Expiration: 2026-06-24
--
BuyPutStrike: 6830
SellPutStrike: 7260
SellCallStrike: 7470
BuyCallStrike: 7685
--
PutTrailingStop: 53.20
CallTrailingStop: 31.90

***PUT SIDE***
currentDate: 2026-06-23
expires: 2026-06-24
underlyingPrice: 7374.57
VIX: 20.54
partialVIX: 12.54
riskFreeReturn: 3.69%
spreadRequirement: $43000
-->spreadLowerStrikePrice: 6830
-->strikePrice: 7260
-->trailingStopPrice: 53.20
bidPrice: 3.1
askPrice: 3.2
pctOTM: 1.55%
delta: -0.0820
gamma: 0.0018
origDelta: -0.0826
origGamma: 0.0018
vega: 0.6709
maxLossIfStoppedOut: 5389.03
ivToVIXRatio: 0.9228
ivToPartialVIXRatio: 1.5120
impliedVolatility: 18.96%
origImpliedVolatility: 22.00%
premiumPerContract: $309.35
payoffUtility: $176
premiumCapture: 56.65%
annualizedPremiumPerContract: $78120
unleveragedAnnualizedYield: 10.59%
leveragedAnnualizedYield: 57.30%
marginRequirementPerContract: $136344
leverageFactor: 5.3
sharpe: 1.29

***CALL SIDE***
currentDate: 2026-06-23
expires: 2026-06-24
underlyingPrice: 7374.57
VIX: 20.54
partialVIX: 11.48
riskFreeReturn: 3.69%
spreadRequirement: $21500
-->spreadLowerStrikePrice: 7685
-->strikePrice: 7470
-->trailingStopPrice: 31.90
bidPrice: 1.8
askPrice: 1.95
pctOTM: 1.29%
delta: 0.0681
gamma: 0.0021
origDelta: 0.0696
origGamma: 0.0022
vega: 0.5827
maxLossIfStoppedOut: 3261.42
ivToVIXRatio: 0.6900
ivToPartialVIXRatio: 1.2339
impliedVolatility: 14.17%
origImpliedVolatility: 16.01%
premiumPerContract: $179.35
payoffUtility: $113
premiumCapture: 62.99%
annualizedPremiumPerContract: $45360
unleveragedAnnualizedYield: 6.15%
leveragedAnnualizedYield: 32.84%
marginRequirementPerContract: $138128
leverageFactor: 5.4
sharpe: 0.90