A butterfly (fly) consists of options at three equally spaced exercise prices, where all options are of the same type (all put or all call) and expire at the same time.
You may add a filter on this page to show only a specific strike price for any of the strategy's legs. This allows you to drill down to inspect only the options you are interested in viewing.
About Long Call Butterfly
A long call butterfly spread consists of call options at three equally spaced exercise prices within the same expiration, combining a bull call spread with a bear call spread. In a long call butterfly, the outside strikes are purchased, and the inside strike is sold. The ratio of a butterfly spread is always 1 x 2 x 1. The long call butterfly spread strategy succeeds if the underlying price is trading above the lower break even or below the upper break even, ideally at the middle strikes.
Example: 232.5 / 235 / 237.5 fly
- Bull Call Spread: AAPL with 11/15/19 expiration - Leg1 Strike = 232.50 (Leg1 Ask = 13.75) and Leg2 Strike = 235.00 (Leg2 Bid=11.75)
- Bear Call Spread: AAPL with 11/15/19 expiration - Leg1 Strike = 235.00 (Leg1 Bid=11.75) and Leg2 Strike = 237.50 (Leg2 Ask=10.15)
For the example above, you pay 2.00 for the 232.5 / 235 bull spread and you receive 1.6 for 235 / 237.5 bear spread.
- Net debit on the fly is .40.
- Max profit is realized if the underlying equals the 2 short strikes at 235.
- Max risk is the debit paid out and occurs when the underlying is above either highest strike (237.5) or below the lower strike (232.5).
Max Profit
Max profit is the strike differential less the cost for the fly. In the example, strike differential is 2.5 and debit is .4. Max profit is capped at 2.1. This is achieved if the underlying “pins” or lands right at 235 on expiration.
Max Loss
Max loss is the debit paid and will take place if the underlying expires below the 232.5 strike or above the 237.5.
Break Even Calculations
The upper Break Even (BE+) is the higher strike purchased – debit. In the example, 237.5 - .4 = 237.1. The lower Break Even (BE-) is the lower strike purchased plus the debit paid. In example, 232.5 + .4 = 232.9.
Both risk (net debit) and max profit are limited in this strategy.
Payout%
(spread differential - net debit) / net debit
About Short Call Butterfly
A short call butterfly spread consists of call options at three equally spaced exercise prices within the same expiration, combining a bear call spread with a bull call spread. In a short call butterfly, the outside strikes are sold, and the inside strike is purchased. The ratio of a butterfly spread is always 1 x 2 x 1. The short call butterfly strategy succeeds if the underlying price is trading below the lower break even or above the upper break even.
Example: 35 / 36 / 37 fly
- Bear Call Spread: AMD (last price 36.32, Max Profit $0.54) with 12/20/19 expiration - Leg1 Strike = 35.00 (Leg1 Bid=3.00) and Leg2 Strike = 36.00 (Leg2 Ask=2.46)
- Bull Call Spread: AMD (Max Loss $0.52) with 12/20/19 expiration - Leg1 Strike = 36.00 (Leg1 Ask = 2.46) and Leg2 Strike = 37.00 (Leg2 Bid=1.94)
For the example above, you receive .54 for the 35 / 36 bear spread and you pay .52 for 36 / 37 bull spread.
- Net credit on the fly is .02.
- Max profit is realized if the underlying is outside the two short strikes and is equal to the credit received (.02).
- Max risk is equal to the distance between strikes less the net premium received (1.00 - .02 = .98).
Max Profit
Max profit is incurred when the underlying is outside of the short strikes (below the lower call and above the higher call). Max profit is equal to the credit received (.02).
Max Loss
Max loss equals the difference between strikes minus the credit received (.98). Max loss takes place if the options expire at the center strike.
Break Even Calculations
The upper BE is the higher strike sold – credit. In the example, 37 - .02 = 36.98. The lower BE is the lower strike sold plus the credit. In example, 35 + .02 = 35.02.
Both risk and max profit (credit) are limited in this strategy.
Risk/Reward%
(spread differential - net credit) / net credit
About Long Put Butterfly
A long put butterfly spread consists of put options at three equally spaced exercise prices within the same expiration, combining a bear put spread with a bull put spread. In a long put butterfly, the outside strikes are purchased, and the inside strike is sold. The ratio of a fly is always 1 x 2 x 1. The long put butterfly strategy succeeds if the underlying price is trading above the lower break even or below the upper break even, ideally at the middle strikes.
Example: 245 / 242.50 / 240.00 fly
- Bear Put Spread: AAPL with 11/15/19 expiration - Leg1 Strike = 245.00 (Leg1 Ask=8.10) and Leg2 Strike = 242.50 (Leg2 Bid=6.75)
- Bull Put Spread: AAPL (last price 242.55) with 11/15/19 expiration - Leg1 Strike = 242.50 (Leg1 Bid = 6.90) and Leg2 Strike = 240.00 (Leg2 Ask=5.85)
For the example above, you receive 1.05 for selling the 242.5 / 240 bull spread and you pay 1.15 for buying 245 / 242.5 bear spread.
- Net debit on the fly is .10.
Max Profit
Max profit is the strike differential minus the debit. In the example, strike differential is 2.5 and debit is .1. Max profit = 2.4. This is achieved if the underlying expires at 242.5.
