---
title: "Bear Call Ladder"
description: "Bear call ladder consists of selling a call and buying two calls with increasing strike price order and the same expiry."
canonical: https://www.quantconnect.com/docs/v2/writing-algorithms/trading-and-orders/option-strategies/bear-call-ladder
markdown: https://www.quantconnect.com/docs/v2/writing-algorithms/trading-and-orders/option-strategies/bear-call-ladder.md
language: python
source: https://github.com/QuantConnect/Documentation/tree/master/03%20Writing%20Algorithms/22%20Trading%20and%20Orders/08%20Option%20Strategies/34%20Bear%20Call%20Ladder
modified: 2026-10-30
index: https://www.quantconnect.com/llms.txt
---

# Bear Call Ladder

[Documentation](https://www.quantconnect.com/docs/v2.md) > [Writing Algorithms](https://www.quantconnect.com/docs/v2/writing-algorithms.md) > Trading and Orders > [Option Strategies](https://www.quantconnect.com/docs/v2/writing-algorithms/trading-and-orders/option-strategies.md) > Bear Call Ladder

> Code examples are shown in Python. Append `?lang=csharp` to this URL for the C# version of this page.

## Introduction

**Bear call ladder**, also known as **short call ladder**, is a combination of a [bear call spread](https://www.quantconnect.com/docs/v2/writing-algorithms/trading-and-orders/option-strategies/bear-call-spread.md) and a long call with a higher strike price than the 2 legs of the call spread. All calls have the same underlying Equity and expiration date. This strategy profits from increasing volatility of the underlying asset. For instance, the underlying price moves away from its current price.

## Implementation

Follow these steps to implement the bear call ladder strategy:

1. In the `initialize` method, set the start date, end date, cash, and [Option universe](https://www.quantconnect.com/docs/v2/writing-algorithms/universes/equity-options.md).
   ```python
   def initialize(self) -> None:
       self.set_start_date(2024, 9, 1)
       self.set_end_date(2024, 12, 31)
       self.set_cash(1000000)

       self.universe_settings.asynchronous = True
       option = self.add_option("GOOG", Resolution.MINUTE)
       self._symbol = option.symbol
       option.set_filter(lambda universe: universe.call_ladder(30, 5, 0, -5))
   ```
2. In the `on_data` method, select the expiration and strikes of the contracts in the strategy legs.
   ```python
   def on_data(self, slice: Slice) -> None:
       if self.portfolio.invested:
           return

       # Get the OptionChain
       chain = slice.option_chains.get(self._symbol, None)
       if not chain:
           return

       # Select the call Option contracts with the furthest expiry
       expiry = max([x.expiry for x in chain])
       calls = [i for i in chain if i.expiry == expiry and i.right == OptionRight.CALL]
       if not calls:
           return

       # Select the strike prices from the remaining contracts
       strikes = sorted(set(x.strike for x in calls))
       if len(strikes) < 3:
           return

       low_strike = strikes[0]
       middle_strike = strikes[1]
       high_strike = strikes[2]
   ```
3. In the `on_data` method, select the contracts and place the orders.
   **Approach A:** Call the `OptionStrategies.bear_call_ladder` method with the details of each leg and then pass the result to the `buy` method.
   ```python
   option_strategy = OptionStrategies.bear_call_ladder(self._symbol, low_strike, middle_strike, high_strike, expiry)
   self.buy(option_strategy, 1)
   ```
   **Approach B:** Create a list of `Leg` objects and then call the [combo_market_order](https://www.quantconnect.com/docs/v2/writing-algorithms/trading-and-orders/order-types/combo-market-orders.md), [combo_limit_order](https://www.quantconnect.com/docs/v2/writing-algorithms/trading-and-orders/order-types/combo-limit-orders.md), or [combo_leg_limit_order](https://www.quantconnect.com/docs/v2/writing-algorithms/trading-and-orders/order-types/combo-leg-limit-orders.md) method.
   ```python
   low_strike_call = next(filter(lambda x: x.strike == low_strike, calls))
   middle_strike_call = next(filter(lambda x: x.strike == middle_strike, calls))
   high_strike_call = next(filter(lambda x: x.strike == high_strike, calls))

   legs = [
       Leg.create(low_strike_call.symbol, -1),
       Leg.create(middle_strike_call.symbol, 1),
       Leg.create(high_strike_call.symbol, 1)
   ]
   self.combo_market_order(legs, 1)
   ```

