The maximum gain (ignoring commissions and taxes)from buying an at-the-money bond put option is the bond price at time of option purchase less the put premium. The maximum loss is the put premium.

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Quizplus · Accepted Answer

This is because if the bond price at expiration is lower than the strike price of the option, the option will be in-the-money and can be exercised to sell the bond at the higher strike price. The gain will then be the difference between the bond price and the strike price, minus the premium paid for the option. However, if the bond price at expiration is higher than the strike price, the option will expire worthless and the maximum loss will be the premium paid for the option.

The Maximum Gain (Ignoring Commissions and Taxes)from Buying an At-The-Money