Long put butterfly
Neutral / rangeLimited profitLimited loss
Put-built butterfly: same pin-the-middle profile as the call version.
Payoff at expiry — live BTC example
Net debit
$283.03
Max profit
$716.97
Max loss
$483.03
Breakevens
74,283 / 75,717
Example legs (0.4 DTE front)
- Buy 76,000 put
- Sell 2× 75,000 put
- Buy 73,800 put
Entry greeks (per 1 BTC notional): Δ 0.063 · Γ -0.1207 per 1% · vega $-4.61/pt · theta $255.16/day
How it works
Identical payoff to the call butterfly, constructed from puts; choose whichever side quotes tighter.
When to use it
Same pin thesis; put quotes sometimes give a cheaper fill.
Risks & management
Same narrow peak; live chains with uneven strike spacing skew the wings (visible in the example).
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.