Expiration: 2026-07-07
--
BuyPutStrike: 7235
SellPutStrike: 7365
SellCallStrike: 7630
BuyCallStrike: 7685
--
PutTrailingStop: 67.70
CallTrailingStop: 40.60

***PUT SIDE***
currentDate: 2026-07-06
expires: 2026-07-07
underlyingPrice: 7536.57
VIX: 16.50
partialVIX: 7.26
riskFreeReturn: 3.69%
spreadRequirement: $13000
-->spreadLowerStrikePrice: 7235
-->strikePrice: 7365
-->trailingStopPrice: 67.70
bidPrice: 0.2
askPrice: 0.3
pctOTM: 2.28%
delta: -0.0098
gamma: 0.0004
origDelta: -0.0103
origGamma: 0.0004
vega: 0.1190
maxLossIfStoppedOut: 6836.84
ivToVIXRatio: 1.0022
ivToPartialVIXRatio: 2.2778
impliedVolatility: 16.54%
origImpliedVolatility: 18.99%
premiumPerContract: $19.35
payoffUtility: $3
premiumCapture: 15.88%
annualizedPremiumPerContract: $5040
unleveragedAnnualizedYield: 0.67%
leveragedAnnualizedYield: 3.77%
marginRequirementPerContract: $133594
leverageFactor: 5.5
sharpe: 0.68

***CALL SIDE***
currentDate: 2026-07-06
expires: 2026-07-07
underlyingPrice: 7536.57
VIX: 16.50
partialVIX: 5.69
riskFreeReturn: 3.69%
spreadRequirement: $5500
-->spreadLowerStrikePrice: 7685
-->strikePrice: 7630
-->trailingStopPrice: 40.60
bidPrice: 0.1
askPrice: 0.15
pctOTM: 1.24%
delta: 0.0095
gamma: 0.0007
origDelta: 0.0098
origGamma: 0.0007
vega: 0.1155
maxLossIfStoppedOut: 4130.11
ivToVIXRatio: 0.5227
ivToPartialVIXRatio: 1.5154
impliedVolatility: 8.63%
origImpliedVolatility: 10.02%
premiumPerContract: $9.35
payoffUtility: $0
premiumCapture: 2.70%
annualizedPremiumPerContract: $2520
unleveragedAnnualizedYield: 0.33%
leveragedAnnualizedYield: 1.78%
marginRequirementPerContract: $141398
leverageFactor: 5.4
sharpe: 0.35