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
$326.29
Max profit
$526.29
Max loss
$873.71
Breakevens
76,526 / 78,274
Example legs (0.8 DTE front)
- Sell 76,200 call
- Buy 2× 77,400 call
- Sell 78,800 call
Entry greeks (per 1 BTC notional): Δ 0.010 · Γ 0.0923 per 1% · vega $6.64/pt · theta $-148.70/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.