The bear call spread

Sell a call above the price, buy a further one above that, and keep the difference.
The trade for when you think a stock has run far enough — not that it will collapse.

What it is

Two legs. Same stock, same expiry.
You sell a call. That is the obligation to deliver shares at the strike, and the income.
You buy a dearer call above it. That is the cap.
The difference is paid to you when you open.

What you are actually agreeing to

You are paid to open it.
You keep the payment if the stock stays below the strike you sold.
The call you bought is what stops the loss running — without it the risk above the strike has no end.
You do not need the stock to fall. You need it not to rise past a line.

The trade, written out

Everything above is the idea. This is the position — the lines you would actually send to a broker.

Order ticket

Leg	Action	Qty	Expiry	DTE	Strike	Delta	Price
1	Sell to open	-1	16 Oct 26	45	105 Call	-0.32 (32Δ)	$1.77
2	Buy to open	+1	16 Oct 26	45	110 Call	+0.16 (16Δ)	$0.72
Net	Credit	1 position	16 Oct 26	45	$5 wide	-0.16	$1.05

SELL -1 VERTICAL XYZ 16 OCT 26 105/110 CALL @ 1.05 CREDIT

Reading it back

One expiry. Both legs share it — a vertical, same as the bull put.
Sell the 105 call. Above the money, so it is out of the money when you open it.
Buy the 110 call. The cap, and what it costs.
The net credit is smaller than the bull put’s at the same delta. That is not a mistake in the model — see the trap.

The argument

Bull

makes the claim

I’ll take the other side of this all day. You are selling the upside of a stock that has been going up. The market spends most of its life drifting higher, and you have just been paid a few dollars to stand in front of that.

Bear

doubts it

I am not calling a crash. I am saying it does not get through 105 in six weeks, and I get paid if it stalls, drifts sideways, or falls a little. Three of the four things a stock can do pay me.

Ferret

settles it

The fourth one is the problem and nobody has priced it. What happens on a gap through both strikes, how often does that happen on this name, and what closes the trade before it does. Name the exit and I can test it.

The shape of it

The bear call spread on XYZ at $100 · 25% volatility · 4% rate · 45 days. Priced from the model, not written by hand.

	At expiry
Credit taken in	$105
Maximum profit	$105
Maximum loss	$-395
Breakeven	$106.05

The mirror image of a bull put — flat and profitable on the left, falling away to the right.
The maximum loss is the width less the credit, exactly as on the put side.
The faint lines show the position breathing as the days come off.
The shape is symmetric. The behaviour is not, and that is the interesting part.

Where you actually enter

The chart above is the shape at expiry. It puts the bend right next to the money, which makes the trade look like it is already on the edge. It is not — here is the day you open it.

The same structure set up at 20Δ · 45 days · credit $56. The shaded band is the room between the stock and the strike you sold.

The same price, two different days

	On day one	At expiry
Stock at $109 (the strike you sold)	$-145	$56
Stock unchanged at $100	$0	$56

You enter at the dot, with the stock below the strike you sold.
The shaded band is your room — how far it can rise before the strike is reached.
At the short strike the two days disagree, the same way they do on the put side.
Rising into your strike feels slower than falling into it, which is why traders hold these too long.

Different ways to set it up

Two dials again: how long you give it, and how far above the money you sell. Every panel is the same $5-wide call spread on the same $100 stock.

Same delta, four tenors

Days	Short strike	Away from spot	Credit	Max loss	Risk : reward
7	103	-3.0%	$38	$-462	12.1 : 1
21	106	-6.0%	$47	$-453	9.7 : 1
45	109	-9.0%	$56	$-444	7.9 : 1
90	113	-13.0%	$63	$-437	6.9 : 1

The same delta sits at a different distance at every tenor. A week gives you very little room; three months gives you a lot.
Short-dated call spreads pay poorly for what they risk. Read the risk-to-reward column.
The panels tell you the same thing — the short-dated one has almost no gap between day one and expiry.

