Expiration: 2026-06-08
--
BuyPutStrike: 5200
SellPutStrike: 7220
SellCallStrike: 7520
BuyCallStrike: 9400
--
PutTrailingStop: 51.80
CallTrailingStop: 31.10

***PUT SIDE***
currentDate: 2026-06-05
expires: 2026-06-08
underlyingPrice: 7395.1
VIX: 21.16
partialVIX: 16.13
riskFreeReturn: 3.62%
spreadRequirement: $202000
-->spreadLowerStrikePrice: 5200
-->strikePrice: 7220
-->trailingStopPrice: 51.80
bidPrice: 4.6
askPrice: 4.7
pctOTM: 2.37%
delta: -0.0797
gamma: 0.0012
origDelta: -0.0794
origGamma: 0.0011
vega: 0.8063
maxLossIfStoppedOut: 5247.55
ivToVIXRatio: 1.1107
ivToPartialVIXRatio: 1.4571
impliedVolatility: 23.50%
origImpliedVolatility: 19.59%
premiumPerContract: $459.35
payoffUtility: $320
premiumCapture: 69.59%
annualizedPremiumPerContract: $115920
unleveragedAnnualizedYield: 15.68%
leveragedAnnualizedYield: 88.59%
marginRequirementPerContract: $130852
leverageFactor: 5.5
sharpe: 1.97

***CALL SIDE***
currentDate: 2026-06-05
expires: 2026-06-08
underlyingPrice: 7395.1
VIX: 21.16
partialVIX: 11.19
riskFreeReturn: 3.62%
spreadRequirement: $188000
-->spreadLowerStrikePrice: 9400
-->strikePrice: 7520
-->trailingStopPrice: 31.10
bidPrice: 2.25
askPrice: 2.4
pctOTM: 1.69%
delta: 0.0659
gamma: 0.0016
origDelta: 0.0709
origGamma: 0.0018
vega: 0.6971
maxLossIfStoppedOut: 3176.53
ivToVIXRatio: 0.7036
ivToPartialVIXRatio: 1.3310
impliedVolatility: 14.89%
origImpliedVolatility: 11.50%
premiumPerContract: $224.35
payoffUtility: $159
premiumCapture: 70.65%
annualizedPremiumPerContract: $56700
unleveragedAnnualizedYield: 7.67%
leveragedAnnualizedYield: 41.80%
marginRequirementPerContract: $135637
leverageFactor: 5.5
sharpe: 1.16