Expiration: 2026-07-31
--
BuyPutStrike: 6700
SellPutStrike: 7325
SellCallStrike: 7520
BuyCallStrike: 7635
--
PutTrailingStop: 51.80
CallTrailingStop: 38.10

***PUT SIDE***
currentDate: 2026-07-30
expires: 2026-07-31
underlyingPrice: 7438.69
VIX: 20.08
partialVIX: 12.01
riskFreeReturn: 3.67%
spreadRequirement: $62500
-->spreadLowerStrikePrice: 6700
-->strikePrice: 7325
-->trailingStopPrice: 51.80
bidPrice: 2.85
askPrice: 2.95
pctOTM: 1.53%
delta: -0.0782
gamma: 0.0018
origDelta: -0.0795
origGamma: 0.0018
vega: 0.6527
maxLossIfStoppedOut: 5245.18
ivToVIXRatio: 0.9124
ivToPartialVIXRatio: 1.5250
impliedVolatility: 18.32%
origImpliedVolatility: 21.04%
premiumPerContract: $284.35
payoffUtility: $162
premiumCapture: 56.68%
annualizedPremiumPerContract: $71820
unleveragedAnnualizedYield: 9.65%
leveragedAnnualizedYield: 52.16%
marginRequirementPerContract: $137690
leverageFactor: 5.3
sharpe: 1.23

***CALL SIDE***
currentDate: 2026-07-30
expires: 2026-07-31
underlyingPrice: 7438.69
VIX: 20.08
partialVIX: 9.90
riskFreeReturn: 3.67%
spreadRequirement: $11500
-->spreadLowerStrikePrice: 7635
-->strikePrice: 7520
-->trailingStopPrice: 38.10
bidPrice: 1.55
askPrice: 1.65
pctOTM: 1.09%
delta: 0.0681
gamma: 0.0025
origDelta: 0.0702
origGamma: 0.0025
vega: 0.5875
maxLossIfStoppedOut: 3884.51
ivToVIXRatio: 0.5963
ivToPartialVIXRatio: 1.2091
impliedVolatility: 11.97%
origImpliedVolatility: 13.78%
premiumPerContract: $154.35
payoffUtility: $79
premiumCapture: 51.26%
annualizedPremiumPerContract: $39060
unleveragedAnnualizedYield: 5.25%
leveragedAnnualizedYield: 27.74%
marginRequirementPerContract: $140798
leverageFactor: 5.3
sharpe: 0.77