Expiration: 2026-06-04
--
BuyPutStrike: 6990
SellPutStrike: 7375
SellCallStrike: 7630
BuyCallStrike: 9400
--
PutTrailingStop: 67.40
CallTrailingStop: 40.40

***PUT SIDE***
currentDate: 2026-06-03
expires: 2026-06-04
underlyingPrice: 7562.51
VIX: 16.63
partialVIX: 9.22
riskFreeReturn: 3.62%
spreadRequirement: $38500
-->spreadLowerStrikePrice: 6990
-->strikePrice: 7375
-->trailingStopPrice: 67.40
bidPrice: 0.3
askPrice: 0.4
pctOTM: 2.48%
delta: -0.0119
gamma: 0.0004
origDelta: -0.0124
origGamma: 0.0004
vega: 0.1414
maxLossIfStoppedOut: 6807.05
ivToVIXRatio: 1.1183
ivToPartialVIXRatio: 2.0162
impliedVolatility: 18.60%
origImpliedVolatility: 21.32%
premiumPerContract: $29.35
payoffUtility: $10
premiumCapture: 31.90%
annualizedPremiumPerContract: $7560
unleveragedAnnualizedYield: 1.00%
leveragedAnnualizedYield: 5.70%
marginRequirementPerContract: $132529
leverageFactor: 5.6
sharpe: 0.84

***CALL SIDE***
currentDate: 2026-06-03
expires: 2026-06-04
underlyingPrice: 7562.51
VIX: 16.63
partialVIX: 7.40
riskFreeReturn: 3.62%
spreadRequirement: $177000
-->spreadLowerStrikePrice: 9400
-->strikePrice: 7630
-->trailingStopPrice: 40.40
bidPrice: 1.15
askPrice: 1.25
pctOTM: 0.89%
delta: 0.0638
gamma: 0.0029
origDelta: 0.0644
origGamma: 0.0029
vega: 0.5691
maxLossIfStoppedOut: 4112.23
ivToVIXRatio: 0.5728
ivToPartialVIXRatio: 1.2874
impliedVolatility: 9.53%
origImpliedVolatility: 11.06%
premiumPerContract: $114.35
payoffUtility: $43
premiumCapture: 37.54%
annualizedPremiumPerContract: $28980
unleveragedAnnualizedYield: 3.83%
leveragedAnnualizedYield: 20.04%
marginRequirementPerContract: $144616
leverageFactor: 5.3
sharpe: 0.60