Inverse iron butterfly
Big moveLimited profitLimited loss
Buy the straddle, sell the wings: defined-cost bet on movement.
Payoff at expiry — live BTC example
Net debit
$572.12
Max profit
$1,028
Max loss
$572.12
Breakevens
65,228 / 66,372
Example legs (0.7 DTE front)
- Buy 65,800 call
- Buy 65,800 put
- Sell 67,400 call
- Sell 64,400 put
Entry greeks (per 1 BTC notional): Δ 0.102 · Γ 0.5558 per 1% · vega $17.57/pt · theta $-307.02/day
How it works
Long ATM straddle financed by short wings: cheaper than a naked straddle, profit capped at the wings.
When to use it
You expect a move at least to the wings but want to cut the straddle cost.
Risks & management
The cap means a monster move pays no more than a good one; the debit still bleeds if nothing happens.
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.