OEX Index is at or above higher strike price of 600 at expiration
Buy 1 OEX 600/595 Put Spread at $2.35 Debit
Say the OEX index does not move as anticipated, but instead increases to an exercise settlement value of 605 at expiration. Both the OEX 600 and 595 puts would expire out-of-the-money and with no value, so the investor would lose the total premium of $235 initially paid for the spread. The investor’s maximum loss would not exceed $235 no matter how high OEX increases, and would be realized if at expiration the exercise settlement value were at any point at or above the $600 strike price at expiration.