Expiration: 2026-06-26
--
BuyPutStrike: 6680
SellPutStrike: 7235
SellCallStrike: 7455
BuyCallStrike: 7580
--
PutTrailingStop: 54.60
CallTrailingStop: 32.80

***PUT SIDE***
currentDate: 2026-06-25
expires: 2026-06-26
underlyingPrice: 7353.68
VIX: 19.95
partialVIX: 12.87
riskFreeReturn: 3.68%
spreadRequirement: $55500
-->spreadLowerStrikePrice: 6680
-->strikePrice: 7235
-->trailingStopPrice: 54.60
bidPrice: 3.1
askPrice: 3.2
pctOTM: 1.61%
delta: -0.0801
gamma: 0.0017
origDelta: -0.0809
origGamma: 0.0017
vega: 0.6595
maxLossIfStoppedOut: 5530.82
ivToVIXRatio: 0.9761
ivToPartialVIXRatio: 1.5130
impliedVolatility: 19.47%
origImpliedVolatility: 22.26%
premiumPerContract: $309.35
payoffUtility: $176
premiumCapture: 56.69%
annualizedPremiumPerContract: $78120
unleveragedAnnualizedYield: 10.62%
leveragedAnnualizedYield: 57.65%
marginRequirementPerContract: $135516
leverageFactor: 5.3
sharpe: 1.33

***CALL SIDE***
currentDate: 2026-06-25
expires: 2026-06-26
underlyingPrice: 7353.68
VIX: 19.95
partialVIX: 11.40
riskFreeReturn: 3.68%
spreadRequirement: $12500
-->spreadLowerStrikePrice: 7580
-->strikePrice: 7455
-->trailingStopPrice: 32.80
bidPrice: 1.55
askPrice: 1.65
pctOTM: 1.38%
delta: 0.0589
gamma: 0.0018
origDelta: 0.0607
origGamma: 0.0019
vega: 0.5200
maxLossIfStoppedOut: 3346.49
ivToVIXRatio: 0.7188
ivToPartialVIXRatio: 1.2581
impliedVolatility: 14.34%
origImpliedVolatility: 16.57%
premiumPerContract: $154.35
payoffUtility: $98
premiumCapture: 63.00%
annualizedPremiumPerContract: $39060
unleveragedAnnualizedYield: 5.31%
leveragedAnnualizedYield: 28.49%
marginRequirementPerContract: $137097
leverageFactor: 5.4
sharpe: 0.90