Expiration: 2026-06-03
--
BuyPutStrike: 7130
SellPutStrike: 7435
SellCallStrike: 7680
BuyCallStrike: 9400
--
PutTrailingStop: 69.20
CallTrailingStop: 41.50

***PUT SIDE***
currentDate: 2026-06-02
expires: 2026-06-03
underlyingPrice: 7609.99
VIX: 16.29
partialVIX: 7.25
riskFreeReturn: 3.62%
spreadRequirement: $30500
-->spreadLowerStrikePrice: 7130
-->strikePrice: 7435
-->trailingStopPrice: 69.20
bidPrice: 0.3
askPrice: 0.35
pctOTM: 2.30%
delta: -0.0119
gamma: 0.0004
origDelta: -0.0123
origGamma: 0.0004
vega: 0.1414
maxLossIfStoppedOut: 6990.85
ivToVIXRatio: 1.0615
ivToPartialVIXRatio: 2.3837
impliedVolatility: 17.29%
origImpliedVolatility: 20.04%
premiumPerContract: $29.35
payoffUtility: $9
premiumCapture: 30.27%
annualizedPremiumPerContract: $7560
unleveragedAnnualizedYield: 0.99%
leveragedAnnualizedYield: 5.61%
marginRequirementPerContract: $134731
leverageFactor: 5.5
sharpe: 0.84

***CALL SIDE***
currentDate: 2026-06-02
expires: 2026-06-03
underlyingPrice: 7609.99
VIX: 16.29
partialVIX: 6.28
riskFreeReturn: 3.62%
spreadRequirement: $172000
-->spreadLowerStrikePrice: 9400
-->strikePrice: 7680
-->trailingStopPrice: 41.50
bidPrice: 0.25
askPrice: 0.35
pctOTM: 0.92%
delta: 0.0233
gamma: 0.0016
origDelta: 0.0244
origGamma: 0.0017
vega: 0.2516
maxLossIfStoppedOut: 4222.51
ivToVIXRatio: 0.4639
ivToPartialVIXRatio: 1.2036
impliedVolatility: 7.56%
origImpliedVolatility: 8.51%
premiumPerContract: $24.35
payoffUtility: $0
premiumCapture: 0.83%
annualizedPremiumPerContract: $6300
unleveragedAnnualizedYield: 0.83%
leveragedAnnualizedYield: 4.34%
marginRequirementPerContract: $145224
leverageFactor: 5.3
sharpe: 0.35