Put ratio backspread (2×1)
BearishLimited profitLimited loss
Sell 1 put, buy 2 lower: big downside payoff, worst case at the long strike.
Payoff at expiry — live BTC example
Net credit
$438.86
Max profit
$74,239
Max loss
$1,361
Breakevens
74,239 / 76,961
Example legs (1.0 DTE front)
- Sell 77,400 put
- Buy 2× 75,600 put
Entry greeks (per 1 BTC notional): Δ 0.085 · Γ 0.0708 per 1% · vega $7.09/pt · theta $-180.40/day
How it works
Mirror backspread: credit or small debit entry, large payoff on a crash, valley at the long put strike.
When to use it
Crash exposure financed by selling the nearer put — either calm or collapse.
Risks & management
A slow grind down into the valley is the losing path; the structure wants speed.
Related structures
Example built from live Delta Exchange BTC marks on the nearest constructible expiry; numbers refresh with the chain. Educational content, not investment advice.