Expiration: 2026-08-05
--
BuyPutStrike: 7140
SellPutStrike: 7640
SellCallStrike: 7825
BuyCallStrike: 8800
--
PutTrailingStop: 59.40
CallTrailingStop: 45.00

***PUT SIDE***
currentDate: 2026-08-04
expires: 2026-08-05
underlyingPrice: 7736.52
VIX: 16.65
partialVIX: 10.71
riskFreeReturn: 3.73%
spreadRequirement: $50000
-->spreadLowerStrikePrice: 7140
-->strikePrice: 7640
-->trailingStopPrice: 59.40
bidPrice: 2.7
askPrice: 2.75
pctOTM: 1.25%
delta: -0.0834
gamma: 0.0022
origDelta: -0.0860
origGamma: 0.0022
vega: 0.7137
maxLossIfStoppedOut: 6014.07
ivToVIXRatio: 0.9199
ivToPartialVIXRatio: 1.4304
impliedVolatility: 15.32%
origImpliedVolatility: 17.29%
premiumPerContract: $269.35
payoffUtility: $124
premiumCapture: 45.75%
annualizedPremiumPerContract: $68040
unleveragedAnnualizedYield: 8.79%
leveragedAnnualizedYield: 46.81%
marginRequirementPerContract: $145348
leverageFactor: 5.3
sharpe: 1.05

***CALL SIDE***
currentDate: 2026-08-04
expires: 2026-08-05
underlyingPrice: 7736.52
VIX: 16.65
partialVIX: 10.39
riskFreeReturn: 3.73%
spreadRequirement: $97500
-->spreadLowerStrikePrice: 8800
-->strikePrice: 7825
-->trailingStopPrice: 45.00
bidPrice: 2.3
askPrice: 2.35
pctOTM: 1.14%
delta: 0.0822
gamma: 0.0024
origDelta: 0.0828
origGamma: 0.0024
vega: 0.7058
maxLossIfStoppedOut: 4567.50
ivToVIXRatio: 0.8049
ivToPartialVIXRatio: 1.2897
impliedVolatility: 13.40%
origImpliedVolatility: 15.73%
premiumPerContract: $229.35
payoffUtility: $119
premiumCapture: 51.60%
annualizedPremiumPerContract: $57960
unleveragedAnnualizedYield: 7.49%
leveragedAnnualizedYield: 39.67%
marginRequirementPerContract: $146112
leverageFactor: 5.4
sharpe: 0.91