1. What it is
Sell one higher-strike put and buy one put at each of two lower strikes at the same expiration.
2. Why use it
Sell a higher put and buy two lower puts, creating a valley before crash participation.
3. How the numbers work
View example
- Sell 1 × Put · Strike 100
- Buy 1 × Put · Strike 95
- Buy 1 × Put · Strike 90
All option legs have the same expiration.
- Option premium received
- 1
- Expiration breakeven
- 86 / 99
- Maximum expiration profit
- 86
- Maximum expiration loss
- 4
- Underlying at expiration 100 → Profit 1
- Underlying at expiration 110 → Profit 1
4. How it changes
Directional exposure may flip from bullish to bearish as price falls. Time and volatility affect the loss valley as well as the tail.
5. What to watch for
A moderate decline into the long strikes can cause the maximum loss, while a much deeper decline benefits the extra long put.
Crash protection is not protection against every decline. Check the price interval where the structure still loses.
Examples use illustrative entry prices and amounts per underlying unit, before costs. Contract amounts require the contract multiplier. Expiration payoffs assume the illustrated legs remain intact; earlier position values and exercise or assignment outcomes can differ.