Bear put spread: how far the price has to fall before time works for you
See which way time pushes this put spread at $90, $95, and $100, and how long the rest of the gain takes once the price is below $90.
All figures are Black-Scholes model estimates, not market quotes or guarantees.
US stock and ETF options are American-style and can be exercised at any time. This model treats every option as European and does not model early exercise or assignment.
P&L by price and day (model estimate, current price 100, IV 30%, 30 days)
| Underlying price | Day 0 | Day 7.5 | Day 15 | Day 22.5 | Day 27 | Day 30 |
|---|---|---|---|---|---|---|
| 85 | +$599 | +$628 | +$661 | +$696 | +$712 | +$714 |
| 90 | +$434 | +$460 | +$497 | +$556 | +$614 | +$714 |
| 95 | +$212 | +$212 | +$212 | +$211 | +$211 | +$214 |
| 100 | $0 | −$25 | −$61 | −$120 | −$179 | −$286 |
| 105 | −$150 | −$180 | −$216 | −$259 | −$282 | −$286 |
Structure and P&L at expiration
A bear put spread has two legs: you buy a put with a strike of 100 and sell a put with a strike of 90, both expiring in 30 days. Every number on this page assumes a current price of $100, implied volatility (IV) of 30%, a 4% risk-free rate, no dividends, 30 days to expiration, and one contract per leg.
The 100 put costs $3.26 a share and the 90 put brings in $0.40, for a net debit of $286.23. The long 100 put covers the short 90 put.
- Max profit: $713.77, at $90 or below: the $1,000 width less the net debit.
- Max loss: $286.23, at $100 or above.
- Breakeven: $97.14.
At entry, Delta is −37.19 and the instantaneous Theta is −$2.82 a day.
Time profile
- At $100, time costs money every day. The spread loses the full $286, and 58% of that loss lands in the last 7.5 days.
- At $95, time hardly matters: the P&L stays around +$212 for most of the month and ends at +$214.
- At $90, time pays. The P&L climbs from +$434 to +$714, with 56% of the gain in the last 7.5 days.
- At $85, below both strikes, it still climbs, from +$599 to +$714.
- At $105, it slides from −$150 to −$286.
The line at $95: the midpoint rule for puts
The time-neutral price is $94.99 on day 0, $94.97 on day 15, and $95.11 on day 27. Below it, time helps; above it, time hurts. This is the midpoint rule of the bull call spread turned around: below $95 the short 90 put holds more time value than the long 100 put, so the passing days pay you; above $95 the long put holds more, so they cost you.
On the last day the line moves up to $96.80 with 1 day left. That is the same level where a long put on its own turns positive on that day: by then the 90 put has almost no time value left, and the long 100 put’s in-the-money model effect takes over (see the long put page).
Below the lower strike: the rest of the gain waits for time
Once the price is below $90, both puts are in the money and the spread is heading for its $1,000 width. It is not worth that yet. Until expiration, the price could still climb back above $90, and the short put’s remaining time value reflects that chance.
So the last part of the gain is paid out by time. At $85 the spread shows +$599 on day 0, +$661 on day 15, +$696 on day 22.5, and +$714 at expiration. At $90, right at the short strike, the wait is longer and steeper: +$434, +$497, +$556, then +$714.
A subtle asymmetry with the bull call spread
The two spreads have the same $10 width and look like mirror images around $100, but the numbers differ. The bear put spread costs $286.23 against $293.59 and can make $713.77 against $706.41: the 4% rate makes puts cheaper than calls with the same distance from the current price.
The time-neutral lines aren’t exact mirrors either. The bull call spread’s line runs from $104.83 to $106.42 and moves toward its short strike at the end; the bear put spread’s runs from $94.97 to $96.80 and moves toward its long strike.
Try it in the Lab: three experiments
The link keeps only the $85 and $90 lines. Watch them climb over the last 7.5 days: the $90 line from +$556 to +$714, the $85 line from +$696 to +$714.
Open in the LabSet the day slider to day 27 with the cursor at $100 and read the downside left to expiration: −$107, from −$179 now down to the −$286 max loss.
Open in the LabSwitch to the bull call spread and compare the two time-effect maps: there the line sits near $105 instead of $95, and time helps above it rather than below.
Open in the Lab
Three common misconceptions
MisconceptionOnce the price is below the lower strike of 90, you have the full profit.
What the numbers showA drop to $85 on day 0 shows +$599, and a drop to $90 shows +$434. The +$714 waits for expiration.
MisconceptionA bear put spread is just a mirror image of a bull call spread.
What the numbers showWith the same $10 width, it costs $286.23 against $293.59 and its max profit is $713.77 against $706.41, because the 4% rate makes puts cheaper. Its time-neutral price runs from $94.97 to $96.80, not an exact mirror of the bull call spread’s $104.83 to $106.42.
MisconceptionIf the price doesn’t move, you just make a bit less.
What the numbers showStanding still is a loss: at $100 the spread loses the full $286 by expiration, $107 of it in the last 3 days.