SPX Index is at or above higher strike price of 1400 at expiration
Buy 1 SPX 1400/1395 Put Spread at $2.35 Debit
Say the SPX index does not move as anticipated, but instead increases to an exercise settlement value of 1405 at expiration. Both the SPX 1400 and 1395 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 SPX increases, and would be realized if at expiration the exercise settlement value were at any point at or above the $1400 strike price at expiration.