Expiration: 2026-06-29
--
BuyPutStrike: 6550
SellPutStrike: 7235
SellCallStrike: 7460
BuyCallStrike: 7555
--
PutTrailingStop: 52.60
CallTrailingStop: 31.60

***PUT SIDE***
currentDate: 2026-06-26
expires: 2026-06-29
underlyingPrice: 7362.34
VIX: 20.72
partialVIX: 11.43
riskFreeReturn: 3.66%
spreadRequirement: $68500
-->spreadLowerStrikePrice: 6550
-->strikePrice: 7235
-->trailingStopPrice: 52.60
bidPrice: 3.4
askPrice: 3.6
pctOTM: 1.73%
delta: -0.0817
gamma: 0.0016
origDelta: -0.0826
origGamma: 0.0016
vega: 0.8191
maxLossIfStoppedOut: 5334.08
ivToVIXRatio: 0.8331
ivToPartialVIXRatio: 1.5108
impliedVolatility: 17.26%
origImpliedVolatility: 14.34%
premiumPerContract: $339.35
payoffUtility: $205
premiumCapture: 60.22%
annualizedPremiumPerContract: $85680
unleveragedAnnualizedYield: 11.64%
leveragedAnnualizedYield: 63.54%
marginRequirementPerContract: $134853
leverageFactor: 5.4
sharpe: 1.42

***CALL SIDE***
currentDate: 2026-06-26
expires: 2026-06-29
underlyingPrice: 7362.34
VIX: 20.72
partialVIX: 8.82
riskFreeReturn: 3.66%
spreadRequirement: $9500
-->spreadLowerStrikePrice: 7555
-->strikePrice: 7460
-->trailingStopPrice: 31.60
bidPrice: 1.5
askPrice: 1.6
pctOTM: 1.33%
delta: 0.0593
gamma: 0.0019
origDelta: 0.0607
origGamma: 0.0020
vega: 0.6402
maxLossIfStoppedOut: 3228.45
ivToVIXRatio: 0.5433
ivToPartialVIXRatio: 1.2764
impliedVolatility: 11.26%
origImpliedVolatility: 8.85%
premiumPerContract: $149.35
payoffUtility: $94
premiumCapture: 62.86%
annualizedPremiumPerContract: $37800
unleveragedAnnualizedYield: 5.13%
leveragedAnnualizedYield: 27.46%
marginRequirementPerContract: $137631
leverageFactor: 5.4
sharpe: 0.87