Expiration: 2026-07-21
--
BuyPutStrike: 7030
SellPutStrike: 7350
SellCallStrike: 7560
BuyCallStrike: 7605
--
PutTrailingStop: 58.20
CallTrailingStop: 34.90

***PUT SIDE***
currentDate: 2026-07-20
expires: 2026-07-21
underlyingPrice: 7446.2
VIX: 18.94
partialVIX: 10.76
riskFreeReturn: 3.71%
spreadRequirement: $32000
-->spreadLowerStrikePrice: 7030
-->strikePrice: 7350
-->trailingStopPrice: 58.20
bidPrice: 2.65
askPrice: 2.75
pctOTM: 1.29%
delta: -0.0831
gamma: 0.0022
origDelta: -0.0861
origGamma: 0.0022
vega: 0.6843
maxLossIfStoppedOut: 5894.40
ivToVIXRatio: 0.8365
ivToPartialVIXRatio: 1.4720
impliedVolatility: 15.84%
origImpliedVolatility: 18.29%
premiumPerContract: $264.35
payoffUtility: $122
premiumCapture: 46.05%
annualizedPremiumPerContract: $66780
unleveragedAnnualizedYield: 8.97%
leveragedAnnualizedYield: 47.85%
marginRequirementPerContract: $139569
leverageFactor: 5.3
sharpe: 1.08

***CALL SIDE***
currentDate: 2026-07-20
expires: 2026-07-21
underlyingPrice: 7446.2
VIX: 18.94
partialVIX: 8.50
riskFreeReturn: 3.71%
spreadRequirement: $4500
-->spreadLowerStrikePrice: 7605
-->strikePrice: 7560
-->trailingStopPrice: 34.90
bidPrice: 0.1
askPrice: 0.2
pctOTM: 1.53%
delta: 0.0094
gamma: 0.0005
origDelta: 0.0085
origGamma: 0.0005
vega: 0.1128
maxLossIfStoppedOut: 3564.64
ivToVIXRatio: 0.5613
ivToPartialVIXRatio: 1.2508
impliedVolatility: 10.63%
origImpliedVolatility: 11.98%
premiumPerContract: $9.35
payoffUtility: $2
premiumCapture: 17.05%
annualizedPremiumPerContract: $2520
unleveragedAnnualizedYield: 0.34%
leveragedAnnualizedYield: 1.83%
marginRequirementPerContract: $137554
leverageFactor: 5.5
sharpe: 0.36