A Christmas tree spread that involves the selling of one put option at the highest exercise price and the purchase of another put at each of the lower exercise prices. In other words, this position is established by combining a high exercise long put and one lower exercise short put and another short put at an even lower exercise price. For example, an investor may buy a one USD 80 put and at the same time sell one USD 75 put and another put at USD 70. The maximum gain from such a Christmas tree is limited and can be achieved if the underlying price lies between the two short strikes at expiration. This gain is measured as the difference between the long strike and the first short strike adjusted for any credit or debit amount.

As Christmas trees are typically delta neutral, this strategy is also neutral with unlimited downside risk potential.