## Strategy Payoff

The bear call ladding is an unlimited-profit-limited-risk strategy. The payoff is

$$ \begin{array}{rcll} C^{low}_T & = & (S_T - K^{low})^{+}\\ C^{mid}_T & = & (S_T - K^{mid})^{+}\\ C^{high}_T & = & (S_T - K^{high})^{+}\\ Payoff_T & = & (C^{low}_0 - C^{low}_T + C^{mid}_T - C^{mid}_0 + C^{high}_T - C^{high}_0)\times m - fee\\ \end{array} $$ $$ \begin{array}{rcll} \textrm{where} & C^{low}_T & = & \textrm{Lower-strike call value at time T}\\ & C^{mid}_T & = & \textrm{Middle-strike call value at time T}\\ & C^{high}_T & = & \textrm{Higher-strike call value at time T}\\ & S_T & = & \textrm{Underlying asset price at time T}\\ & K^{low} & = & \textrm{Lower-strike call strike price}\\ & K^{mid} & = & \textrm{Middle-strike call strike price}\\ & K^{high} & = & \textrm{Higher-strike call strike price}\\ & C^{low}_0 & = & \textrm{Lower-strike call value at position opening (credit received)}\\ & C^{mid}_0 & = & \textrm{Middle-strikeTM call value at position opening (debit paid)}\\ & C^{high}_0 & = & \textrm{Higher-strike call value at position opening (debit paid)}\\ & m & = & \textrm{Contract multiplier}\\ & T & = & \textrm{Time of expiration} \end{array} $$

In this example, the underlying stock price at expiration is $843.25. You traded a lower-strike call at $822.50 for $13.80, a middle-strike call at $825.00 for $15.10, and a higher-strike call at $827.50 for $13.10.

The following chart shows the payoff at expiration:

![Bear Call Ladder strategy payoff at expiration](https://cdn.quantconnect.com/docs/i/writing-algorithms/trading-and-orders/option-strategies/bear-call-ladder.png)

The maximum profit is unlimited, which occurs when the underlying price increases indefinitely.

The maximum loss is $K^{low} - K^{mid} + C^{low}_0 - C^{mid}_0 - C^{high}_0$, which occurs when the underlying price is between the two higher strike prices.

If the Option is American Option, there is a risk of [early assignment](https://www.quantconnect.com/docs/v2/writing-algorithms/reality-modeling/options-models/assignment.md) on the contract you sell.

## Example

The following table shows the price details of the assets in the algorithm:

| Asset | Price ($) | Strike ($) |
| --- | --- | --- |
| Lower-Strike call | 13.80 | 822.50 |
| Middle-strike call | 15.10 | 825.00 |
| Higher-strike call | 13.10 | 827.50 |
| Underlying Equity at expiration | 843.25 | - |

Therefore, the payoff is

$$ \begin{array}{rcll} C^{low}_T & = & (S_T - K^{low})^{+}\\ & = & (843.25-822.50)^{+}\\ & = & 20.75\\ C^{mid}_T & = & (S_T - K^{mid})^{+}\\ & = & (843.25-825.00)^{+}\\ & = & 18.25\\ C^{high}_T & = & (S_T - K^{high})^{+}\\ & = & (843.25-827.50)^{+}\\ & = & 15.75\\ Payoff_T & = & (C^{low}_0 - C^{low}_T + C^{mid}_T - C^{mid}_0 + C^{high}_T - C^{high}_0)\times m - fee\\ & = & (13.80 - 20.75 + 18.25 - 15.10 + 15.75 - 13.10)\times100-1.00\times3\\ & = & -118\\ \end{array} $$

So, the strategy loses $118.

The following algorithm implements a bear call ladder Option strategy:

```python
class BearCallLadderOptionStrategy(QCAlgorithm):
    def initialize(self) -> None:
        self.set_start_date(2024, 9, 1)
        self.set_end_date(2024, 12, 31)
        self.set_cash(100000)

        option = self.add_option("GOOG", Resolution.MINUTE)
        self._symbol = option.symbol

        # set our strike/expiry filter for this option chain
        option.set_filter(lambda x: x.call_ladder(30, 5, 0, -5))

    def on_data(self, slice: Slice) -> None:
        if self.portfolio.invested:
            return

        # Get the OptionChain
        chain = slice.option_chains.get(self._symbol, None)
        if not chain:
            return

        # Select the call Option contracts with the furthest expiry
        expiry = max([x.expiry for x in chain])
        calls = [i for i in chain if i.expiry == expiry and i.right == OptionRight.CALL]
        if not calls:
            return

        # Select the strike prices from the remaining contracts
        strikes = sorted(set(x.strike for x in calls))
        if len(strikes) < 3:
            return

        low_strike = strikes[0]
        middle_strike = strikes[1]
        high_strike = strikes[2]

        option_strategy = OptionStrategies.bear_call_ladder(self._symbol, low_strike, middle_strike, high_strike, expiry)
        self.buy(option_strategy, 1)
```