Expiration: 2026-07-06
--
BuyPutStrike: 6825
SellPutStrike: 7385
SellCallStrike: 7600
BuyCallStrike: 7665
--
PutTrailingStop: 64.40
CallTrailingStop: 38.60

***PUT SIDE***
currentDate: 2026-07-02
expires: 2026-07-06
underlyingPrice: 7482.41
VIX: 17.21
partialVIX: 9.03
riskFreeReturn: 3.67%
spreadRequirement: $56000
-->spreadLowerStrikePrice: 6825
-->strikePrice: 7385
-->trailingStopPrice: 64.40
bidPrice: 3
askPrice: 3.2
pctOTM: 1.30%
delta: -0.0897
gamma: 0.0022
origDelta: -0.0904
origGamma: 0.0022
vega: 0.8905
maxLossIfStoppedOut: 6511.05
ivToVIXRatio: 0.7862
ivToPartialVIXRatio: 1.4985
impliedVolatility: 13.53%
origImpliedVolatility: 9.28%
premiumPerContract: $299.35
payoffUtility: $129
premiumCapture: 42.90%
annualizedPremiumPerContract: $75600
unleveragedAnnualizedYield: 10.10%
leveragedAnnualizedYield: 53.92%
marginRequirementPerContract: $140207
leverageFactor: 5.3
sharpe: 1.13

***CALL SIDE***
currentDate: 2026-07-02
expires: 2026-07-06
underlyingPrice: 7482.41
VIX: 17.21
partialVIX: 6.11
riskFreeReturn: 3.67%
spreadRequirement: $6500
-->spreadLowerStrikePrice: 7665
-->strikePrice: 7600
-->trailingStopPrice: 38.60
bidPrice: 0.1
askPrice: 0.2
pctOTM: 1.57%
delta: 0.0092
gamma: 0.0005
origDelta: 0.0094
origGamma: 0.0005
vega: 0.1358
maxLossIfStoppedOut: 3934.63
ivToVIXRatio: 0.5153
ivToPartialVIXRatio: 1.4510
impliedVolatility: 8.87%
origImpliedVolatility: 6.35%
premiumPerContract: $9.35
payoffUtility: $1
premiumCapture: 10.52%
annualizedPremiumPerContract: $2520
unleveragedAnnualizedYield: 0.34%
leveragedAnnualizedYield: 1.83%
marginRequirementPerContract: $137899
leverageFactor: 5.5
sharpe: 0.37