Expiration: 2026-06-05
--
BuyPutStrike: 7155
SellPutStrike: 7425
SellCallStrike: 7665
BuyCallStrike: 9400
--
PutTrailingStop: 66.90
CallTrailingStop: 40.10

***PUT SIDE***
currentDate: 2026-06-04
expires: 2026-06-05
underlyingPrice: 7587.15
VIX: 16.80
partialVIX: 7.84
riskFreeReturn: 3.62%
spreadRequirement: $27000
-->spreadLowerStrikePrice: 7155
-->strikePrice: 7425
-->trailingStopPrice: 66.90
bidPrice: 0.25
askPrice: 0.35
pctOTM: 2.14%
delta: -0.0118
gamma: 0.0004
origDelta: -0.0124
origGamma: 0.0004
vega: 0.1410
maxLossIfStoppedOut: 6760.61
ivToVIXRatio: 0.9525
ivToPartialVIXRatio: 2.0408
impliedVolatility: 16.00%
origImpliedVolatility: 18.30%
premiumPerContract: $24.35
payoffUtility: $5
premiumCapture: 19.57%
annualizedPremiumPerContract: $6300
unleveragedAnnualizedYield: 0.83%
leveragedAnnualizedYield: 4.65%
marginRequirementPerContract: $135553
leverageFactor: 5.5
sharpe: 0.70

***CALL SIDE***
currentDate: 2026-06-04
expires: 2026-06-05
underlyingPrice: 7587.15
VIX: 16.80
partialVIX: 6.83
riskFreeReturn: 3.62%
spreadRequirement: $173500
-->spreadLowerStrikePrice: 9400
-->strikePrice: 7665
-->trailingStopPrice: 40.10
bidPrice: 0.4
askPrice: 0.5
pctOTM: 1.03%
delta: 0.0290
gamma: 0.0016
origDelta: 0.0296
origGamma: 0.0016
vega: 0.3021
maxLossIfStoppedOut: 4084.37
ivToVIXRatio: 0.5252
ivToPartialVIXRatio: 1.2919
impliedVolatility: 8.82%
origImpliedVolatility: 10.25%
premiumPerContract: $39.35
payoffUtility: $10
premiumCapture: 24.32%
annualizedPremiumPerContract: $10080
unleveragedAnnualizedYield: 1.33%
leveragedAnnualizedYield: 7.00%
marginRequirementPerContract: $143998
leverageFactor: 5.3
sharpe: 0.46