Synthetic put (short spot + call)
BearishLimited profitLimited loss
Short spot + long call: behaves like a long put.
Payoff at expiry — live BTC example
Net credit
$65,541
Max profit
$65,541
Max loss
$259.41
Breakeven
65,541
Example legs (0.7 DTE front)
- Sell spot
- Buy 65,800 call
Entry greeks (per 1 BTC notional): Δ -0.450 · Γ 0.3437 per 1% · vega $11.46/pt · theta $-213.12/day
How it works
The long call caps the upside loss of the short spot, recreating a put payoff.
When to use it
When actual puts are expensive or illiquid relative to calls.
Risks & management
Carry/funding on the short spot leg; the call premium is the insurance cost.
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.