On the credit spreads I'm doing, if it moves deep in the money, you have the puts/calls you bought to offset those you sold. So if I bought 600 puts and sold 605 puts, I'm only on the hook for the difference in strikes which is $5 x 100 so $500. You need that much margin to do the credit spread anyway. So my max loss is the credit from the spread minus the $500.
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