Buy a higher-strike put and sell a lower-strike put for a net debit — bearish.
| Parameter | Default | Description |
|---|---|---|
| long_strike_pct | 1.02 | Long put strike (2% ITM) |
| short_strike_pct | 0.95 | Short put strike (5% OTM) |
| dte | 45 | Days to expiration |
A bear put spread buys a put at 102% of spot and sells a put at 95% of spot for a net debit. Maximum profit is the spread width minus debit (when underlying closes below the long strike). Maximum loss is the debit paid. The strategy profits in moderately bearish markets with defined risk and capped reward. It is cheaper than a long put but limits the maximum gain. P&L is expressed as a percentage of the debit paid.
# Bear Put Spread: buy K1 put, sell K2 put (K1 > K2)
for entry in monthly_entries:
S = spot_at_entry
K1 = round(S * 1.02 / 5) * 5 # buy put (higher strike)
K2 = round(S * 0.95 / 5) * 5 # sell put (lower strike)
T = 45 / 365.25
debit = (
black_scholes_put(S, K1, T, r, sigma)
- black_scholes_put(S, K2, T, r, sigma)
)
S_exp = spot_at_expiry
payoff = max(0, K1 - S_exp) - max(0, K2 - S_exp)
pnl = payoff - debit
pnl_pct = pnl / debit * 100| Symbol | Return % | Sharpe | Max DD % | Win % | Avg/trade % | Trades |
|---|---|---|---|---|---|---|
| SPY | -1036.6% | -0.61 | +936.6% | +21.1% | -54.6% | 19 |
| QQQ | -734.4% | -0.35 | +806.9% | +21.1% | -38.6% | 19 |
| IWM | -155.8% | -0.06 | +586.0% | +36.8% | -8.2% | 19 |
| DIA | -960.4% | -0.63 | +860.4% | +26.3% | -50.5% | 19 |
| Avg | -721.8% | -0.41 | +797.5% | +26.3% | — | 19 |