OEX Index is at or below lower strike price of 600 at expiration
Buy 1 OEX 600/605 Call Spread at $2.75 Debit
Say the OEX index does not move as anticipated, but instead declines to an exercise settlement value of 590 at expiration. Both the OEX 600 and 605 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 OEX declines, and would be realized if at expiration the exercise settlement value were at any point at or below the $600 strike price at expiration.