Broken-wing put butterfly
Neutral / rangeLimited profitLimited loss
Butterfly with a skipped lower wing: one-sided risk, often entered for credit.
Payoff at expiry — live BTC example
Net debit
$511.71
Max profit
$688.29
Max loss
$1,712
Breakevens
77,312 / 78,688
Example legs (0.1 DTE front)
- Buy 79,200 put
- Sell 2× 78,000 put
- Buy 75,600 put
Entry greeks (per 1 BTC notional): Δ 0.111 · Γ -0.5339 per 1% · vega $-7.94/pt · theta $2857.38/day
How it works
Put butterfly with the lower wing skipped further down: no upside risk, larger defined risk below.
When to use it
Pin thesis with crash risk accepted and priced.
Risks & management
The widened lower wing is exactly where crypto gaps; know the width you sold.
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.