Expiration: 2026-07-02
--
BuyPutStrike: 6830
SellPutStrike: 7395
SellCallStrike: 7615
BuyCallStrike: 7680
--
PutTrailingStop: 64.10
CallTrailingStop: 38.50

***PUT SIDE***
currentDate: 2026-07-01
expires: 2026-07-02
underlyingPrice: 7489.71
VIX: 17.30
partialVIX: 9.78
riskFreeReturn: 3.70%
spreadRequirement: $56500
-->spreadLowerStrikePrice: 6830
-->strikePrice: 7395
-->trailingStopPrice: 64.10
bidPrice: 2.5
askPrice: 2.55
pctOTM: 1.26%
delta: -0.0805
gamma: 0.0022
origDelta: -0.0809
origGamma: 0.0022
vega: 0.6733
maxLossIfStoppedOut: 6483.80
ivToVIXRatio: 0.8836
ivToPartialVIXRatio: 1.5624
impliedVolatility: 15.29%
origImpliedVolatility: 17.63%
premiumPerContract: $249.35
payoffUtility: $101
premiumCapture: 40.35%
annualizedPremiumPerContract: $63000
unleveragedAnnualizedYield: 8.41%
leveragedAnnualizedYield: 44.82%
marginRequirementPerContract: $140573
leverageFactor: 5.3
sharpe: 1.05

***CALL SIDE***
currentDate: 2026-07-01
expires: 2026-07-02
underlyingPrice: 7489.71
VIX: 17.30
partialVIX: 8.58
riskFreeReturn: 3.70%
spreadRequirement: $6500
-->spreadLowerStrikePrice: 7680
-->strikePrice: 7615
-->trailingStopPrice: 38.50
bidPrice: 0.1
askPrice: 0.2
pctOTM: 1.67%
delta: 0.0087
gamma: 0.0005
origDelta: 0.0091
origGamma: 0.0005
vega: 0.1065
maxLossIfStoppedOut: 3918.28
ivToVIXRatio: 0.6635
ivToPartialVIXRatio: 1.3382
impliedVolatility: 11.48%
origImpliedVolatility: 13.14%
premiumPerContract: $9.35
payoffUtility: $2
premiumCapture: 15.34%
annualizedPremiumPerContract: $2520
unleveragedAnnualizedYield: 0.34%
leveragedAnnualizedYield: 1.84%
marginRequirementPerContract: $137275
leverageFactor: 5.5
sharpe: 0.39