Expiration: 2026-06-02
--
BuyPutStrike: 7095
SellPutStrike: 7425
SellCallStrike: 7670
BuyCallStrike: 9400
--
PutTrailingStop: 68.90
CallTrailingStop: 41.30

***PUT SIDE***
currentDate: 2026-06-01
expires: 2026-06-02
underlyingPrice: 7597.77
VIX: 16.34
partialVIX: 7.79
riskFreeReturn: 3.62%
spreadRequirement: $33000
-->spreadLowerStrikePrice: 7095
-->strikePrice: 7425
-->trailingStopPrice: 68.90
bidPrice: 0.3
askPrice: 0.35
pctOTM: 2.27%
delta: -0.0120
gamma: 0.0004
origDelta: -0.0117
origGamma: 0.0004
vega: 0.1426
maxLossIfStoppedOut: 6958.59
ivToVIXRatio: 1.0461
ivToPartialVIXRatio: 2.1946
impliedVolatility: 17.09%
origImpliedVolatility: 19.55%
premiumPerContract: $29.35
payoffUtility: $9
premiumCapture: 29.93%
annualizedPremiumPerContract: $7560
unleveragedAnnualizedYield: 1.00%
leveragedAnnualizedYield: 5.61%
marginRequirementPerContract: $134708
leverageFactor: 5.5
sharpe: 0.83

***CALL SIDE***
currentDate: 2026-06-01
expires: 2026-06-02
underlyingPrice: 7597.77
VIX: 16.34
partialVIX: 6.37
riskFreeReturn: 3.62%
spreadRequirement: $173000
-->spreadLowerStrikePrice: 9400
-->strikePrice: 7670
-->trailingStopPrice: 41.30
bidPrice: 0.4
askPrice: 0.45
pctOTM: 0.95%
delta: 0.0294
gamma: 0.0018
origDelta: 0.0304
origGamma: 0.0018
vega: 0.3053
maxLossIfStoppedOut: 4203.15
ivToVIXRatio: 0.5022
ivToPartialVIXRatio: 1.2890
impliedVolatility: 8.21%
origImpliedVolatility: 9.37%
premiumPerContract: $39.35
payoffUtility: $8
premiumCapture: 21.16%
annualizedPremiumPerContract: $10080
unleveragedAnnualizedYield: 1.33%
leveragedAnnualizedYield: 6.96%
marginRequirementPerContract: $144772
leverageFactor: 5.3
sharpe: 0.45