Expiration: 2026-06-17
--
BuyPutStrike: 6575
SellPutStrike: 7415
SellCallStrike: 7605
BuyCallStrike: 7850
--
PutTrailingStop: 68.50
CallTrailingStop: 41.10

***PUT SIDE***
currentDate: 2026-06-16
expires: 2026-06-17
underlyingPrice: 7517.68
VIX: 16.27
partialVIX: 12.76
riskFreeReturn: 3.63%
spreadRequirement: $84000
-->spreadLowerStrikePrice: 6575
-->strikePrice: 7415
-->trailingStopPrice: 68.50
bidPrice: 4.1
askPrice: 4.2
pctOTM: 1.37%
delta: -0.1040
gamma: 0.0022
origDelta: -0.1037
origGamma: 0.0021
vega: 0.8166
maxLossIfStoppedOut: 6915.30
ivToVIXRatio: 1.1313
ivToPartialVIXRatio: 1.4424
impliedVolatility: 18.41%
origImpliedVolatility: 21.33%
premiumPerContract: $409.35
payoffUtility: $189
premiumCapture: 46.20%
annualizedPremiumPerContract: $103320
unleveragedAnnualizedYield: 13.74%
leveragedAnnualizedYield: 73.54%
marginRequirementPerContract: $140496
leverageFactor: 5.3
sharpe: 1.32

***CALL SIDE***
currentDate: 2026-06-16
expires: 2026-06-17
underlyingPrice: 7517.68
VIX: 16.27
partialVIX: 10.44
riskFreeReturn: 3.63%
spreadRequirement: $24500
-->spreadLowerStrikePrice: 7850
-->strikePrice: 7605
-->trailingStopPrice: 41.10
bidPrice: 2.3
askPrice: 2.4
pctOTM: 1.16%
delta: 0.0834
gamma: 0.0025
origDelta: 0.0848
origGamma: 0.0025
vega: 0.6938
maxLossIfStoppedOut: 4177.18
ivToVIXRatio: 0.8410
ivToPartialVIXRatio: 1.3109
impliedVolatility: 13.68%
origImpliedVolatility: 15.54%
premiumPerContract: $229.35
payoffUtility: $125
premiumCapture: 54.43%
annualizedPremiumPerContract: $57960
unleveragedAnnualizedYield: 7.71%
leveragedAnnualizedYield: 40.86%
marginRequirementPerContract: $141852
leverageFactor: 5.4
sharpe: 0.92