Expiration: 2026-07-28
--
BuyPutStrike: 6990
SellPutStrike: 7310
SellCallStrike: 7490
BuyCallStrike: 7590
--
PutTrailingStop: 55.50
CallTrailingStop: 34.60

***PUT SIDE***
currentDate: 2026-07-27
expires: 2026-07-28
underlyingPrice: 7410.15
VIX: 19.93
partialVIX: 11.10
riskFreeReturn: 3.80%
spreadRequirement: $32000
-->spreadLowerStrikePrice: 6990
-->strikePrice: 7310
-->trailingStopPrice: 55.50
bidPrice: 2.7
askPrice: 2.8
pctOTM: 1.35%
delta: -0.0819
gamma: 0.0021
origDelta: -0.0820
origGamma: 0.0021
vega: 0.6749
maxLossIfStoppedOut: 5621.91
ivToVIXRatio: 0.8263
ivToPartialVIXRatio: 1.4840
impliedVolatility: 16.47%
origImpliedVolatility: 18.95%
premiumPerContract: $269.35
payoffUtility: $134
premiumCapture: 49.68%
annualizedPremiumPerContract: $68040
unleveragedAnnualizedYield: 9.18%
leveragedAnnualizedYield: 49.14%
marginRequirementPerContract: $138458
leverageFactor: 5.3
sharpe: 1.12

***CALL SIDE***
currentDate: 2026-07-27
expires: 2026-07-28
underlyingPrice: 7410.15
VIX: 19.93
partialVIX: 8.78
riskFreeReturn: 3.80%
spreadRequirement: $10000
-->spreadLowerStrikePrice: 7590
-->strikePrice: 7490
-->trailingStopPrice: 34.60
bidPrice: 1.25
askPrice: 1.35
pctOTM: 1.08%
delta: 0.0602
gamma: 0.0024
origDelta: 0.0633
origGamma: 0.0024
vega: 0.5322
maxLossIfStoppedOut: 3528.31
ivToVIXRatio: 0.5667
ivToPartialVIXRatio: 1.2871
impliedVolatility: 11.30%
origImpliedVolatility: 12.97%
premiumPerContract: $124.35
payoffUtility: $65
premiumCapture: 52.38%
annualizedPremiumPerContract: $31500
unleveragedAnnualizedYield: 4.25%
leveragedAnnualizedYield: 22.45%
marginRequirementPerContract: $140343
leverageFactor: 5.3
sharpe: 0.71