Expiration: 2026-08-07
--
BuyPutStrike: 7255
SellPutStrike: 7605
SellCallStrike: 7785
BuyCallStrike: 8030
--
PutTrailingStop: 57.30
CallTrailingStop: 40.30

***PUT SIDE***
currentDate: 2026-08-06
expires: 2026-08-07
underlyingPrice: 7701.79
VIX: 16.03
partialVIX: 10.12
riskFreeReturn: 3.73%
spreadRequirement: $35000
-->spreadLowerStrikePrice: 7255
-->strikePrice: 7605
-->trailingStopPrice: 57.30
bidPrice: 2.55
askPrice: 2.6
pctOTM: 1.26%
delta: -0.0803
gamma: 0.0021
origDelta: -0.0816
origGamma: 0.0021
vega: 0.6917
maxLossIfStoppedOut: 5802.17
ivToVIXRatio: 0.9464
ivToPartialVIXRatio: 1.4992
impliedVolatility: 15.17%
origImpliedVolatility: 17.31%
premiumPerContract: $254.35
payoffUtility: $119
premiumCapture: 46.85%
annualizedPremiumPerContract: $64260
unleveragedAnnualizedYield: 8.34%
leveragedAnnualizedYield: 44.44%
marginRequirementPerContract: $144612
leverageFactor: 5.3
sharpe: 1.04

***CALL SIDE***
currentDate: 2026-08-06
expires: 2026-08-07
underlyingPrice: 7701.79
VIX: 16.03
partialVIX: 8.96
riskFreeReturn: 3.73%
spreadRequirement: $24500
-->spreadLowerStrikePrice: 8030
-->strikePrice: 7785
-->trailingStopPrice: 40.30
bidPrice: 1.7
askPrice: 1.75
pctOTM: 1.08%
delta: 0.0705
gamma: 0.0024
origDelta: 0.0726
origGamma: 0.0025
vega: 0.6265
maxLossIfStoppedOut: 4099.91
ivToVIXRatio: 0.7446
ivToPartialVIXRatio: 1.3329
impliedVolatility: 11.94%
origImpliedVolatility: 13.75%
premiumPerContract: $169.35
payoffUtility: $87
premiumCapture: 51.16%
annualizedPremiumPerContract: $42840
unleveragedAnnualizedYield: 5.56%
leveragedAnnualizedYield: 29.37%
marginRequirementPerContract: $145885
leverageFactor: 5.3
sharpe: 0.79