Bear Put Debit Spread — медвежий дебетовый пут спрэд

Bear Put Spread

Bear Put Debit Spread - медвежий дебетовый пут спрэд
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The bear put spread option trading strategy is employed when the options trader thinks that the price of the underlying asset will go down moderately in the near term.

Bear put spreads can be implemented by buying a higher striking in-the-money put option and selling a lower striking out-of-the-money put option of the same underlying security with the same expiration date.

Bear Put Spread Construction
Buy 1 ITM Put Sell 1 OTM Put

By shorting the out-of-the-money put, the options trader reduces the cost of establishing the bearish position but forgoes the chance of making a large profit in the event that the underlying asset price plummets. The bear put spread options strategy is also know as the bear put debit spread as a debit is taken upon entering the trade.

Limited Downside Profit

To reach maximum profit, the stock price need to close below the strike price of the out-of-the-money puts on the expiration date.

Both options expire in the money but the higher strike put that was purchased will have higher intrinsic value than the lower strike put that was sold.

Thus, maximum profit for the bear put spread option strategy is equal to the difference in strike price minus the debit taken when the position was entered.

The formula for calculating maximum profit is given below:

  • Max Profit = Strike Price of Long Put — Strike Price of Short Put — Net Premium Paid — Commissions Paid
  • Max Profit Achieved When Price of Underlying

Limited Upside Risk

If the stock price rise above the in-the-money put option strike price at the expiration date, then the bear put spread strategy suffers a maximum loss equal to the debit taken when putting on the trade.

The formula for calculating maximum loss is given below:

  • Max Loss = Net Premium Paid + Commissions Paid
  • Max Loss Occurs When Price of Underlying >= Strike Price of Long Put

Breakeven Point(s)

The underlier price at which break-even is achieved for the bear put spread position can be calculated using the following formula.

  • Breakeven Point = Strike Price of Long Put — Net Premium Paid

Bear Put Spread Example

Suppose XYZ stock is trading at $38 in June. An options trader bearish on XYZ decides to enter a bear put spread position by buying a JUL 40 put for $300 and sell a JUL 35 put for $100 at the same time, resulting in a net debit of $200 for entering this position.

The price of XYZ stock subsequently drops to $34 at expiration.

Both puts expire in-the-money with the JUL 40 call bought having $600 in intrinsic value and the JUL 35 call sold having $100 in intrinsic value.

The spread would then have a net value of $5 (the difference in strike price). Deducting the debit taken when he placed the trade, his net profit is $300. This is also his maximum possible profit.

If the stock had rallied to $42 instead, both options expire worthless, and the options trader loses the entire debit of $200 taken to enter the trade. This is also the maximum possible loss.

Note: While we have covered the use of this strategy with reference to stock options, the bear put spread is equally applicable using ETF options, index options as well as options on futures.

Commissions

For ease of understanding, the calculations depicted in the above examples did not take into account commission charges as they are relatively small amounts (typically around $10 to $20) and varies across option brokerages.

However, for active traders, commissions can eat up a sizable portion of their profits in the long run. If you trade options actively, it is wise to look for a low commissions broker. Traders who trade large number of contracts in each trade should check out OptionsHouse.com as they offer a low fee of only $0.15 per contract (+$4.95 per trade).

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Источник: https://www.theoptionsguide.com/bear-put-spread.aspx

Put Debit Spread Overview

Bear Put Debit Spread - медвежий дебетовый пут спрэд

The put debit spread is a bearish options trading strategy with a limited profit as well as a limited loss. The put debit spread option strategy gets its name because it creates a net debit to a trader’s account upon order entry.

A good way to think of a put debit spread is a long put with some added protection (a short put) in case the underlying asset appreciates in value.

Due to the short put component part of the spread, put debit spreads are theoretically immune to changes in volatility.

This makes the put debit spread an attractive options trading strategy for markets with very high levels of implied volatility, where buying conventional puts might prove to be too costly.

Key Points

  • Put debit spreads are strictly bearish
  • Great strategy for synthetically shorting an asset without purchasing puts outright
  • Limited risk and limited profit

Tastyworks is one of the most popular online brokerages to trade put debit spreads because of $0.00 commissions and free professional options trading platforms.

Put Debit Spread Option Strategy Definition

-Buy 1 put

-Sell 1 put further away from strike price of long put

Note: most options strategies, put debit spreads can be traded in-the-money (ITM), at-the-money (ATM), or out-of-the-money (OTM).

Put Debit Spread Option Strategy Example

Stock XYZ is trading at $50 a share.

Buy 48 put for $0.50

Sell 46 put for $0.20

By doing this, the trade would create a net debit of $0.30 ($30). This is why this strategy is called a “debit” spread, because it costs you money to put the position on.

If stock XYZ declines, the debit spread will increase in value.

