Expiration: 2026-08-06
--
BuyPutStrike: 7380
SellPutStrike: 7630
SellCallStrike: 7805
BuyCallStrike: 8200
--
PutTrailingStop: 58.00
CallTrailingStop: 40.80

***PUT SIDE***
currentDate: 2026-08-05
expires: 2026-08-06
underlyingPrice: 7723.41
VIX: 18.43
partialVIX: 9.76
riskFreeReturn: 3.72%
spreadRequirement: $25000
-->spreadLowerStrikePrice: 7380
-->strikePrice: 7630
-->trailingStopPrice: 58.00
bidPrice: 2.4
askPrice: 2.55
pctOTM: 1.21%
delta: -0.0801
gamma: 0.0022
origDelta: -0.0819
origGamma: 0.0022
vega: 0.6894
maxLossIfStoppedOut: 5870.20
ivToVIXRatio: 0.7950
ivToPartialVIXRatio: 1.5019
impliedVolatility: 14.65%
origImpliedVolatility: 16.55%
premiumPerContract: $239.35
payoffUtility: $105
premiumCapture: 43.58%
annualizedPremiumPerContract: $60480
unleveragedAnnualizedYield: 7.83%
leveragedAnnualizedYield: 41.60%
marginRequirementPerContract: $145367
leverageFactor: 5.2
sharpe: 0.98

***CALL SIDE***
currentDate: 2026-08-05
expires: 2026-08-06
underlyingPrice: 7723.41
VIX: 18.43
partialVIX: 8.67
riskFreeReturn: 3.72%
spreadRequirement: $39500
-->spreadLowerStrikePrice: 8200
-->strikePrice: 7805
-->trailingStopPrice: 40.80
bidPrice: 1.65
askPrice: 1.75
pctOTM: 1.06%
delta: 0.0708
gamma: 0.0025
origDelta: 0.0702
origGamma: 0.0024
vega: 0.6271
maxLossIfStoppedOut: 4148.65
ivToVIXRatio: 0.6369
ivToPartialVIXRatio: 1.3533
impliedVolatility: 11.74%
origImpliedVolatility: 13.70%
premiumPerContract: $164.35
payoffUtility: $81
premiumCapture: 49.20%
annualizedPremiumPerContract: $41580
unleveragedAnnualizedYield: 5.38%
leveragedAnnualizedYield: 28.39%
marginRequirementPerContract: $146474
leverageFactor: 5.3
sharpe: 0.76