Expiration: 2026-08-04
--
BuyPutStrike: 7150
SellPutStrike: 7400
SellCallStrike: 7710
BuyCallStrike: 7790
--
PutTrailingStop: 6.90
CallTrailingStop: 6.70

***PUT SIDE***
currentDate: 2026-08-03
expires: 2026-08-04
underlyingPrice: 7600.63
VIX: 16.30
partialVIX: 8.16
riskFreeReturn: 3.70%
spreadRequirement: $25000
-->spreadLowerStrikePrice: 7150
-->strikePrice: 7400
-->trailingStopPrice: 6.90
bidPrice: 0.25
askPrice: 0.3
pctOTM: 2.64%
delta: -0.0093
gamma: 0.0003
origDelta: -0.0098
origGamma: 0.0003
vega: 0.1147
maxLossIfStoppedOut: 762.16
ivToVIXRatio: 1.1709
ivToPartialVIXRatio: 2.3390
impliedVolatility: 19.08%
origImpliedVolatility: 21.84%
premiumPerContract: $24.35
payoffUtility: $23
premiumCapture: 92.59%
annualizedPremiumPerContract: $6300
unleveragedAnnualizedYield: 0.83%
leveragedAnnualizedYield: 4.77%
marginRequirementPerContract: $131975
leverageFactor: 5.6
sharpe: 0.89

***CALL SIDE***
currentDate: 2026-08-03
expires: 2026-08-04
underlyingPrice: 7600.63
VIX: 16.30
partialVIX: 5.64
riskFreeReturn: 3.70%
spreadRequirement: $8000
-->spreadLowerStrikePrice: 7790
-->strikePrice: 7710
-->trailingStopPrice: 6.70
bidPrice: 0.1
askPrice: 0.2
pctOTM: 1.44%
delta: 0.0097
gamma: 0.0006
origDelta: 0.0100
origGamma: 0.0006
vega: 0.1183
maxLossIfStoppedOut: 738.46
ivToVIXRatio: 0.6176
ivToPartialVIXRatio: 1.7836
impliedVolatility: 10.07%
origImpliedVolatility: 11.70%
premiumPerContract: $9.35
payoffUtility: $8
premiumCapture: 82.84%
annualizedPremiumPerContract: $2520
unleveragedAnnualizedYield: 0.33%
leveragedAnnualizedYield: 1.79%
marginRequirementPerContract: $141086
leverageFactor: 5.5
sharpe: 0.34