Bear Call Spread
Description
Selling a lower-strike call and buying a higher-strike call in the same expiry, collecting a net credit that is kept in full if the underlying stays below the lower strike.
Setup
- Sell one call at a lower strike.
- Buy one call at a higher strike, same expiry, to cap the risk.
Context
A common income trade for a trader who is neutral to bearish and wants defined risk instead of a naked short call.
Risk Profile
Maximum gain is the net credit collected. Maximum loss is the difference between strikes minus that credit, realized if the underlying finishes at or above the higher strike.
Pros
- Collects premium up front.
- Defined, capped risk unlike a naked short call.
- Profits even if the underlying stays flat or falls.
Cons
- Maximum gain is limited to the credit received.
- Still loses money on a sharp rally through both strikes.
Effect of Time
Time decay favors the position while the underlying stays below the short strike, where the short call holds more time value than the further out-of-the-money long call; above the long strike it works against the position.
Effect of Volatility
The spread's net vega is small; both legs move together, muting the effect of a change in implied volatility.
Look-Alike Strategies
Live Structure
| Position? | Right? | Ratio | Strike | Expiry | IV? | Premium? | Fill Price? | Liquidity? | Est. Fee? |
|---|---|---|---|---|---|---|---|---|---|
| Short | Call | 1 | $74000.0000 | 20 Nov 2026 | 39.2% | $2452.8129 | $2396.6416 | 64.0000 | $22.4685 |
| Long | Call | 1 | $76000.0000 | 20 Nov 2026 | 38.2% | $1441.7297 | $1460.4535 | 13.4000 | $22.4685 |
Net cost, breakevens, the payoff chart and the scenario table are after costs: every leg filled by crossing the spread, estimated fees included -- the same numbers the Scanner ranks by.
Estimated Cost to Assemble
An estimate of what entering this structure right now would really cost: filling every leg by crossing the spread (the ask when buying, the bid when selling) instead of at the mid-price, plus an estimated exchange fee. Real fees and fills can differ from this estimate.
Compare venues
These exact contracts -- same strikes, expiries and ratios -- on every venue BOSS tracks for this currency, at execution: what selling (bid) or buying (ask) each leg there comes to, after that venue's own fee. Green marks the best venue for each leg and for the whole structure.
| Deribit this page | Bybit | OKX | |
|---|---|---|---|
| Index? | $74773.2700 | $74868.5978 | $74776.0000 |
| Mid-Price Cost | -$1011.0832 | -$1030.0000 | -$1048.4074 |
| Slippage? | +$74.8951 | +$15.0000 | +$37.4428 |
| Estimated Fees? | +$44.9370 | +$45.0106 | +$44.9314 |
| Total Estimated Cost | -$891.2511 | -$969.9894$78.7400 better than this page | -$966.0332$74.7800 better than this page |
| Max Profit? | $891.2511 | $969.9894 | $966.0332 |
| Max Loss? | -$1108.7489 | -$1030.0106 | -$1033.9668 |
| Breakeven(s)? | $74891.2511 | $74969.9894 | $74966.0332 |
| Structure IV? | 38.7% | 38.6% | 38.5% |
| Open on this venue → | Open on this venue → |
Each leg: what it nets there per contract (fill price with the fee folded in), then the fill price, fee, IV and the size quoted at that price.
For comparing prices, not a recommendation: quotes move by the second, size is only what's shown at the top of the book, fees are each venue's published estimate, and the venues settle against different indexes and margin separately.
Market Context
This expiry as the Dashboard sees it: how the legs are priced against at-the-money and realized volatility, and where the expiry's forward sits against spot.
Volatility Smile?
Implied volatility across strikes at this expiry; the marked lines are this structure's strikes. Buying on the high part of the curve pays up for volatility; selling there collects it.
Leg bought Leg sold
Payoff & Greeks vs. Underlying Price
The Greeks curves are a Black-Scholes model using each leg's current implied volatility, holding time to expiry fixed -- not live exchange data at every price, which only exists at the current price (dashed line).
Payoff at Expiration
After costs At mid price
This structure's value and profit/loss at expiration, at a handful of specific prices: every leg's strike, every breakeven, the current spot, and the chart's own range.
| Underlying Price | Value at Expiration | Profit / Loss | Return on Cost |
|---|---|---|---|
| $72000.0000 | $0.0000 | $891.2511 | +100.0% |
| $74000.0000 | $0.0000 | $891.2511 | +100.0% |
| $74891.2511 current breakeven | -$891.2511 | $0.0000 | +0.0% |
| $76000.0000 | -$2000.0000 | -$1108.7489 | -124.4% |
| $78000.0000 | -$2000.0000 | -$1108.7489 | -124.4% |
Delta (model)?
Gamma (model)?
Vega (model)?
Theta (model)?
Rho (model)?
Alternatives
From the Scanner's latest pass (21:23:48 UTC), priced at execution like everything above.
Same payoff through other strategies
| Strategy | Market | vs. this one | Credit/Debit | Max Profit? | Max Loss? | Prob. of Profit? | Max Profit / Max Loss? |
|---|---|---|---|---|---|---|---|
| Bear Put Spread74000/76000 | Bybit · BTC | $83.7362 | $1025.0127 | $974.9873 | -$1025.0127 | 51% | 0.95× |
| Bear Put Spread74000/76000 | OKX · BTC | $52.8684 | $1055.8805 | $944.1195 | -$1055.8805 | 52% | 0.89× |
| Bear Put Spread74000/76000 | Deribit · BTC | -$22.1584 | $1130.9073 | $869.0927 | -$1130.9073 | 51% | 0.77× |
Other strikes and widths of this strategy
| Strategy | Market | vs. this one | Credit/Debit | Max Profit? | Max Loss? | Prob. of Profit? | Max Profit / Max Loss? |
|---|---|---|---|---|---|---|---|
| Bear Call Spread77000/79000 | Deribit · BTC | — | -$404.4299 | $404.4299 | -$1595.5701 | 70% | 0.25× |
| Bear Call Spread76000/80000 | Deribit · BTC | — | -$928.6909 | $928.6909 | -$3071.3091 | 67% | 0.30× |
| Bear Call Spread76000/78000 | Deribit · BTC | — | -$554.2183 | $554.2183 | -$1445.7817 | 64% | 0.38× |