XYZ falls to $35 at option expiration
If at expiration the price of XYZ has continued to decline and closes at $35, both the long 40 call and the short 45 calls will expire out-of-the-money and worthless. Since the investor initiated the option position at no cost and all of these options have expired with no value, the option strategy has had no impact on the overall position. The investor has seen an additional $5 per share loss (or $15 from the original stock purchase price) accrue on the original shares, the same as would have resulted had the shares simply been held on to and the repair strategy not been used.
It should be noted that if the repair strategy is utilized, as the stock continues to decline it will not protect the investor against any further loss from the underlying stock position. If the investor is expecting the price of XYZ to continue to fall, a strategy other than the repair strategy might be considered.