Expiration: 2026-07-24
--
BuyPutStrike: 6500
SellPutStrike: 7275
SellCallStrike: 7490
BuyCallStrike: 7590
--
PutTrailingStop: 53.10
CallTrailingStop: 31.70

***PUT SIDE***
currentDate: 2026-07-23
expires: 2026-07-24
underlyingPrice: 7391.01
VIX: 20.31
partialVIX: 13.27
riskFreeReturn: 3.80%
spreadRequirement: $77500
-->spreadLowerStrikePrice: 6500
-->strikePrice: 7275
-->trailingStopPrice: 53.10
bidPrice: 3.1
askPrice: 3.3
pctOTM: 1.57%
delta: -0.0821
gamma: 0.0018
origDelta: -0.0851
origGamma: 0.0018
vega: 0.6763
maxLossIfStoppedOut: 5375.37
ivToVIXRatio: 0.9397
ivToPartialVIXRatio: 1.4386
impliedVolatility: 19.08%
origImpliedVolatility: 21.81%
premiumPerContract: $309.35
payoffUtility: $176
premiumCapture: 56.67%
annualizedPremiumPerContract: $78120
unleveragedAnnualizedYield: 10.57%
leveragedAnnualizedYield: 57.22%
marginRequirementPerContract: $136529
leverageFactor: 5.3
sharpe: 1.29

***CALL SIDE***
currentDate: 2026-07-23
expires: 2026-07-24
underlyingPrice: 7391.01
VIX: 20.31
partialVIX: 10.66
riskFreeReturn: 3.80%
spreadRequirement: $10000
-->spreadLowerStrikePrice: 7590
-->strikePrice: 7490
-->trailingStopPrice: 31.70
bidPrice: 1.55
askPrice: 1.6
pctOTM: 1.34%
delta: 0.0591
gamma: 0.0019
origDelta: 0.0604
origGamma: 0.0019
vega: 0.5255
maxLossIfStoppedOut: 3236.73
ivToVIXRatio: 0.6857
ivToPartialVIXRatio: 1.3070
impliedVolatility: 13.93%
origImpliedVolatility: 16.30%
premiumPerContract: $154.35
payoffUtility: $99
premiumCapture: 63.87%
annualizedPremiumPerContract: $39060
unleveragedAnnualizedYield: 5.28%
leveragedAnnualizedYield: 28.29%
marginRequirementPerContract: $138076
leverageFactor: 5.4
sharpe: 0.89