-28
expires: 2026-05-29
underlyingPrice: 7562.66
VIX: 16.85
partialVIX: 7.23
riskFreeReturn: 3.59%
spreadRequirement: $155000
-->spreadLowerStrikePrice: 9200
-->strikePrice: 7650
-->trailingStopPrice: 39.90
bidPrice: 0.45
askPrice: 0.5
pctOTM: 1.15%
delta: 0.0278
gamma: 0.0014
origDelta: 0.0286
origGamma: 0.0014
vega: 0.2901
maxLossIfStoppedOut: 4059.53
ivToVIXRatio: 0.5843
ivToPartialVIXRatio: 1.3610
impliedVolatility: 9.85%
origImpliedVolatility: 11.32%
premiumPerContract: $44.35
payoffUtility: $16
premiumCapture: 35.68%
annualizedPremiumPerContract: $11340
unleveragedAnnualizedYield: 1.50%
leveragedAnnualizedYield: 7.95%
marginRequirementPerContract: $142564
leverageFactor: 5.4
sharpe: 0.54