Maximum Profit and Loss

Maximum profit for a put debit spread = WIDTH OF STRIKES (minus) PREMIUM SPENT

Maximum loss for a put debit spread = PREMIUM SPENT

The maximum profit for the put debit spread option strategy is always the difference between the width of the strikes minus the premium paid. In the example above, the max profit (most you can make on the trade) is $1.70 ($170).

The max loss (most you can lose on a trade) is the amount you paid for the debit spread, $0.30 ($30). Max profit will be reached when XYZ is trading at or below the short option leg of the spread, i.e. $46 at expiration.

Anytime before expiration, the put debit spread will increase when the stock moves down and subsequently the spread will decrease when the stock moves up.

Put Debit Spread Summary

Maximum ProfitMaximum LossRisk LevelBest ForWhen to TradeLegsConstructionOpposite Position
Defined
Defined
Low
Limited risk bearish market outlook
When you think a stock price will decline but long puts are too risky
2 legs
long put + short put
Put credit spread

Why Trade Put Debit Spreads?

You would only want to buy a put debit spread if you are bearish on the underlying asset. This is essentially the only reason to trade the put debit spread option strategy. Moreover, put debit spreads can be an effective way to go short a stock or future and only use a fraction of the capital required to short the underlying outright.

Often times, it can be very difficult to make money by purchasing puts due to changes in volatility. If there is a volatility crush, the long put options strategy can result in a substantial loss of value.

Additionally, puts almost always trade at a premium to calls, making them more costly to purchase and hold (there is more premium to decay). With a put debit spread, you are somewhat immune to changes in volatility. This is one of the key reasons why traders love the put debit spread option strategy.

If volatility decreases substantially, both the long and short options legs will be affected, thereby creating a neutral impact.

When Should I close out a Put Debit Spread?

Put debit spreads that have lost all of their value prior to expiration, as a general rule, should never be closed out. Since it’s a risk defined trade, it is not possible for the position to incur additional losses.

It’s possible for the underlying asset to decline and for the put debit spread to regain its lost value before the options expire.

Similarly, if a put debit spread position has reached it’s max profit, it is always wise to close out the position. It’s often not worth the additional risk of leaving a risk-defined position on and having the market move away from the position before expiration.

Anything I Should Know about Expiration?

Partially.  The risk with put debit spreads, and all debit spreads in general, is the possibility of the strikes of the spread expiring between the underlying asset price.

If both legs of the spread expire ITM, then the trade will be a full winner and you will have nothing to worry about. There will be no need to take action.

However, if only the long call portion of a put debit spread is ITM at expiration, your account could face a potential issue if you do not have enough funds to buy the appropriate number of puts.

Put debit spreads that are hovering at-the-money the day of expiration will ly be closely monitored by your options brokerage‘s risk team.

If the position will create a negative margin impact on your account, they will ly reach out to you via phone and ask you to close out the position.

However, don’t bank on someone else to monitor your positions. As a responsible options trader, it behooves you to always stay on top of expiring options positions.

All of this can be avoided by monitoring options positions the day of expiration.

What about Theta (Time) Decay?

Theta decay for put debit spreads is unfavorable. Everyday, if the underlying does not depreciate in value, the debit spread will theoretically lose money due to time decay. Put debit spreads are very similar to simply buying a put option.

 The key difference between put debit spreads and outright purchasing puts is that the short put on the put debit spread acts as a hedge. If the underlying moves up, the short option leg of the put debit spread will decrease in value, so this will offset some of the loss from the long leg of the spread.

This also offsets some of the theta decay from the long put in the put debit spread.

Important Put Debit Spread Tips

The put debit spread option strategy is an interesting way to short an asset without using too much buying power, all while limiting the potential maximum loss. Keep in mind that this is a trade that also has a limited profit.

Moreover, although the put debit spread option strategy is somewhat immune to volatility changes, this is also one of the ways that the long put option strategy makes money.

So be aware that put debit spreads will not increase in value if volatility increases.

If the underlying asset does not sell-off prior to expiration, depending on the strike prices of the put debit spread, it generally will not be a winning trade. Basically, put debit spreads require downward moves in the underlying to be profitable trades.

Tastyworks is one of the most popular online brokerages to trade put debit spreads because of $0.00 commissions and free professional options trading platforms!

Источник: https://www.optionsbro.com/put-debit-spread-option-strategy-example/

Стратегия Bear Put Ladder

Bear Put Debit Spread - медвежий дебетовый пут спрэд

Вводный курс в базовые стратегии торговли опционами. Мы советуем Вам пройти этот курс до того как Вы запишитесь на наши мастер классы.

Медвежий Put Ladder является модифицированной стратегией Медвежий Put спрэд.

Строится эта стратегия путём продажи ещё одного опциона Put на более низком страйке. Из-за того, что у нас два проданных опциона Put и один купленный, профиль риска принимает уже другой вид.

