It's slightly more complex than that because they're "protecting" you between $178 and $210. If you scroll down and click the "Preview Your Strategy" button, it

It's slightly more complex than that because they're "protecting" you between $178 and $210. If you scroll down and click the "Preview Your Strategy" button, it'll show you exactly what they're going to do. So, in your example, they would: Short SPY 2016-01-15 call option with strike price at $235.00 Long SPY 2016-01-15 call option with strike price at $210.00 Short SPY 2016-01-15 put option with strike price at $178.00 The net cost of that (including commissions) would be $516.24 They'd also retain cash of $21,000 If the price ended above $235, you would exercise your option to Buy @ $210 (using the $21k cash), but would be forced to Sell @ $235, so you'd end up making a profit of $25 per share (i.e. $25,000 in total). If the price ended below $178, you would be forced to Buy @ $178 (using $17,800 of your $21,000) and you would then sell at the market price, losing up to $178 per share. You'd also get back the unused $3,200 cash. If the price ended between $178 and $210, you wouldn't do anything, nobody would exercise the options you'd sold them and you'd get back $21,000 in cash. If the price ended between $210 and $235, you would exercise your option to Buy @ $210, and you would then sell at the market price, so you'd end up with somewhere between $21,000 and $25,000.