SPX Index is at or below lower strike price of 1400 at expiration
Buy 1 SPX 1400/1405 Call Spread at $2.75 Debit
Say the SPX index does not move as anticipated, but instead declines to an exercise settlement value of 1390 at expiration. Both the SPX 1400 and 1405 calls would expire out-of-the-money and with no value, so the investor would lose the total debit of $275 initially paid for the spread. The investor’s maximum loss would not exceed $275 no matter how far SPX declines, and would be realized if at expiration the exercise settlement value were at any point at or below the $1400 strike price at expiration.