Long call butterfly
Neutral / rangeLimited profitLimited loss
Buy wings, sell the body: cheap bet on price pinning the middle.
Payoff at expiry — live BTC example
Net debit
$463.1
Max profit
$536.9
Max loss
$663.1
Breakevens
65,263 / 66,337
Example legs (0.7 DTE front)
- Buy 64,800 call
- Sell 2× 65,800 call
- Buy 67,000 call
Entry greeks (per 1 BTC notional): Δ -0.111 · Γ -0.4242 per 1% · vega $-13.29/pt · theta $229.62/day
How it works
Long one lower call, short two middle, long one upper: max profit if price expires exactly at the middle strike; risk limited to the small debit.
When to use it
You expect price to pin a level (max-OI strike into expiry is the classic setup) and want a high payoff-to-cost ratio.
Risks & management
The profit peak is narrow and only appears near expiry; most of the time the position is worth little. Low probability, high ratio.
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.