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
$636.73
Max profit
$563.27
Max loss
$1,437
Breakevens
65,237 / 66,363
Example legs (0.7 DTE front)
- Buy 67,000 put
- Sell 2× 65,800 put
- Buy 63,800 put
Entry greeks (per 1 BTC notional): Δ -0.043 · Γ -0.5480 per 1% · vega $-17.38/pt · theta $304.55/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.