A vertical spread buys one option and sells another at a different strike, capping both the cost and the maximum loss — the general structure is in credit and debit spreads.
The defined risk is real. So is the fact that you must trade twice to get it, and twice more to leave.
Four crossings, not two
Entry is two legs, exit is two more. Each pays a spread, and on a crypto book quoted in volatility terms that spread is larger in premium terms than it looks.
If one leg sits at a strike outside the liquid band described in liquidity by strike, its cost can exceed what the structure was meant to save. The protection is real and it is not free, and on a thin book the price of it is frequently underestimated.
Leg risk
Filling one leg and not the other leaves a naked position — exactly the exposure the spread was constructed to avoid. In a fast market that gap can persist long enough to matter.
Venues offering multi-leg execution as a single order remove this. Where that is unavailable, legging in is a genuine risk rather than an inconvenience, and it argues for the more liquid strikes even at a worse theoretical price.
Where spreads earn their place here
Selling premium. A naked short option carries a margin requirement that grows against you; a spread bounds it, which under ordinary margin can be the difference between viable and not.
Under portfolio margin that advantage shrinks, since the whole book is stressed together — so the case for a spread depends on which margin regime you are under, not only on the payoff diagram.
The rule
Price a spread at the fills you would actually get on both legs, in and out. If the structure only works at mid prices, it does not work.