Expiration: 2026-08-03
--
BuyPutStrike: 6800
SellPutStrike: 7405
SellCallStrike: 7615
BuyCallStrike: 7670
--
PutTrailingStop: 58.50
CallTrailingStop: 5.90

***PUT SIDE***
currentDate: 2026-07-31
expires: 2026-08-03
underlyingPrice: 7506.45
VIX: 18.70
partialVIX: 8.90
riskFreeReturn: 3.68%
spreadRequirement: $60500
-->spreadLowerStrikePrice: 6800
-->strikePrice: 7405
-->trailingStopPrice: 58.50
bidPrice: 3
askPrice: 3.1
pctOTM: 1.35%
delta: -0.0865
gamma: 0.0021
origDelta: -0.0900
origGamma: 0.0021
vega: 0.8708
maxLossIfStoppedOut: 5915.50
ivToVIXRatio: 0.7387
ivToPartialVIXRatio: 1.5524
impliedVolatility: 13.81%
origImpliedVolatility: 11.27%
premiumPerContract: $299.35
payoffUtility: $148
premiumCapture: 49.24%
annualizedPremiumPerContract: $75600
unleveragedAnnualizedYield: 10.07%
leveragedAnnualizedYield: 53.89%
marginRequirementPerContract: $140284
leverageFactor: 5.3
sharpe: 1.16

***CALL SIDE***
currentDate: 2026-07-31
expires: 2026-08-03
underlyingPrice: 7506.45
VIX: 18.70
partialVIX: 5.80
riskFreeReturn: 3.68%
spreadRequirement: $5500
-->spreadLowerStrikePrice: 7670
-->strikePrice: 7615
-->trailingStopPrice: 5.90
bidPrice: 0.1
askPrice: 0.15
pctOTM: 1.45%
delta: 0.0085
gamma: 0.0005
origDelta: 0.0088
origGamma: 0.0005
vega: 0.1275
maxLossIfStoppedOut: 660.84
ivToVIXRatio: 0.4302
ivToPartialVIXRatio: 1.3861
impliedVolatility: 8.05%
origImpliedVolatility: 6.58%
premiumPerContract: $9.35
payoffUtility: $9
premiumCapture: 86.63%
annualizedPremiumPerContract: $2520
unleveragedAnnualizedYield: 0.34%
leveragedAnnualizedYield: 1.81%
marginRequirementPerContract: $139284
leverageFactor: 5.5
sharpe: 0.40