Expiration: 2026-07-20
--
BuyPutStrike: 6500
SellPutStrike: 7350
SellCallStrike: 7550
BuyCallStrike: 7645
--
PutTrailingStop: 56.70
CallTrailingStop: 34.00

***PUT SIDE***
currentDate: 2026-07-17
expires: 2026-07-20
underlyingPrice: 7467.94
VIX: 19.50
partialVIX: 10.65
riskFreeReturn: 3.71%
spreadRequirement: $85000
-->spreadLowerStrikePrice: 6500
-->strikePrice: 7350
-->trailingStopPrice: 56.70
bidPrice: 3.3
askPrice: 3.4
pctOTM: 1.58%
delta: -0.0835
gamma: 0.0018
origDelta: -0.0849
origGamma: 0.0017
vega: 0.8435
maxLossIfStoppedOut: 5743.65
ivToVIXRatio: 0.8163
ivToPartialVIXRatio: 1.4946
impliedVolatility: 15.92%
origImpliedVolatility: 13.10%
premiumPerContract: $329.35
payoffUtility: $184
premiumCapture: 55.77%
annualizedPremiumPerContract: $83160
unleveragedAnnualizedYield: 11.14%
leveragedAnnualizedYield: 60.31%
marginRequirementPerContract: $137895
leverageFactor: 5.3
sharpe: 1.33

***CALL SIDE***
currentDate: 2026-07-17
expires: 2026-07-20
underlyingPrice: 7467.94
VIX: 19.50
partialVIX: 7.89
riskFreeReturn: 3.71%
spreadRequirement: $9500
-->spreadLowerStrikePrice: 7645
-->strikePrice: 7550
-->trailingStopPrice: 34.00
bidPrice: 1.6
askPrice: 1.7
pctOTM: 1.10%
delta: 0.0694
gamma: 0.0025
origDelta: 0.0719
origGamma: 0.0026
vega: 0.7325
maxLossIfStoppedOut: 3474.19
ivToVIXRatio: 0.5037
ivToPartialVIXRatio: 1.2443
impliedVolatility: 9.82%
origImpliedVolatility: 7.86%
premiumPerContract: $159.35
payoffUtility: $90
premiumCapture: 56.18%
annualizedPremiumPerContract: $40320
unleveragedAnnualizedYield: 5.40%
leveragedAnnualizedYield: 28.53%
marginRequirementPerContract: $141313
leverageFactor: 5.3
sharpe: 0.78