Wednesday 10 Jun 2026. Nifty closed at 23,214.95. Take two spreads of the same width, one on each side, both expiring on Tuesday 30 Jun. One sells the 22,800 put and buys the 22,600 put, and is paid 45.95 a unit, Rs 2,987 a lot of 65 units. The other sells the 23,700 call and buys the 23,900 call, and is paid 48.40, Rs 3,146 a lot. Both look gentle. On 30 Jun Nifty closed at 23,865.75, up 2.80%. The put spread kept its whole credit. The sold call finished 165.75 points in the money against the 48.40 collected: a net result of −Rs 7,628 a lot. Every figure comes from NSE end of day files of 10 and 30 Jun 2026, so nothing here is live and nothing is a view on the next month.
3By the end you can
- Read the credit, maximum loss and breakeven of a bull put or bear call spread from dated settlement prices.
- Compare the size of the credit with the size of the maximum loss and say what a high win rate does not show.
- Say what the bought leg does for the loss and the margin.
The idea, plainly
What are bull put and bear call credit spreads?
A credit spread sells an option close to the index and buys a second option of the same type and expiry further away. The premium you receive is larger than the premium you pay, so money comes in. That net amount is the credit.
- Bull put spread. Sell a put, buy a lower put. It keeps the whole credit if the index finishes above the sold strike, loses below the breakeven, and loses the most below the bought strike.
- Bear call spread. Sell a call, buy a higher call. It keeps the whole credit if the index finishes below the sold strike, loses above the breakeven, and loses the most above the bought strike.
Max gain = credit
Max loss = width − credit
Bull put breakeven =
sold strike − credit
Bear call breakeven =
sold strike + credit
Read one more paragraph, 42 words
Width is the gap between the two strikes. The most the position can lose is the width less the credit, and it can lose it all if the index finishes beyond the bought strike. The most it can make is the credit.
How is it related to the debit spread?
It is the other side of one. The vertical debit spreads module bought the nearer option and sold the farther one, and paid. A credit spread sells the nearer one and buys the farther one, and is paid. The bear put spread of that lesson is the mirror of a bull put spread on the same two strikes: its buyer pays what the seller of the credit spread receives.
A bull put spread has a small flat gain on the upside and a larger flat loss on the downside
What does the bought leg do?
It caps the loss. A sold put on its own loses more the further the index falls, down to zero. A sold call on its own has no ceiling. The bought option sits behind the sold one and takes over the loss beyond its strike, so the position has a known worst case. That is why the exchange asks for far less margin on a spread than on the sold option alone. SPAN, the margin model of NSE Clearing, sets the exact figure, and it moves with the position and through the day; the margins module covers how. A capped loss is a known worst case. It is not a small one.
Read 2 more paragraphs, 153 words
The two legs have opposite Greeks, so the spread's Greeks are small. A bull put spread is a little long delta, a little short gamma and short vega, and it gains theta as days pass. Each number is the difference between two options' numbers, which is why a spread moves far less than the sold option alone.
The choice of strikes is a trade between credit and chance. A sold strike close to the index pays more and finishes in the money more often. A far one pays less. A wider spread raises the credit and the maximum loss together. No choice removes the shape: a small credit against a larger loss, which is what fair prices should give. The iron condor and iron fly module joins a bull put spread and a bear call spread into one position, and the straddles and strangles module shows the uncapped version of the same bet.
Worked example: 10 to 30 Jun 2026
The June chain of 10 Jun 2026: the future settled at 23,240.10 and the monthly expiry was Tuesday 30 Jun, settled on the index close for expiries before 7 Dec 2026. The sold strikes are about 1.9% below and 2.0% above the future, and each has a delta of about 0.29 in size. Delta is only a rough guide to the chance of finishing beyond a strike. All prices are settlement prices, which are not fills: each leg pays its own bid and ask.
