Expiration: 2026-08-12
--
BuyPutStrike: 7280
SellPutStrike: 7520
SellCallStrike: 7805
BuyCallStrike: 8040
--
PutTrailingStop: 7.40
CallTrailingStop: 40.10

***PUT SIDE***
currentDate: 2026-08-11
expires: 2026-08-12
underlyingPrice: 7721.85
VIX: 15.61
partialVIX: 9.62
riskFreeReturn: 3.73%
spreadRequirement: $24000
-->spreadLowerStrikePrice: 7280
-->strikePrice: 7520
-->trailingStopPrice: 7.40
bidPrice: 0.25
askPrice: 0.35
pctOTM: 2.61%
delta: -0.0100
gamma: 0.0003
origDelta: -0.0104
origGamma: 0.0003
vega: 0.1236
maxLossIfStoppedOut: 814.01
ivToVIXRatio: 1.2202
ivToPartialVIXRatio: 1.9790
impliedVolatility: 19.05%
origImpliedVolatility: 21.86%
premiumPerContract: $24.35
payoffUtility: $23
premiumCapture: 91.58%
annualizedPremiumPerContract: $6300
unleveragedAnnualizedYield: 0.82%
leveragedAnnualizedYield: 4.69%
marginRequirementPerContract: $134277
leverageFactor: 5.6
sharpe: 0.82

***CALL SIDE***
currentDate: 2026-08-11
expires: 2026-08-12
underlyingPrice: 7721.85
VIX: 15.61
partialVIX: 8.65
riskFreeReturn: 3.73%
spreadRequirement: $23500
-->spreadLowerStrikePrice: 8040
-->strikePrice: 7805
-->trailingStopPrice: 40.10
bidPrice: 1.65
askPrice: 1.75
pctOTM: 1.08%
delta: 0.0699
gamma: 0.0024
origDelta: 0.0718
origGamma: 0.0024
vega: 0.6235
maxLossIfStoppedOut: 4082.76
ivToVIXRatio: 0.7603
ivToPartialVIXRatio: 1.3713
impliedVolatility: 11.87%
origImpliedVolatility: 13.71%
premiumPerContract: $164.35
payoffUtility: $83
premiumCapture: 50.51%
annualizedPremiumPerContract: $41580
unleveragedAnnualizedYield: 5.38%
leveragedAnnualizedYield: 28.42%
marginRequirementPerContract: $146287
leverageFactor: 5.3
sharpe: 0.77