Expiration: 2026-07-09
--
BuyPutStrike: 7055
SellPutStrike: 7385
SellCallStrike: 7595
BuyCallStrike: 7630
--
PutTrailingStop: 58.60
CallTrailingStop: 35.20

***PUT SIDE***
currentDate: 2026-07-08
expires: 2026-07-09
underlyingPrice: 7480.3
VIX: 18.91
partialVIX: 10.53
riskFreeReturn: 3.72%
spreadRequirement: $33000
-->spreadLowerStrikePrice: 7055
-->strikePrice: 7385
-->trailingStopPrice: 58.60
bidPrice: 2.75
askPrice: 2.8
pctOTM: 1.27%
delta: -0.0850
gamma: 0.0022
origDelta: -0.0865
origGamma: 0.0022
vega: 0.7019
maxLossIfStoppedOut: 5930.35
ivToVIXRatio: 0.8313
ivToPartialVIXRatio: 1.4924
impliedVolatility: 15.72%
origImpliedVolatility: 17.91%
premiumPerContract: $274.35
payoffUtility: $127
premiumCapture: 46.20%
annualizedPremiumPerContract: $69300
unleveragedAnnualizedYield: 9.26%
leveragedAnnualizedYield: 49.38%
marginRequirementPerContract: $140351
leverageFactor: 5.3
sharpe: 1.09

***CALL SIDE***
currentDate: 2026-07-08
expires: 2026-07-09
underlyingPrice: 7480.3
VIX: 18.91
partialVIX: 7.35
riskFreeReturn: 3.72%
spreadRequirement: $3500
-->spreadLowerStrikePrice: 7630
-->strikePrice: 7595
-->trailingStopPrice: 35.20
bidPrice: 0.1
askPrice: 0.15
pctOTM: 1.53%
delta: 0.0081
gamma: 0.0005
origDelta: 0.0084
origGamma: 0.0005
vega: 0.0997
maxLossIfStoppedOut: 3586.21
ivToVIXRatio: 0.5493
ivToPartialVIXRatio: 1.4125
impliedVolatility: 10.39%
origImpliedVolatility: 12.06%
premiumPerContract: $9.35
payoffUtility: $3
premiumCapture: 28.19%
annualizedPremiumPerContract: $2520
unleveragedAnnualizedYield: 0.34%
leveragedAnnualizedYield: 1.82%
marginRequirementPerContract: $138146
leverageFactor: 5.5
sharpe: 0.42