- Bull put spread. Sell 22,800 at 158.80, buy 22,600 at 112.85. Credit 45.95 a unit, Rs 2,987 a lot. Width 200. Most it can lose: 154.05 a unit, Rs 10,013 a lot. Breakeven 22,754.05. Result at the 30 Jun close of 23,865.75: the full credit, Rs 2,987 a lot.
- Bear call spread. Sell 23,700 at 137.85, buy 23,900 at 89.45. Credit 48.40 a unit, Rs 3,146 a lot. Most it can lose: 151.60 a unit, Rs 9,854 a lot. Breakeven 23,748.40. At the close the sold call was 165.75 points in the money and the bought call still out of the money: −117.35 a unit, −Rs 7,628 a lot.
The bear call spread is the same shape turned over, and the 30 Jun close fell inside its loss ramp
Read one more paragraph, 52 words
The close of 23,865.75 sat 34.25 points below the bought 23,900 call. A little higher and the bear call spread would have lost its full Rs 9,854. Opened on the same day, the two spreads ended with opposite results. One month shows the shape of two positions and nothing about odds.
How much do you collect against how much you risk?
It collects less than a third of what it can lose
The maximum loss is 3.4 times the credit. If every miss cost the full 154.05, the spread would have to win 77.0% of the time just to break even. Misses between the two strikes cost less than the maximum, so the real break even is lower. The direction is clear all the same: the seller collects a little against a lot of risk, and a high win rate is the price of that shape, not a sign of an edge. The hedging module keeps the other use of a bought option apart: insurance on something you own.
What does time and volatility do to a credit spread?
The grid prices the bull put spread ten days after the example date, for five index moves and three shifts in implied volatility.
The spread gains from a steady or rising index, and loses when the index falls a few percent
| Index move | 10 days on, rupees a lot | ||
|---|---|---|---|
| IV −3 | IV same | IV +3 | |
| −4% | −7,039 | −6,414 | −5,955 |
| −2% | −2,349 | −2,508 | −2,622 |
| 0% | +1,439 | +823 | +319 |
| +2% | +2,764 | +2,440 | +2,051 |
| +4% | +2,971 | +2,900 | +2,747 |
Green is profit and red is loss; deeper colour means a larger amount. The outlined cell is the starting point.
2 terms this section turns on
Read one more paragraph, 111 words
Time works for the seller of the spread, because the sold leg decays faster than the bought one. A fall in the index hurts. Near the sold strike a rise in implied volatility makes it hurt more; once the index is below the bought strike the loss is close to its cap, and the same rise trims it a little. A bought leg limits the damage and does not remove it. Then the charges: the sale of the 22,800 put bears STT of 0.15% of its premium, Rs 15.48 for the lot, and the other legs and the exchange add their share. Both legs also pay their own bid and ask.
The common mistake
The claim: You are paid upfront, so a credit spread cannot lose.
The credit is the most the position can make, not a gain in hand. It is received first and held against the risk of the whole width. On 30 Jun 2026 the sold call of the bear call spread finished 165.75 points in the money against a credit of 48.40, a net result of −Rs 7,628 on a lot, in a month when the index rose 2.80%. With the close 34.25 points short of the bought strike, it could have lost Rs 9,854. The questions that matter are how large the maximum loss is against the account, and how far the index has to go to reach it.
Key takeaways
- A credit spread sells the nearer option and buys the farther one.
- Most it makes is the credit. Most it loses is the width less the credit.
- The bought leg caps the loss and lowers the margin.
- Capped is a known worst case, not a small one.
- A small gain against a large loss makes a high win rate unsurprising.
- The same spreads ended with opposite results in one month.
Before you trade. Derivatives trading carries a high risk of loss. SEBI's study "Profitability of Individual Traders in the Equity Derivatives Segment (FY25 to FY26)" (August 2026) found that 87.7% of individual traders in equity F&O made net losses in FY26, with aggregate net losses of Rs 91,685 crore. Read the SEBI study