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
$439.78
Max profit
$560.22
Max loss
$1,640
Breakevens
65,240 / 66,360
Example legs (0.7 DTE front)
- Buy 64,800 call
- Sell 2× 65,800 call
- Buy 68,000 call
Entry greeks (per 1 BTC notional): Δ -0.175 · Γ -0.5188 per 1% · vega $-16.29/pt · theta $279.68/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.