Expiration: 2026-06-16
--
BuyPutStrike: 6650
SellPutStrike: 7460
SellCallStrike: 7695
BuyCallStrike: 7775
--
PutTrailingStop: 66.40
CallTrailingStop: 39.90

***PUT SIDE***
currentDate: 2026-06-15
expires: 2026-06-16
underlyingPrice: 7554.54
VIX: 16.85
partialVIX: 10.66
riskFreeReturn: 3.62%
spreadRequirement: $81000
-->spreadLowerStrikePrice: 6650
-->strikePrice: 7460
-->trailingStopPrice: 66.40
bidPrice: 2.95
askPrice: 3
pctOTM: 1.25%
delta: -0.0893
gamma: 0.0023
origDelta: -0.0887
origGamma: 0.0022
vega: 0.7315
maxLossIfStoppedOut: 6712.08
ivToVIXRatio: 0.9393
ivToPartialVIXRatio: 1.4847
impliedVolatility: 15.83%
origImpliedVolatility: 18.65%
premiumPerContract: $294.35
payoffUtility: $120
premiumCapture: 40.81%
annualizedPremiumPerContract: $74340
unleveragedAnnualizedYield: 9.84%
leveragedAnnualizedYield: 52.38%
marginRequirementPerContract: $141932
leverageFactor: 5.3
sharpe: 1.10

***CALL SIDE***
currentDate: 2026-06-15
expires: 2026-06-16
underlyingPrice: 7554.54
VIX: 16.85
partialVIX: 8.26
riskFreeReturn: 3.62%
spreadRequirement: $8000
-->spreadLowerStrikePrice: 7775
-->strikePrice: 7695
-->trailingStopPrice: 39.90
bidPrice: 0.15
askPrice: 0.25
pctOTM: 1.86%
delta: 0.0100
gamma: 0.0004
origDelta: 0.0106
origGamma: 0.0005
vega: 0.1204
maxLossIfStoppedOut: 4055.25
ivToVIXRatio: 0.7763
ivToPartialVIXRatio: 1.5829
impliedVolatility: 13.08%
origImpliedVolatility: 14.73%
premiumPerContract: $14.35
payoffUtility: $5
premiumCapture: 32.82%
annualizedPremiumPerContract: $3780
unleveragedAnnualizedYield: 0.50%
leveragedAnnualizedYield: 2.76%
marginRequirementPerContract: $137060
leverageFactor: 5.6
sharpe: 0.50