Теперь мы уже имеем неограниченный потенциал риска при значительном снижении цены базового актива. Проблема заключается ещё и в том, что до конца не понятно к какому типу относить эту стратегию к бычьей или медвежьей.

Скорее всего, мы должны определять эту стратегию как нейтральную.

Держатель этой стратегии рассчитывает на незначительное снижение цены базового актива, как раз ниже среднего страйка (первого короткого опциона Put), но не ниже страйка второго короткого опциона Put. Нахождение цены между двумя этими страйками было бы идеально.

Так как позиция имеет неограниченный потенциал риска, то стратегия носит краткосрочный характер.

 Результатом дополнительной продажи опциона Put является снижение стоимости позиции и снижение точки безубыточности для длинного опциона Put, а также регулирование направления самой стратегии.

Итак, если цена вырастит выше страйка длинного опциона Put вы будете иметь либо ограниченный убыток, либо ограниченный доход (всё зависит от цен купленных и проданных опционов), как бы высоко не выросла цена.

При нахождении цены базового между двумя страйками проданных опционов на момент экспирации вы получите максимальную прибыль.

И, наконец, если цена упадёт ниже страйка второго проданного опциона, вы будете иметь неограниченный убыток.

Графически стратегия Медвежий Put Ladder представлена ниже:

Точка входа: Удостоверьтесь, что тренд слегка нисходящий, и есть явные уровни сопротивления и поддержки. Вы покупаете опцион Put на высоком страйке и продаёте два опциона Put с разными более низкими страйками, с той же датой исполнения.

Стратегия может быть как дебетовой, так и кредитной. Если вы платите больше за длинный опцион Put, чем получаете от продажи, то стратегия будет дебетовой, то есть требует от вас затрат.

В другом случае стратегия будет кредитной, то есть приносит вам доход сразу на счёт.

Точка выхода: Согласно вашему торговому плану. Если цена выросла выше вашего стопа, продайте купленный опцион, в этом случае вы останетесь с непокрытыми опционами Put.

Или раскрутите всё позицию целиком.

Опытные трейдеры могут раскручивать позицию “leg-by-leg“, то есть частично раскручивать позицию данного спрэда, тем самым получать прибыль от колебания цены базового актива.

Профиль риска зависит от типа спрэда – дебетный или кредитный:

  • Верхняя точка безубыточности = верхний страйк + дебет(-кредит)
  • Нижняя точка безубыточности = нижний страйк – максимальная прибыль
  • Максимальная прибыль = (верхний страйк — средний страйк – дебет(+кредит))
  • Средний риск = дебету (отсутствует = кредиту)
  • Максимальный риск — неограничен

Принципы построения: Удостоверьтесь, что тренд слегка нисходящий, и есть чёткие уровни сопротивления и поддержки. Медвежий Put Ladder строиться из Медвежьего Put спрэда путём продажи опциона Put со страйком ниже, чем у проданного опциона Put в первоначальном спрэде. Хотя эта стратегия имеет потенциально неограниченный риск при резком снижении цены базового актива, её применение бывает оправдано и зависит от отношения цены базового актива и страйка купленного опциона. Если мы смотрим на стратегию как на расширение стратегии Медвежий Put спрэд, то мы должны иметь консервативно-пессиместичный взгляд на рынок, или даже для получения максимальной прибыли, нейтральный. Так как стратегия имеет неограниченные убытки с одной стороны желательно использовать её в краткосрочной перспективе.

Принципы выхода: Согласно вашему торговому плану. Если цена выросла выше вашего стопа, продайте купленный опцион, в этом случае вы останетесь с непокрытыми опционами Put.

Или раскрутите всё позицию целиком.

Опытные трейдеры могут раскручивать позицию “leg-by-leg“, то есть частично раскручивать позицию данного спрэда, тем самым получать прибыль от колебания цены базового актива.

Временной распад: Временной распад действует против держателя стратегии, когда цена находится возле страйка купленного опциона, и помогает  – при цене базового актива между страйками проданных опционов.

Греки:

Дельта. Дельта позитивна около нижнего страйка и становится отрицательной при изменении позиции.

Гамма. Гамма принимает максимальные значения возле страйков.

Тэта. Тэта помогает держателю стратегии, когда цена базового актива находится в зоне прибыли.

Вега. Повышение волатильности сказывается негативно при нахождении цены в зоне прибыли.

Плюсы: Стоимость позиции меньше по сравнению с Медвежьим Put спрэдом. Также сдвигается точка безубыточности.

Минусы: Неограниченный риск с одной стороны. Чаще всего применяется именно как ремонтная стратегия для Медвежьего Put спрэда опытными трэйдерами.

Источник: https://itg-direct.com/obuchenie/options/strategies/bear-put-ladder

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