Inverse broken-wing call fly
Big moveLimited profitLimited loss
Reversed broken-wing call fly: profits when the pin fails upward.
Payoff at expiry — live BTC example
Net credit
$439.78
Max profit
$1,640
Max loss
$560.22
Breakevens
65,240 / 66,360
Example legs (0.7 DTE front)
- Sell 64,800 call
- Buy 2× 65,800 call
- Sell 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
Flip the broken-wing signs: pay to own the widened upper zone.
When to use it
You expect an upside break through a pinned level.
Risks & management
Loses the debit if the pin holds.
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.