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Butterfly Spread Calculator

Butterfly spread profit or loss equals the lower call payoff, minus two times the middle call payoff, plus the upper call payoff, minus net debit, times 100 shares times number of contracts.

Expiration scenarios

Solution

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Butterfly Spread Formula

This calculator models a symmetric debit butterfly. Lower break-even is lower strike plus debit; upper break-even is upper strike minus debit.

Worked Examples

Load these butterfly spread examples to compare middle-strike max profit, partial wins, and full-debit losses.

PRICE TARGET

What if the stock pins the middle strike?

A trader buys a $48/$50/$52 call butterfly for a $0.60 debit and the stock finishes at $50.

  • Wing width = $2.
  • Max profit per share = $2 - $0.60 = $1.40.
  • Profit = $1.40 x 100 = $140.
  • Break-evens are $48.60 and $51.40.

Result: the butterfly earns its maximum $140.00 profit.

Pinning the middle strike is the ideal expiration outcome but cannot be assumed.

OUTSIDE WINGS

What if the stock misses the entire tent?

A trader buys 2 $90/$100/$110 butterflies for a $2.10 debit and the stock finishes at $116.

  • The stock finishes above the upper wing.
  • The butterfly expires worthless on a net basis.
  • Net loss = $2.10 x 100 x 2 = $420.

Result: the position loses the full $420.00 debit.

Loss is defined, but a butterfly can still lose 100% of the debit.

PARTIAL PROFIT

What if the stock lands between break-even and middle?

A trader buys a $195/$200/$205 butterfly for $1.40 and the stock finishes at $198.

  • Lower break-even = $195 + $1.40 = $196.40.
  • Spread value at $198 = $198 - $195 = $3.
  • Profit = ($3 - $1.40) x 100 = $160.

Result: the butterfly earns $160.00.

Profit declines again if the stock moves too far past the middle strike.

How It Works

A classic long call butterfly buys one lower-strike call, sells two middle-strike calls, and buys one upper-strike call with equal wing widths. It is a defined-risk neutral strategy that reaches maximum profit if the stock finishes near the middle strike at expiration.

Example Problem

You enter a $95/$100/$105 long call butterfly for a $1.50 debit. The stock finishes at $100. What are the profit, break-evens, maximum profit, and maximum loss?

  1. Wing width = $100 - $95 = $5.
  2. Net debit = $1.50 x 100 = $150.
  3. At the middle strike, the butterfly is worth the full $5 width.
  4. Profit = ($5 - $1.50) x 100 = $350.
  5. Lower break-even = $95 + $1.50 = $96.50.
  6. Upper break-even = $105 - $1.50 = $103.50.

The calculator models a symmetric debit butterfly. Broken-wing and credit butterflies need different max-loss logic.

Key Concepts

A butterfly has limited risk and limited reward. It is most profitable near the middle strike, loses the debit outside the wings, and has two break-even prices inside the wings.

Applications

  • Planning a defined-risk neutral expiration trade.
  • Comparing wing width and debit against max profit.
  • Estimating the profit zone around a price target.
  • Sizing contracts from known maximum loss.

Common Mistakes

  • Using unequal wing widths in a classic butterfly calculation.
  • Forgetting that the middle strike has two short calls.
  • Confusing the middle strike with break-even.
  • Ignoring that expiration payoff can differ from live spread value before expiration.

Frequently Asked Questions

What is a long call butterfly?

A long call butterfly buys a lower-strike call, sells two middle-strike calls, and buys an upper-strike call. The classic version uses equal wing widths.

How do I calculate butterfly break-evens?

For a symmetric debit butterfly, lower break-even equals lower strike plus net debit, and upper break-even equals upper strike minus net debit.

What is maximum profit on a butterfly?

Maximum profit equals wing width minus net debit, multiplied by 100 shares and contracts. It occurs when the stock finishes at the middle strike.

What is maximum loss on a butterfly?

Maximum loss is the net debit paid. It occurs when the stock finishes at or below the lower strike or at or above the upper strike.

Does this handle broken-wing butterflies?

No. This calculator is for classic symmetric debit butterflies with equal wing widths.

Reference: Options Industry Council, Long Call Butterfly strategy description and expiration payoff definitions.

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