Expiration: 2026-07-01
--
BuyPutStrike: 6830
SellPutStrike: 7410
SellCallStrike: 7610
BuyCallStrike: 7640
--
PutTrailingStop: 62.60
CallTrailingStop: 37.60

***PUT SIDE***
currentDate: 2026-06-30
expires: 2026-07-01
underlyingPrice: 7504.76
VIX: 17.75
partialVIX: 9.41
riskFreeReturn: 3.73%
spreadRequirement: $58000
-->spreadLowerStrikePrice: 6830
-->strikePrice: 7410
-->trailingStopPrice: 62.60
bidPrice: 2.15
askPrice: 2.25
pctOTM: 1.26%
delta: -0.0737
gamma: 0.0021
origDelta: -0.0749
origGamma: 0.0021
vega: 0.6304
maxLossIfStoppedOut: 6333.75
ivToVIXRatio: 0.8324
ivToPartialVIXRatio: 1.5695
impliedVolatility: 14.77%
origImpliedVolatility: 16.99%
premiumPerContract: $214.35
payoffUtility: $84
premiumCapture: 38.99%
annualizedPremiumPerContract: $54180
unleveragedAnnualizedYield: 7.22%
leveragedAnnualizedYield: 38.47%
marginRequirementPerContract: $140834
leverageFactor: 5.3
sharpe: 0.98

***CALL SIDE***
currentDate: 2026-06-30
expires: 2026-07-01
underlyingPrice: 7504.76
VIX: 17.75
partialVIX: 7.10
riskFreeReturn: 3.73%
spreadRequirement: $3000
-->spreadLowerStrikePrice: 7640
-->strikePrice: 7610
-->trailingStopPrice: 37.60
bidPrice: 0.1
askPrice: 0.15
pctOTM: 1.40%
delta: 0.0086
gamma: 0.0005
origDelta: 0.0090
origGamma: 0.0006
vega: 0.1060
maxLossIfStoppedOut: 3828.25
ivToVIXRatio: 0.5418
ivToPartialVIXRatio: 1.3552
impliedVolatility: 9.62%
origImpliedVolatility: 11.06%
premiumPerContract: $9.35
payoffUtility: $2
premiumCapture: 17.90%
annualizedPremiumPerContract: $2520
unleveragedAnnualizedYield: 0.34%
leveragedAnnualizedYield: 1.81%
marginRequirementPerContract: $139581
leverageFactor: 5.5
sharpe: 0.39