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
$789.11
Max profit
$1,011
Max loss
$789.11
Breakevens
76,811 / 78,389
Example legs (0.6 DTE front)
- Buy 77,600 call
- Buy 77,600 put
- Sell 79,200 call
- Sell 75,800 put
Entry greeks (per 1 BTC notional): Δ -0.123 · Γ 0.3277 per 1% · vega $14.22/pt · theta $-334.06/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.