Expiration: 2026-06-25
--
BuyPutStrike: 6750
SellPutStrike: 7220
SellCallStrike: 7465
BuyCallStrike: 7575
--
PutTrailingStop: 53.60
CallTrailingStop: 32.10

***PUT SIDE***
currentDate: 2026-06-24
expires: 2026-06-25
underlyingPrice: 7355.05
VIX: 20.34
partialVIX: 15.25
riskFreeReturn: 3.69%
spreadRequirement: $47000
-->spreadLowerStrikePrice: 6750
-->strikePrice: 7220
-->trailingStopPrice: 53.60
bidPrice: 3.5
askPrice: 3.7
pctOTM: 1.84%
delta: -0.0803
gamma: 0.0015
origDelta: -0.0857
origGamma: 0.0016
vega: 0.6596
maxLossIfStoppedOut: 5427.11
ivToVIXRatio: 1.0921
ivToPartialVIXRatio: 1.4562
impliedVolatility: 22.21%
origImpliedVolatility: 25.76%
premiumPerContract: $349.35
payoffUtility: $214
premiumCapture: 61.26%
annualizedPremiumPerContract: $88200
unleveragedAnnualizedYield: 11.99%
leveragedAnnualizedYield: 65.85%
marginRequirementPerContract: $133946
leverageFactor: 5.4
sharpe: 1.49

***CALL SIDE***
currentDate: 2026-06-24
expires: 2026-06-25
underlyingPrice: 7355.05
VIX: 20.34
partialVIX: 12.03
riskFreeReturn: 3.69%
spreadRequirement: $11000
-->spreadLowerStrikePrice: 7575
-->strikePrice: 7465
-->trailingStopPrice: 32.10
bidPrice: 1.7
askPrice: 1.8
pctOTM: 1.49%
delta: 0.0592
gamma: 0.0017
origDelta: 0.0588
origGamma: 0.0017
vega: 0.5218
maxLossIfStoppedOut: 3284.27
ivToVIXRatio: 0.7673
ivToPartialVIXRatio: 1.2973
impliedVolatility: 15.61%
origImpliedVolatility: 17.99%
premiumPerContract: $169.35
payoffUtility: $112
premiumCapture: 66.08%
annualizedPremiumPerContract: $42840
unleveragedAnnualizedYield: 5.82%
leveragedAnnualizedYield: 31.44%
marginRequirementPerContract: $136276
leverageFactor: 5.5
sharpe: 0.98