Diagonal Butterfly
Description
A short iron butterfly whose protective wings sit in a later expiry than the body, trading a wider near-term profit zone for extra complexity.
Setup
- Sell a near-term at-the-money call and put.
- Buy a longer-dated, out-of-the-money call above and put below for protection.
Context
Used like a short iron butterfly -- betting the underlying pins near the current level through the near-term expiry -- with later-dated wings that cost more, so the credit is smaller than a same-expiry iron butterfly's (or turns into a debit), but that decay slower and keep value after the near-term expiry, changing the trade's risk profile over time.
Risk Profile
Maximum gain comes at the middle strike at the near-term expiry: the net premium collected at entry (negative if it opened for a debit) plus whatever the longer-dated wings are still worth then. Maximum loss is bounded by the longer-dated wings, though it depends on their remaining value rather than a fixed number.
Pros
- The longer-dated wings still hold value at the near-term expiry, cushioning a large move better than a same-expiry iron butterfly's wings.
- Defined risk thanks to the longer-dated wings.
- Profits from near-term time decay.
Cons
- Risk at the near-term expiry is less precisely defined than a same-expiry iron butterfly.
- Four legs across two expiries requires closer management.
Effect of Time
Time decay favors the position as the near-term expiry approaches, so long as the underlying stays close to the middle strike.
Effect of Volatility
A drop in near-term implied volatility relative to the back month benefits the position.
Look-Alike Strategies
Live Structure
| Position? | Right? | Ratio | Strike | Expiry | IV? | Premium? | Fill Price? | Liquidity? | Est. Fee? |
|---|---|---|---|---|---|---|---|---|---|
| Long | Put | 1 | $74000.0000 | 27 Nov 2026 | 38.2% | $1971.1280 | $1989.9006 | 2.1000 | $22.5272 |
| Short | Put | 1 | $75000.0000 | 20 Nov 2026 | 38.5% | $1949.5692 | $1912.0775 | 48.5000 | $22.4950 |
| Short | Call | 1 | $75000.0000 | 20 Nov 2026 | 38.5% | $1949.5692 | $1912.0775 | 24.7000 | $22.4950 |
| Long | Call | 1 | $76000.0000 | 27 Nov 2026 | 37.5% | $2046.2186 | $2064.9912 | 40.0000 | $22.5272 |
Max Profit/Max Loss aren't shown for calendar and diagonal strategies: their near and far legs settle at different expiries, which this scanner's payoff model doesn't account for.
Net cost, breakevens, the payoff chart and the scenario table are after costs: every leg filled by crossing the spread, estimated fees included -- the same numbers the Scanner ranks by.
Estimated Cost to Assemble
An estimate of what entering this structure right now would really cost: filling every leg by crossing the spread (the ask when buying, the bid when selling) instead of at the mid-price, plus an estimated exchange fee. Real fees and fills can differ from this estimate.
Compare venues
These exact contracts -- same strikes, expiries and ratios -- on every venue BOSS tracks for this currency, at execution: what selling (bid) or buying (ask) each leg there comes to, after that venue's own fee. Green marks the best venue for each leg and for the whole structure.
| Deribit this page | Bybit | OKX | |
|---|---|---|---|
| Index? | $74857.6500 | $74952.0677 | $74864.1000 |
| Mid-Price Cost | $118.2082 | $120.0000 | $97.6925 |
| Slippage? | +$112.5287 | +$15.0000 | +$93.7836 |
| Estimated Fees? | +$90.0444 | +$90.2634 | +$90.0412 |
| Total Estimated Cost | $320.7813 | $225.2634$95.5200 better than this page | $281.5172$39.2600 better than this page |
| Max Profit? | — | — | — |
| Max Loss? | — | — | — |
| Breakeven(s)? | — | — | — |
| Structure IV? | 38.2% | 38.6% | 38.0% |
| Open on this venue → | Open on this venue → |
Each leg: what it nets there per contract (fill price with the fee folded in), then the fill price, fee, IV and the size quoted at that price.
For comparing prices, not a recommendation: quotes move by the second, size is only what's shown at the top of the book, fees are each venue's published estimate, and the venues settle against different indexes and margin separately.
Market Context
This expiry as the Dashboard sees it: how the legs are priced against at-the-money and realized volatility, and where the expiry's forward sits against spot.
Volatility Smile?
Implied volatility across strikes at this expiry; the marked lines are this structure's strikes. Buying on the high part of the curve pays up for volatility; selling there collects it.
Leg bought Leg sold
Payoff & Greeks vs. Underlying Price
The Greeks curves are a Black-Scholes model using each leg's current implied volatility, holding time to expiry fixed -- not live exchange data at every price, which only exists at the current price (dashed line).
Payoff at Expiration
After costs At mid price
This structure's value and profit/loss at expiration, at a handful of specific prices: every leg's strike, every breakeven, the current spot, and the chart's own range.
| Underlying Price | Value at Expiration | Profit / Loss | Return on Cost |
|---|---|---|---|
| $72000.0000 | -$1000.0000 | -$1320.7813 | -411.7% |
| $74000.0000 | -$1000.0000 | -$1320.7813 | -411.7% |
| $74984.4300 current | -$15.5700 | -$336.3513 | -104.9% |
| $76000.0000 | -$1000.0000 | -$1320.7813 | -411.7% |
| $78000.0000 | -$1000.0000 | -$1320.7813 | -411.7% |
Delta (model)?
Gamma (model)?
Vega (model)?
Theta (model)?
Rho (model)?
Alternatives
From the Scanner's latest pass (21:35:48 UTC), priced at execution like everything above.
Same payoff through other strategies
None found in the latest scan.
Other strikes and widths of this strategy
| Strategy | Market | vs. this one | Credit/Debit | Max Profit? | Max Loss? | Prob. of Profit? | Max Profit / Max Loss? |
|---|---|---|---|---|---|---|---|
| Diagonal Butterfly71000/72000/73000 | Deribit · BTC | — | $246.8445 | — | — | — | — |
| Diagonal Butterfly70000/72000/74000 | Deribit · BTC | — | -$579.2606 | — | — | — | — |
| Diagonal Butterfly69000/72000/75000 | Deribit · BTC | — | -$1330.2524 | — | — | — | — |