Short put butterfly
Big moveLimited profitLimited loss
Put-built short butterfly: profits when price leaves the body.
Payoff at expiry — live BTC example
Net credit
$663.59
Max profit
$663.59
Max loss
$536.41
Breakevens
65,264 / 66,336
Example legs (0.7 DTE front)
- Sell 67,000 put
- Buy 2× 65,800 put
- Sell 64,800 put
Entry greeks (per 1 BTC notional): Δ 0.113 · Γ 0.4482 per 1% · vega $14.05/pt · theta $-244.32/day
How it works
Same escape-the-middle payoff as the short call butterfly, built from puts.
When to use it
Same anti-pin thesis.
Risks & management
Same tight economics; execution costs can eat the edge.
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.