Iron butterfly
Neutral / rangeLimited profitLimited loss
Short straddle with bought wings: big credit, defined risk.
Payoff at expiry — live BTC example
Net credit
$775.45
Max profit
$775.45
Max loss
$824.55
Breakevens
71,825 / 73,375
Example legs (0.5 DTE front)
- Sell 72,600 call
- Sell 72,600 put
- Buy 74,200 call
- Buy 71,200 put
Entry greeks (per 1 BTC notional): Δ -0.057 · Γ -0.2628 per 1% · vega $-10.69/pt · theta $362.91/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.