Same tenor, three deltas

Delta	Short strike	Away from spot	Credit	Max loss	Risk : reward
40Δ	103	-3.0%	$138	$-362	2.6 : 1
25Δ	107	-7.0%	$78	$-422	5.4 : 1
15Δ	110	-10.0%	$47	$-453	9.7 : 1

Selling closer to the money pays more and is breached more often.
At the same delta, the call sits further from the stock than the put does — and pays less for it. The tables above are computed, not asserted: run the same 20 delta on both sides and the call side is further out with a worse risk-to-reward.
That gap comes from drift alone here. These pages price every leg at one volatility, so nothing in the model is favouring one side.
In the real market the gap is usually wider still, because puts carry more implied volatility than calls at the same distance. That effect is not in these numbers and we are not going to pretend it is.

A 20 delta call and a 20 delta put are not two halves of a symmetric trade — not even in a model with no skew in it.

What the Greeks are doing

Four questions about the same position, and a fifth that barely applies here.
Every structure answers them differently, which is why this site never writes a general page about the Greeks.

Days left	Delta	Gamma	Theta / day	Vega	Rho
45	-16.2	-1.30	$+1.28	$-4.01	$-1.87
21	-16.4	-2.95	$+2.70	$-4.24	$-0.91
7	-8.2	-4.22	$+3.70	$-2.02	$-0.15

The position at entry — stock $100 · 25% volatility. Per contract, from the model.

Delta — which way you need the stock to go

Negative — the position leans bearish.
You do not need it to fall. You need it not to rise past the strike you sold.
The delta column is roughly a short-share equivalent for a small move.

Theta — what time does to you

Positive. Time passing is what pays this trade.
The daily number is smaller than a put spread at the same delta, because the call side is priced with less fear in it.

Vega — what a change in fear does to you

Short volatility, like every credit spread.
In the market, a rally usually comes with falling implied volatility, so vega and delta often pull against each other on this side.
That is a claim about the market, not about this table. One volatility is used throughout here, so the effect does not appear above.

Gamma — how fast your delta turns against you

Negative and steepening as expiry approaches, the same as on the put side.
A gap higher is the version of this that hurts, because there is no chance to act between the two prices.

Rho — what a change in interest rates does to you

Small at this tenor, and the opposite sign to the put spread.
Worth one line, not a section.

Theta and gamma are one thing

This is the part that decides whether the strategy works, and it is almost never put plainly.

You cannot be paid theta without being short gamma. They are not two features of the trade. They are the rent and the risk on one lease.

The same position, three points in its life

Nothing about the position changes.
The stock sits still at $100 throughout.
Only the days left move.

Days left	Delta	Gamma	Theta / day	Vega	Rho
45	-16.2	-1.30	$+1.28	$-4.01	$-1.87
21	-16.4	-2.95	$+2.70	$-4.24	$-0.91
7	-8.2	-4.22	$+3.70	$-2.02	$-0.15

Now move the stock to $104.50

Same three dates, same spread.
Now with the stock pushed up near the call you sold, which is where this trade is decided.

Days left	Delta	Gamma	Theta / day	Vega	Rho
45	-20.4	-0.48	$+0.66	$-1.60	$-2.40
21	-28.0	-1.70	$+1.89	$-2.66	$-1.59
7	-38.6	-7.08	$+7.05	$-3.70	$-0.75

Gamma goes from -0.48 to -7.08.
Theta goes from $+0.66 a day to $+7.05.
Both climb, and neither is available without the other.
Delta now moves roughly 15 times as far for every dollar the stock travels.

Which is what DTE actually sets

Shorten the tenor and the daily income rises with the speed you can be hurt at.
There is no setting that gives one without the other.
On the call side the effect is sharper, because you are usually selling less premium to begin with.

The trap

The trap on this one is thinking it is the bull put spread upside down.

The same delta does not buy you the same trade on the two sides.

Run 20 delta on both sides of the same stock and the call sits further out than the put — and collects less.
Matched by delta, a call spread risks the same width for less money.
Matched by credit instead, it has to sit much closer to the money.
You have to pick which of the two you are matching, and say so. Most write-ups do neither.

Why it matters

An iron condor built by picking the same delta on both sides is not centred on the stock.
Anyone quoting one number for “credit spreads” has usually tested the put side and assumed the call side matched.
It does not, and which way you match them is part of the specification — one of the four numbers, not a detail.

How this shows up in our tests — pending. No result has been published on this structure yet.