Expiration: 2026-08-13
--
BuyPutStrike: 7520
SellPutStrike: 7595
SellCallStrike: 7865
BuyCallStrike: 8040
--
PutTrailingStop: 7.70
CallTrailingStop: 8.10

***PUT SIDE***
currentDate: 2026-08-12
expires: 2026-08-13
underlyingPrice: 7744.8
VIX: 15.42
partialVIX: 7.08
riskFreeReturn: 3.71%
spreadRequirement: $7500
-->spreadLowerStrikePrice: 7520
-->strikePrice: 7595
-->trailingStopPrice: 7.70
bidPrice: 0.15
askPrice: 0.25
pctOTM: 1.93%
delta: -0.0092
gamma: 0.0004
origDelta: -0.0096
origGamma: 0.0004
vega: 0.1154
maxLossIfStoppedOut: 844.25
ivToVIXRatio: 0.9012
ivToPartialVIXRatio: 1.9623
impliedVolatility: 13.90%
origImpliedVolatility: 15.91%
premiumPerContract: $14.35
payoffUtility: $13
premiumCapture: 87.21%
annualizedPremiumPerContract: $3780
unleveragedAnnualizedYield: 0.49%
leveragedAnnualizedYield: 2.70%
marginRequirementPerContract: $139931
leverageFactor: 5.4
sharpe: 0.53

***CALL SIDE***
currentDate: 2026-08-12
expires: 2026-08-13
underlyingPrice: 7744.8
VIX: 15.42
partialVIX: 6.94
riskFreeReturn: 3.71%
spreadRequirement: $17500
-->spreadLowerStrikePrice: 8040
-->strikePrice: 7865
-->trailingStopPrice: 8.10
bidPrice: 0.2
askPrice: 0.25
pctOTM: 1.55%
delta: 0.0124
gamma: 0.0006
origDelta: 0.0128
origGamma: 0.0006
vega: 0.1492
maxLossIfStoppedOut: 878.72
ivToVIXRatio: 0.7320
ivToPartialVIXRatio: 1.6276
impliedVolatility: 11.29%
origImpliedVolatility: 13.11%
premiumPerContract: $19.35
payoffUtility: $17
premiumCapture: 86.28%
annualizedPremiumPerContract: $5040
unleveragedAnnualizedYield: 0.65%
leveragedAnnualizedYield: 3.53%
marginRequirementPerContract: $142896
leverageFactor: 5.5
sharpe: 0.53