Strategy anatomy: legs, width and wings
A strategy is a set of legs, each one a call, put or underlying position bought or sold in a given ratio at a strike and expiry; its shape is described by the width between strikes, its body and wings, and for calendars a near and a far expiry.
Legs and ratios
Each leg is one position: long or short, call, put or the underlying, at one strike and expiry. The ratio is how many units of that leg go into one unit of the strategy. Most strategies are 1:1, but not all: a butterfly sells two of its middle strike against one of each outer strike, and a call ratio spread buys one call and sells two or more further out. A ratio that leaves more short options than long ones creates a naked exposure.
Body, wings and width
The body is the set of strikes where the strategy does its main job, usually its short options; the wings are the protective options further out that cap the risk. Width is the distance between strikes, and it sets how much the structure can make or lose: a vertical spread can never be worth more than its width.
In BOSS, every leg's strike is defined as a number of listed strikes away from an anchor strike (ATM by default, or the one you pick). Three selectors on the strategy page reshape it without changing what it is:
- Width scales how many listed strikes the adjustable legs sit from the anchor: at width 2, a leg one step out moves two steps out.
- Wing width (condors and double diagonals) sets how many further steps the wings sit beyond the body, independently of width.
- Ratio (only the ratio spreads and backspreads) sets the 1×2, 1×3 or 1×4.
Calendars and diagonals add a far expiry selector: their legs sit in two expiries, a near one that is usually sold and a far one that is usually bought, as in a long call calendar spread.
A worked example: the short iron condor
A short iron condor has four legs: a long put, a short put, a short call and a long call, all in one expiry. The short put and short call are the body; the long options are the wings. Take a 30-day forward of $100,000, a strike listed every $5,000 and 50% implied volatility, at mid prices:
| Shape | Strikes | Net credit | Max loss | Breakevens |
|---|---|---|---|---|
| Width 1, wing 1 | 90 / 95 / 105 / 110k | $3,000 | $2,000 | $92,000 and $108,000 |
| Width 2, wing 1 | 85 / 90 / 110 / 115k | $1,920 | $3,080 | $88,080 and $111,920 |
| Width 1, wing 2 | 85 / 95 / 105 / 115k | $4,930 | $5,070 | $90,070 and $109,930 |
The first row from its legs: the $95,000 put at $3,420 minus the $90,000 put at $1,830 is $1,590; the $105,000 call at $3,690 minus the $110,000 call at $2,280 is $1,410. Credit: $3,000. Each side is $5,000 wide, and only one side can lose at expiry, so the max loss is $5,000 − $3,000 = $2,000, and the breakevens are the short strikes moved out by the credit.
Widening the body (row 2) moves the short strikes away from the money: a wider profit zone, less credit, a larger max loss. Widening the wings (row 3) keeps the profit zone but pushes the protection out: more credit, but a much larger loss if the price breaks out, with a reward-to-risk below 1. None of these is better in general; they are different bets on how far the price will travel.
Live on BOSS
A live Short Iron Condor on the selected venue. Change Width or Wing width and watch the four legs' strikes, the credit, the max loss and the breakevens move together.
| Position? | Right? | Ratio | Strike | Expiry | IV? | Premium? | Fill Price? | Liquidity? | Est. Fee? |
|---|---|---|---|---|---|---|---|---|---|
| Long | Put | 1 | $84000.0000 | 09 Oct 2026 | 33.8% | $626.6339 | $648.2419 | 1.0000 | $25.9297 |
| Short | Put | 1 | $85000.0000 | 09 Oct 2026 | 33.3% | $950.7549 | $907.5387 | 65.7000 | $25.9297 |
| Short | Call | 1 | $87000.0000 | 09 Oct 2026 | 33.2% | $1339.7000 | $1296.4839 | 67.2000 | $25.9297 |
