Expiration: 2026-06-12
--
BuyPutStrike: 5975
SellPutStrike: 7240
SellCallStrike: 7525
BuyCallStrike: 7780
--
PutTrailingStop: 48.50
CallTrailingStop: 29.10

***PUT SIDE***
currentDate: 2026-06-11
expires: 2026-06-12
underlyingPrice: 7392.8
VIX: 22.59
partialVIX: 16.88
riskFreeReturn: 3.62%
spreadRequirement: $126500
-->spreadLowerStrikePrice: 5975
-->strikePrice: 7240
-->trailingStopPrice: 48.50
bidPrice: 3.3
askPrice: 3.5
pctOTM: 2.07%
delta: -0.0715
gamma: 0.0013
origDelta: -0.0730
origGamma: 0.0013
vega: 0.6064
maxLossIfStoppedOut: 4918.29
ivToVIXRatio: 1.0613
ivToPartialVIXRatio: 1.4199
impliedVolatility: 23.98%
origImpliedVolatility: 27.42%
premiumPerContract: $329.35
payoffUtility: $220
premiumCapture: 66.61%
annualizedPremiumPerContract: $83160
unleveragedAnnualizedYield: 11.25%
leveragedAnnualizedYield: 62.57%
marginRequirementPerContract: $132906
leverageFactor: 5.4
sharpe: 1.57

***CALL SIDE***
currentDate: 2026-06-11
expires: 2026-06-12
underlyingPrice: 7392.8
VIX: 22.59
partialVIX: 13.71
riskFreeReturn: 3.62%
spreadRequirement: $25500
-->spreadLowerStrikePrice: 7780
-->strikePrice: 7525
-->trailingStopPrice: 29.10
bidPrice: 2
askPrice: 2.15
pctOTM: 1.79%
delta: 0.0587
gamma: 0.0014
origDelta: 0.0601
origGamma: 0.0014
vega: 0.5205
maxLossIfStoppedOut: 2978.98
ivToVIXRatio: 0.8242
ivToPartialVIXRatio: 1.3582
impliedVolatility: 18.62%
origImpliedVolatility: 21.55%
premiumPerContract: $199.35
payoffUtility: $146
premiumCapture: 72.79%
annualizedPremiumPerContract: $50400
unleveragedAnnualizedYield: 6.82%
leveragedAnnualizedYield: 37.38%
marginRequirementPerContract: $134836
leverageFactor: 5.6
sharpe: 1.16