Expiration: 2026-07-23
--
BuyPutStrike: 6890
SellPutStrike: 7410
SellCallStrike: 7605
BuyCallStrike: 7625
--
PutTrailingStop: 62.60
CallTrailingStop: 37.60

***PUT SIDE***
currentDate: 2026-07-22
expires: 2026-07-23
underlyingPrice: 7501.44
VIX: 17.75
partialVIX: 10.38
riskFreeReturn: 3.75%
spreadRequirement: $52000
-->spreadLowerStrikePrice: 6890
-->strikePrice: 7410
-->trailingStopPrice: 62.60
bidPrice: 2.7
askPrice: 2.8
pctOTM: 1.22%
delta: -0.0868
gamma: 0.0023
origDelta: -0.0867
origGamma: 0.0023
vega: 0.7132
maxLossIfStoppedOut: 6330.98
ivToVIXRatio: 0.8560
ivToPartialVIXRatio: 1.4633
impliedVolatility: 15.19%
origImpliedVolatility: 17.50%
premiumPerContract: $269.35
payoffUtility: $111
premiumCapture: 41.03%
annualizedPremiumPerContract: $68040
unleveragedAnnualizedYield: 9.07%
leveragedAnnualizedYield: 48.20%
marginRequirementPerContract: $141155
leverageFactor: 5.2
sharpe: 1.05

***CALL SIDE***
currentDate: 2026-07-22
expires: 2026-07-23
underlyingPrice: 7501.44
VIX: 17.75
partialVIX: 7.73
riskFreeReturn: 3.75%
spreadRequirement: $2000
-->spreadLowerStrikePrice: 7625
-->strikePrice: 7605
-->trailingStopPrice: 37.60
bidPrice: 0.1
askPrice: 0.15
pctOTM: 1.38%
delta: 0.0088
gamma: 0.0006
origDelta: 0.0092
origGamma: 0.0006
vega: 0.1072
maxLossIfStoppedOut: 3826.59
ivToVIXRatio: 0.5345
ivToPartialVIXRatio: 1.2275
impliedVolatility: 9.49%
origImpliedVolatility: 10.84%
premiumPerContract: $9.35
payoffUtility: $2
premiumCapture: 16.80%
annualizedPremiumPerContract: $2520
unleveragedAnnualizedYield: 0.34%
leveragedAnnualizedYield: 1.80%
marginRequirementPerContract: $139683
leverageFactor: 5.4
sharpe: 0.38