Call Ratio Backspread
Description
Selling one at-the-money call and buying two calls further out of the money, the inverse of a call ratio spread, set up for a big rally rather than a pin.
Setup
- Sell one call at the money.
- Buy two calls at a higher strike, same expiry.
Context
Used when a sharp rally is considered likely, or at least worth being positioned for cheaply, while still collecting value if the underlying stays flat or falls.
Risk Profile
Maximum loss is capped and occurs near the long strike. Below the short strike, the position is flat or profitable at its net cost; above the long strike, gain is unlimited thanks to the extra long call.
Pros
- Uncapped upside on a big rally.
- Often set up for a small credit or low cost.
- Profits if the underlying stays flat or falls, not just if it rallies.
Cons
- Worst case sits at a specific price in the middle, not at an extreme.
- Needs a genuinely large move to reach its full potential.
Effect of Time
Time decay generally hurts the position while the underlying sits near the long strike.
Effect of Volatility
A rise in implied volatility helps the position, since the long calls outnumber the short call.
Look-Alike Strategies
Live Structure
| Position | Right | Ratio | Strike | Expiry | Premium | Fill Price | Est. Fee |
|---|---|---|---|---|---|---|---|
| Short | Call | 1 | $84500.0000 | 24 Sep 2026 | $266.3453 | $236.7513 | $25.3662 |
| Long | Call | 2 | $85000.0000 | 24 Sep 2026 | $88.7818 | $101.4649 | $22.1954 |
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 |
|---|---|---|---|
| $84000.0000 | $0.0000 | $88.7818 | +100.0% |
| $84500.0000 | $0.0000 | $88.7818 | +100.0% |
| $84553.8500 current | -$53.8500 | $34.9318 | +39.3% |
| $84588.7818 breakeven | -$88.7818 | $0.0000 | +0.0% |
| $85000.0000 | -$500.0000 | -$411.2182 | -463.2% |
| $85411.2182 breakeven | -$88.7818 | $0.0000 | +0.0% |
| $85500.0000 | $0.0000 | $88.7818 | +100.0% |