Broken-wing call butterfly
Neutral / rangeLimited profitLimited loss
Butterfly with a skipped upper wing: shifts risk to one side for a credit.
Payoff at expiry — live BTC example
Net debit
$283.53
Max profit
$716.47
Max loss
$883.53
Breakevens
72,884 / 74,316
Example legs (0.5 DTE front)
- Buy 72,600 call
- Sell 2× 73,600 call
- Buy 75,200 call
Entry greeks (per 1 BTC notional): Δ -0.117 · Γ -0.2218 per 1% · vega $-8.12/pt · theta $334.76/day
How it works
A call butterfly whose upper wing is placed further out: entered near credit, no downside risk, defined but larger risk above.
When to use it
Pin thesis where being wrong downward should cost nothing.
Risks & management
All the risk concentrates above the skipped wing; a rally through it hits the full widened width.
Related structures
Example built from live Delta Exchange BTC marks on the nearest constructible expiry; numbers refresh with the chain. Educational content, not investment advice.