Long Put Butterfly
Description
The put-only equivalent of the long call butterfly: buying one put below, selling two puts at, and buying one put above a target strike.
Setup
- Buy one put at a lower strike.
- Sell two puts at a middle strike.
- Buy one put at a higher strike, evenly spaced from the middle.
Context
Used when the underlying is expected to sit near a specific level through expiry; economically equivalent to the call version, built with puts instead.
Risk Profile
Maximum loss is the small net debit paid, at either extreme. Maximum gain is the width between adjacent strikes minus that debit, at the middle strike.
Pros
- Very low cost relative to the potential payout.
- Small, defined maximum loss.
- High reward-to-risk ratio if the pin plays out.
Cons
- Needs the underlying to land in a fairly narrow zone.
- Gains evaporate quickly if the underlying drifts away from the middle strike.
Effect of Time
Time decay generally helps as expiry nears, so long as the underlying stays close to the middle strike.
Effect of Volatility
A rise in implied volatility tends to hurt the position, since it makes a big move away from the middle strike more likely.
Look-Alike Strategies
Live Structure
| Position? | Right? | Ratio | Strike | Expiry | IV? | Premium? | Fill Price? | Liquidity? | Est. Fee? |
|---|---|---|---|---|---|---|---|---|---|
| Long | Put | 1 | $74000.0000 | 20 Nov 2026 | 39.2% | $1499.6690 | $1537.1607 | 16.2000 | $22.4950 |
| Short | Put | 2 | $75000.0000 | 20 Nov 2026 | 38.5% | $1949.5697 | $1912.0780 | 48.5000 | $44.9901 |
| Long | Put | 1 | $76000.0000 | 20 Nov 2026 | 38.2% | $2474.4129 | $2511.9040 | 2.1000 | $22.4947 |
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? | $74856.4100 | $74949.6807 | $74863.0000 |
| Mid-Price Cost | $74.9425 | $92.5000 | $93.7437 |
| Slippage? | +$149.9663 | +$22.5000 | +$131.2412 |
| Estimated Fees? | +$89.9798 | +$90.2215 | +$89.9940 |
| Total Estimated Cost | $314.8886 | $205.2215$109.6700 better than this page | $314.9789$0.0900 worse than this page |
| Max Profit? | $685.1114 | $794.7785 | $685.0211 |
| Max Loss? | -$314.8886 | -$205.2215 | -$314.9789 |
| Breakeven(s)? | $74314.8886, $75685.1114 | $74205.2215, $75794.7785 | $74314.9789, $75685.0211 |
| Structure IV? | 38.6% | 38.5% | 38.4% |
| 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 | $0.0000 | -$314.8886 | -100.0% |
| $74000.0000 | $0.0000 | -$314.8886 | -100.0% |
| $74314.8886 breakeven | $314.8886 | $0.0000 | +0.0% |
| $74983.4500 current | $983.4500 | $668.5614 | +212.3% |
| $75685.1114 breakeven | $314.8886 | $0.0000 | +0.0% |
| $76000.0000 | $0.0000 | -$314.8886 | -100.0% |
| $78000.0000 | $0.0000 | -$314.8886 | -100.0% |
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
| Strategy | Market | vs. this one | Credit/Debit | Max Profit? | Max Loss? | Prob. of Profit? | Max Profit / Max Loss? |
|---|---|---|---|---|---|---|---|
| Short Iron Butterfly74000/75000/76000 | Bybit · BTC | $114.6559 | -$799.7673 | $799.7673 | -$200.2327 | 13% | 3.99× |
| Long Call Butterfly74000/75000/76000 | Bybit · BTC | $104.6559 | $210.2327 | $789.7673 | -$210.2327 | 13% | 3.76× |
| Long Call Butterfly74000/75000/76000 | OKX · BTC | $37.3980 | $277.4906 | $722.5094 | -$277.4906 | 12% | 2.60× |
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? |
|---|---|---|---|---|---|---|---|
| Long Put Butterfly68000/72000/76000 | Deribit · BTC | — | $1184.8827 | $2815.1173 | -$1184.8827 | 38% | 2.38× |
| Long Put Butterfly69000/73000/77000 | Deribit · BTC | — | $1439.8780 | $2560.1220 | -$1439.8780 | 38% | 1.78× |
| Long Put Butterfly70000/74000/78000 | Deribit · BTC | — | $1627.3876 | $2372.6124 | -$1627.3876 | 37% | 1.46× |