Expiration: 2026-06-11
--
BuyPutStrike: 5800
SellPutStrike: 7100
SellCallStrike: 7425
BuyCallStrike: 7630
--
PutTrailingStop: 47.60
CallTrailingStop: 28.50

***PUT SIDE***
currentDate: 2026-06-10
expires: 2026-06-11
underlyingPrice: 7278.1
VIX: 22.66
partialVIX: 19.20
riskFreeReturn: 3.63%
spreadRequirement: $130000
-->spreadLowerStrikePrice: 5800
-->strikePrice: 7100
-->trailingStopPrice: 47.60
bidPrice: 4
askPrice: 4.1
pctOTM: 2.45%
delta: -0.0723
gamma: 0.0011
origDelta: -0.0736
origGamma: 0.0011
vega: 0.6015
maxLossIfStoppedOut: 4828.33
ivToVIXRatio: 1.2631
ivToPartialVIXRatio: 1.4907
impliedVolatility: 28.62%
origImpliedVolatility: 32.89%
premiumPerContract: $399.35
payoffUtility: $285
premiumCapture: 71.25%
annualizedPremiumPerContract: $100800
unleveragedAnnualizedYield: 13.85%
leveragedAnnualizedYield: 78.66%
marginRequirementPerContract: $128152
leverageFactor: 5.5
sharpe: 1.91

***CALL SIDE***
currentDate: 2026-06-10
expires: 2026-06-11
underlyingPrice: 7278.1
VIX: 22.66
partialVIX: 15.93
riskFreeReturn: 3.63%
spreadRequirement: $20500
-->spreadLowerStrikePrice: 7630
-->strikePrice: 7425
-->trailingStopPrice: 28.50
bidPrice: 2.1
askPrice: 2.2
pctOTM: 2.02%
delta: 0.0560
gamma: 0.0012
origDelta: 0.0573
origGamma: 0.0013
vega: 0.4929
maxLossIfStoppedOut: 2925.00
ivToVIXRatio: 0.9150
ivToPartialVIXRatio: 1.3013
impliedVolatility: 20.73%
origImpliedVolatility: 23.76%
premiumPerContract: $209.35
payoffUtility: $158
premiumCapture: 75.37%
annualizedPremiumPerContract: $52920
unleveragedAnnualizedYield: 7.27%
leveragedAnnualizedYield: 40.37%
marginRequirementPerContract: $131082
leverageFactor: 5.7
sharpe: 1.30