| Long | Call | 1 | $88000.0000 | 09 Oct 2026 | 33.4% | $972.3629 | $993.9710 | 36.9000 | $25.9297 |
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 | |
|---|---|---|---|
| Long Put $84000.0000 · 09 Oct 2026 | $674.1716$648.2419 + fee $25.9297 · IV 33.8% · 1.0000 | $695.9565$670.0000 + fee $25.9565 · IV 34.5% · 15.1000 | $717.2820$691.3562 + fee $25.9259 · IV 33.3% · 80.1600 |
| Short Put $85000.0000 · 09 Oct 2026 | $881.6091$907.5387 − fee $25.9297 · IV 33.3% · 65.7000 | $934.0435$960.0000 − fee $25.9565 · IV 33.8% · 17.7500 | $924.6889$950.6148 − fee $25.9259 · IV 32.8% · 19.6800 |
| Short Call $87000.0000 · 09 Oct 2026 | $1270.5542$1296.4839 − fee $25.9297 · IV 33.2% · 67.2000 | $1314.0435$1340.0000 − fee $25.9565 · IV 32.7% · 4.3900 | $1270.3670$1296.2929 − fee $25.9259 · IV 32.9% · 44.3500 |
| Long Call $88000.0000 · 09 Oct 2026 | $1019.9007$993.9710 + fee $25.9297 · IV 33.4% · 36.9000 | $1005.9565$980.0000 + fee $25.9565 · IV 33.2% · 21.2200 | $976.5406$950.6148 + fee $25.9259 · IV 33.3% · 5.5300 |
| Index? | $86359.9600 | $86396.6442 | $86370.7000 |
| Mid-Price Cost | -$691.4581 | -$667.5000 | -$691.3562 |
| Slippage? | +$129.6484 | +$17.5000 | +$86.4195 |
| Estimated Fees? | +$103.7187 | +$103.8262 | +$103.7034 |
| Total Estimated Cost | -$458.0910 | -$546.1738$88.0800 better than this page | -$501.2332$43.1400 better than this page |
| Max Profit? | $458.0910 | $546.1738 | $501.2332 |
| Max Loss? | -$541.9090 | -$453.8262 | -$498.7668 |
| Breakeven(s)? | $84541.9090, $87458.0910 | $84453.8262, $87546.1738 | $84498.7668, $87501.2332 |
| Structure IV? | 33.4% | 33.5% | 33.1% |
| 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.
Cross-venue differences
- Long Put $84000.0000 · 09 Oct 2026: Deribit $674.1716
- Short Put $85000.0000 · 09 Oct 2026: Bybit $934.0435
- Short Call $87000.0000 · 09 Oct 2026: Bybit $1314.0435
- Long Call $88000.0000 · 09 Oct 2026: OKX $976.5406
| Contract | Best sale | Best purchase elsewhere | Difference | Size | IV spread (points) |
|---|---|---|---|---|---|
| Put $84000.0000 · 09 Oct 2026 | $639.0435 Bybit | $674.1716 Deribit | -$35.1282 | 1.0000 | 1.2 Bybit 34.5% / OKX 33.3% |
| Put $85000.0000 · 09 Oct 2026 | $924.6889 OKX | $995.9565 Bybit | -$71.2676 | 7.0000 | 0.9 Bybit 33.8% / OKX 32.8% |
| Call $87000.0000 · 09 Oct 2026 | $1314.0435 Bybit | $1365.4285 OKX | -$51.3850 | 4.3900 | 0.4 Deribit 33.2% / Bybit 32.7% |
| Call $88000.0000 · 09 Oct 2026 | $944.0435 Bybit | $976.5406 OKX | -$32.4972 | 3.7800 | 0.2 Deribit 33.4% / Bybit 33.2% |
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 |
|---|---|---|---|
| $80000.0000 | -$1000.0000 | -$541.9090 | -118.3% |
| $84000.0000 | -$1000.0000 | -$541.9090 | -118.3% |
| $84541.9090 breakeven | -$458.0910 | $0.0000 | +0.0% |
| $85000.0000 | $0.0000 | $458.0910 | +100.0% |
| $86432.2600 current | $0.0000 | $458.0910 | +100.0% |
| $87000.0000 | $0.0000 | $458.0910 | +100.0% |
| $87458.0910 breakeven | -$458.0910 | $0.0000 | +0.0% |
| $88000.0000 | -$1000.0000 | -$541.9090 | -118.3% |
| $92000.0000 | -$1000.0000 | -$541.9090 | -118.3% |
Delta (model)?
Gamma (model)?
Vega (model)?
Theta (model)?
Rho (model)?
Common mistakes
- Widening a credit spread's wings to collect more premium without noticing the max loss grew faster.
- Reading width as a dollar amount fixed across expiries. In BOSS it is a number of listed strikes, and strike spacing differs by expiry and venue.
- Treating a butterfly's 2× body as a ratio trade. Its ratio is part of its definition; only ratio spreads and ladders leave short options uncovered.
- Building a calendar with both legs in the same expiry. Its whole point is the gap between the near and the far expiry.
Where this shows up on BOSS
Educational content, not investment advice. See the disclaimer.