Iron butterfly
Neutral / rangeLimited profitLimited loss
Short straddle with bought wings: big credit, defined risk.
Payoff at expiry — live BTC example
Net credit
$572.12
Max profit
$572.12
Max loss
$1,028
Breakevens
65,228 / 66,372
Example legs (0.7 DTE front)
- Sell 65,800 call
- Sell 65,800 put
- Buy 67,400 call
- Buy 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
Short ATM straddle plus long OTM wings: the credit is large, and the wings cap the loss at width minus credit.
When to use it
Straddle-level premium capture with a hard floor — rich IV and a strong pin/mean-reversion view.
Risks & management
Breakevens are tight; most expiries will touch them. Managing at a profit fraction beats holding for the full credit.
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.