Max Loss
Max loss is the debit paid (.10) and will be incurred if the underlying expires below 240 or above 245.
Break Even Calculations
Upper break even is the higher put strike minus the debit paid. In example, 245 - .10 gives upper break even of 244.9. Lower break even is the lower purchased strike plus the premium paid. 240 + .1 = 240.1 lower BE.
Both risk (net debit) and max profit are limited in this strategy.
Payout%
(spread differential - net debit) / net debit
About Short Put Butterfly
A short put butterfly spread consists of put options at three equally spaced exercise prices within the same expiration, combining a bull put spread with a bear put spread. In a short put butterfly, the outside strikes are sold, and the inside strike is purchased. The ratio of a fly is always 1 x 2 x 1. The short put butterfly strategy succeeds if the underlying price is trading below the lower break even or above the upper break even.
Example: 35 / 36 / 37 fly
1 OTM put x 2 ATM puts x 1 ITM put. Below is the 35 / 36 / 37 short put butterfly for AMD.
- Bear Put Spread: AMD (last price 36.83, Max Profit $0.05) with 12/20/19 expiration - Leg1 Strike = 36.00 (Leg1 Bid=1.66) and Leg2 Strike = 35.00 (Leg2 Ask=1.25)
- Bull Put Spread: AMD (Max Loss $1.00) with 12/20/19 expiration - Leg1 Strike = 37.00 (Leg1 Ask = 2.12) and Leg2 Strike = 36.00 (Leg2 Bid=1.66)
In this example, you buy the 36/35 bear spread for .41 and sell the 37/36 bull spread for .46.
Max Profit
Max profit is the credit received (.46 - .41 = .05). Max profit takes place when the underlying is trading outside of the two short strikes.
Max Loss
Max loss equals the difference between strikes minus the credit received (1 - .05 = .95). Max loss takes place if the options expire at the center strike.
Break Even Calculations
Lower BE is the lower sold put strike plus the credit (35 + .05 = 35.05). The upper BE is the higher sold put minus the credit (37 - .05 = 36.95).
Both risk and max profit (credit) are limited in this strategy.
Risk/Reward%
(spread differential - net credit) / net credit
About Long Iron Butterfly
The Long Iron butterfly strategy is a 4-legged option spread that combines a long straddle and a short strangle.
The Long Iron fly could also be viewed as a combination of a debit bear put spread and a debit bull call spread.
The strike differential is equidistant in that the short put and short call of the strangle are equidistant to the straddle and all options have the same expiration.
Max profit is incurred If the underlying is trading outside of the lower put and upside call (wings). Max loss is observed if the underlying ‘pins’ the straddle (body) at expiration.
About Short Iron Butterfly
The Short Iron Butterfly strategy is a 4-legged option spread that combines a short straddle and a long strangle.
The Short Iron fly could also be viewed as a combination of a credit bull put spread and a short bear call spread.
The strike differential is equidistant in that the long put and long call of the strangle are identically spaced from the straddle and all options have the same expiration.
Max profit is observed if the underlying ‘pins’ the straddle (body) at expiration. Max loss is incurred If the underlying is trading outside of the lower put and upside call (wings).
Options information is delayed a minimum of 15 minutes, and is updated at least once every 15-minutes through-out the day. The screener displays probability calculations based on the delayed stock price at the time the strategy is updated. The new day's options data will start populating the screener at approximately 8:55a CT.
Fields displayed on the Butterfly strategies include:
- Price~ - the delayed stock price at the time the strategy is updated for the underlying equity.
- Expiration Date - the option expiration date.
- Leg 1 Strike - the price at which the underlying security can be bought if the option is exercised.
- Leg 1 Bid or Ask - bid or ask price of the Leg 1 option
- Leg 2 Strike - the price at which the underlying security can be bought if the option is exercised.
- Leg 2 Bid or Ask - bid or ask price of the Leg 2 option
- Leg 3 Strike - the price at which the underlying security can be bought if the option is exercised.
- Leg 3 Bid or Ask - bid or ask price of the Leg 3 option
- +BE - the upper limit necessary for the strategy to break even (Leg1 Strike plus Net credit/debit)
- -BE - the lower limit necessary for the strategy to break even (Leg2 Strike minus Net credit/debit)
- Max Profit - Max profit is the credit received
- Max Loss - Max loss equals the difference between strikes minus the credit received. Max loss takes place if the options expire at the center strike.
- Payout% - (for Long Call, Long Put, and Long Iron Butterfly) the payout ratio = (spread differential - net debit) / net debit
- Break Even Probability - the probability the last price will be at or beyond the break even point at expiration.
Probability Calculation
We take the underlying stock price, the break even point (target price), the days to expiration, and the 52-week historical volatility, and then use those figures in this formula. Depending on the strategy, we use the above or below probability (i.e., the probability the price crosses the break even point).
Pabove = N(d)
Pbelow = 1 - N(d)
where
N(d)= x if d > 0
= (1-x) if d < 0
and
d = 1n(b/l) / v√t,
y = 1/(1 + 0.2316419|d|),
z = 0.3989423e - (d*d)/2,
x = 1 - z(1.330274y⁵ - 1.821256y⁴ + 1.781478y³ - 0.356538y² + 0.3193815y)
and
b = break even point
l = last price
v = 52-week historical volatility
t = days to expiration
e = 2.71828 Data Updates
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