Model and input conventions
For terminal price S, the option payoff per unit is max(S − lower strike, 0) minus max(S − upper strike, 0). Subtract the long premium less the short premium, multiply by quantity, and subtract fixed costs. Strikes must increase strictly. The difference between the strikes limits the gross terminal option payoff; increasing the final price above the upper strike does not increase that payoff further.
Worked numerical example
Buy the 100 call for 12 and sell the 120 call for 4. The premium debit is 8 per unit. With two underlying units and 2 of total fixed costs, the worst expiry P&L is −18 and the best is +22. Break-even occurs at 109 because the long call must earn 9 per unit to recover the premium plus the allocated fee. At 110, net P&L is 2.
Read the scenario table
Rows include strikes, mathematically identified break-even boundaries and the selected terminal price. Compare the signed option-payoff column with the total P&L column: the former excludes premiums and costs. The stock column remains zero because this spread does not own the underlying. All displayed scenarios are arithmetic cases, with no probabilities attached to either the maximum gain or the maximum loss.
Where the model stops
The diagram assumes both options remain in place until European-style cash settlement. It excludes early assignment, separate leg execution, financing, margin liquidation and changes to contract terms. An unusually large debit or fee can leave no profitable terminal price even though the spread’s intrinsic payoff is bounded. The calculator preserves that result rather than labeling every input combination a standard attractive debit spread.