Sell a lower-strike call and buy a higher-strike call for a net credit — bearish.
| Parameter | Default | Description |
|---|---|---|
| short_strike_pct | 1.02 | Short call strike (2% OTM) |
| long_strike_pct | 1.07 | Long call strike (7% OTM) |
| dte | 45 | Days to expiration |
A bear call spread sells a call at 102% of spot and buys a call at 107% of spot for a net credit. Maximum profit is the credit received when both calls expire worthless (underlying stays below the short strike). Maximum loss is the spread width minus credit. The strategy profits in neutral-to-bearish markets and is the mirror image of the bull call spread. P&L is expressed as a percentage of the spread width.
# Bear Call Spread: sell K1 call, buy K2 call (K1 < K2)
for entry in monthly_entries:
S = spot_at_entry
K1 = round(S * 1.02 / 5) * 5 # sell call (closer to ATM)
K2 = round(S * 1.07 / 5) * 5 # buy call (further OTM)
T = 45 / 365.25
credit = (
black_scholes_call(S, K1, T, r, sigma)
- black_scholes_call(S, K2, T, r, sigma)
)
S_exp = spot_at_expiry
loss = max(0, S_exp - K1) - max(0, S_exp - K2)
pnl = credit - loss
pnl_pct = pnl / (K2 - K1) * 100| Symbol | Return % | Sharpe | Max DD % | Win % | Avg/trade % | Trades |
|---|---|---|---|---|---|---|
| SPY | -433.5% | -0.63 | +421.2% | +36.8% | -22.8% | 19 |
| QQQ | -590.3% | -0.74 | +634.5% | +36.8% | -31.1% | 19 |
| IWM | -663.6% | -0.78 | +608.1% | +42.1% | -34.9% | 19 |
| DIA | -378.9% | -0.52 | +338.9% | +42.1% | -19.9% | 19 |
| Avg | -516.6% | -0.67 | +500.7% | +39.5% | — | 19 |