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, since the short call decays faster than the further out-of-the-money long call.
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 | Premium | Fill Price | Est. Fee |
|---|---|---|---|---|---|---|---|
| Short | Call | 1 | $84000.0000 | 24 Sep 2026 | $485.0864 | $421.8143 | $25.3089 |
| Long | Call | 1 | $85000.0000 | 24 Sep 2026 | $67.4903 | $75.9266 | $8.4363 |
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.
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
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 |
|---|---|---|---|
| $83000.0000 | $0.0000 | $417.5962 | +100.0% |
| $84000.0000 | $0.0000 | $417.5962 | +100.0% |
| $84362.8400 current | -$362.8400 | $54.7562 | +13.1% |
| $84417.5962 breakeven | -$417.5962 | $0.0000 | +0.0% |
| $85000.0000 | -$1000.0000 | -$582.4038 | -139.5% |
| $86000.0000 | -$1000.0000 | -$582.4038 | -139.5% |