Short call butterfly
Big moveLimited profitLimited loss
Sell the wings, buy the body: small credit if price escapes the middle.
Payoff at expiry — live BTC example
Net credit
$463.1
Max profit
$663.1
Max loss
$536.9
Breakevens
65,263 / 66,337
Example legs (0.7 DTE front)
- Sell 64,800 call
- Buy 2× 65,800 call
- Sell 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
The inverse butterfly: collect a small credit that is kept if price finishes away from the middle strike.
When to use it
You expect a pin to FAIL — e.g. fading an expected expiry pin.
Risks & management
Risk exceeds the credit if price lands on the body. Small numbers on both sides; fees matter.
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.