Expiration: 2026-07-15
--
BuyPutStrike: 7065
SellPutStrike: 7360
SellCallStrike: 7655
BuyCallStrike: 7690
--
PutTrailingStop: 63.70
CallTrailingStop: 38.20

***PUT SIDE***
currentDate: 2026-07-14
expires: 2026-07-15
underlyingPrice: 7546.08
VIX: 17.56
partialVIX: 8.92
riskFreeReturn: 3.70%
spreadRequirement: $29500
-->spreadLowerStrikePrice: 7065
-->strikePrice: 7360
-->trailingStopPrice: 63.70
bidPrice: 0.2
askPrice: 0.25
pctOTM: 2.47%
delta: -0.0085
gamma: 0.0003
origDelta: -0.0097
origGamma: 0.0003
vega: 0.1048
maxLossIfStoppedOut: 6436.39
ivToVIXRatio: 0.9973
ivToPartialVIXRatio: 1.9632
impliedVolatility: 17.51%
origImpliedVolatility: 20.32%
premiumPerContract: $19.35
payoffUtility: $6
premiumCapture: 31.65%
annualizedPremiumPerContract: $5040
unleveragedAnnualizedYield: 0.67%
leveragedAnnualizedYield: 3.81%
marginRequirementPerContract: $132334
leverageFactor: 5.6
sharpe: 0.79

***CALL SIDE***
currentDate: 2026-07-14
expires: 2026-07-15
underlyingPrice: 7546.08
VIX: 17.56
partialVIX: 6.75
riskFreeReturn: 3.70%
spreadRequirement: $3500
-->spreadLowerStrikePrice: 7690
-->strikePrice: 7655
-->trailingStopPrice: 38.20
bidPrice: 0.1
askPrice: 0.15
pctOTM: 1.44%
delta: 0.0084
gamma: 0.0005
origDelta: 0.0087
origGamma: 0.0005
vega: 0.1042
maxLossIfStoppedOut: 3889.83
ivToVIXRatio: 0.5616
ivToPartialVIXRatio: 1.4608
impliedVolatility: 9.86%
origImpliedVolatility: 11.46%
premiumPerContract: $9.35
payoffUtility: $2
premiumCapture: 18.67%
annualizedPremiumPerContract: $2520
unleveragedAnnualizedYield: 0.33%
leveragedAnnualizedYield: 1.80%
marginRequirementPerContract: $140040
leverageFactor: 5.5
sharpe: 0.40