Long Call Ladder (Christmas Tree)
Description
A call ratio spread extended with a third, higher strike: buying a lower call and selling one call at each of two higher strikes.
Setup
- Buy one call at a lower strike.
- Sell one call at a middle strike.
- Sell one call at a higher strike, same expiry.
Context
Used when a rise up to the middle strike is expected, extending the profit plateau of a straight bull call spread by giving up more upside to collect more up-front credit.
Risk Profile
Maximum gain is reached between the middle and highest strike. Above the highest strike, the extra uncovered short call creates loss that grows without bound.
Pros
- Wide plateau of maximum profit.
- Lower, or negative, cost of entry than a bull call spread.
- Benefits from time decay on the two short calls.
Cons
- Uncapped risk above the highest strike.
- Needs active management if the underlying rallies hard through all three strikes.
Effect of Time
Time decay generally helps, since there are more short options than long ones.
Effect of Volatility
A rise in implied volatility generally hurts the position.
Look-Alike Strategies
Live Structure
| Position? | Right? | Ratio | Strike | Expiry | IV? | Premium? | Fill Price? | Liquidity? | Est. Fee? |
|---|---|---|---|---|---|---|---|---|---|
| Long | Call | 1 | $74000.0000 | 20 Nov 2026 | 39.2% | $2512.6997 | $2550.2026 | 29.1000 | $22.5018 |
| Short | Call | 1 | $75000.0000 | 20 Nov 2026 | 38.5% | $1950.1550 | $1912.6520 | 81.5000 | $22.5018 |
| Short | Call | 1 | $76000.0000 | 20 Nov 2026 | 38.2% | $1500.1192 | $1462.6162 | 8.5000 | $22.5018 |
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? | $74882.2800 | $74973.4513 | $74882.9000 |
| Mid-Price Cost | -$937.5745 | -$940.0000 | -$918.9112 |
| Slippage? | +$112.5089 | +$10.0000 | +$56.2599 |
| Estimated Fees? | +$67.5054 | +$67.6255 | +$67.5118 |
| Total Estimated Cost | -$757.5602 | -$862.3745$104.8100 better than this page | -$795.1395$37.5800 better than this page |
| Max Profit? | $1757.5602 | $1862.3744 | $1795.1395 |
| Max Loss? | Uncapped | Uncapped | Uncapped |
| Breakeven(s)? | $77757.5602 | $77862.3745 | $77795.1395 |
| Structure IV? | 38.6% | 38.6% | 38.4% |
| 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 | $757.5602 | +100.0% |
| $74000.0000 | $0.0000 | $757.5602 | +100.0% |
| $75000.0000 current | $1000.0000 | $1757.5602 | +232.0% |
| $76000.0000 | $1000.0000 | $1757.5602 | +232.0% |
| $77757.5602 breakeven | -$757.5602 | $0.0000 | +0.0% |
| $78000.0000 | -$1000.0000 | -$242.4398 | -32.0% |
Delta (model)?
Gamma (model)?
Vega (model)?
Theta (model)?
Rho (model)?
Alternatives
From the Scanner's latest pass (21:31:48 UTC), priced at execution like everything above.
Same payoff through other strategies
None found in the latest scan.
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? |
|---|---|---|---|---|---|---|---|
| Long Call Ladder (Christmas Tree)77000/78000/79000 | Deribit · BTC | — | -$157.5031 | $1157.5031 | Uncapped | 85% | — |
| Long Call Ladder (Christmas Tree)76000/77000/78000 | Deribit · BTC | — | -$270.0038 | $1270.0038 | Uncapped | 81% | — |
| Long Call Ladder (Christmas Tree)75000/76000/77000 | Deribit · BTC | — | -$495.0035 | $1495.0035 | Uncapped | 77% | — |