Creating A Vertical Spread Index
By Mark Abssy

SLD: SPY NOV 140 CALL @ 4.20 (receive $420)

BOT: SPY NOV 143 CALL @ 2.62 (pay $262)

Net Credit: $420 - $262 = $158

$-At-Risk: Difference in Strikes – Net Credit ((143 – 140) x 100) - $158 = $142

MAX Gain/Loss:  Max Gain = $158 (52.67%) / Max Loss = $142 (-47.33%)

Collateral for this position would generally be determined by the strike spread. Collateral of $300 would be required to establish this position and is the basis for all gain/loss calculations.

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