Short Iron Butterfly
Description
Selling an at-the-money call and put and buying an out-of-the-money call and put for protection, collecting a net credit that pays out most if the underlying pins at the middle strike.
Setup
- Sell one at-the-money call and one at-the-money put.
- Buy one out-of-the-money call above and one out-of-the-money put below, same expiry.
Context
The defined-risk cousin of a short straddle: same bet that the underlying stays near the current level, with the wings capping the worst case.
Risk Profile
Maximum gain is the net credit received, at the middle strike. Maximum loss is the width of either wing minus that credit.
Pros
- Collects a credit up front.
- Defined, capped risk unlike a short straddle.
- Profits from time decay while the underlying stays near the middle strike.
Cons
- Maximum gain is capped even in the best case.
- Four legs means more trading fees and more to manage.
Effect of Time
Time decay favors the position as expiry nears, so long as the underlying stays close to the middle strike.
Effect of Volatility
A drop in implied volatility helps the position; a rise hurts it, since it raises the odds of a move to the wings.
Compared with
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% | $1500.1106 | $1537.6134 | 66.6000 | $22.5017 |
| Short | Put | 1 | $75000.0000 | 20 Nov 2026 | 38.5% | $1950.1438 | $1912.6410 | 29.3000 | $22.5017 |
| Short | Call | 1 | $75000.0000 | 20 Nov 2026 | 38.5% | $1950.1438 | $1912.6410 | 81.5000 | $22.5017 |
| Long | Call | 1 | $76000.0000 | 20 Nov 2026 | 38.2% | $1500.1106 | $1537.6134 | 126.7000 | $22.5017 |
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? | $74881.8200 | $74973.4047 | $74882.9000 |
| Mid-Price Cost | -$900.0664 | -$905.0000 | -$862.6537 |
| Slippage? | +$150.0111 | +$10.0000 | +$75.0134 |
| Estimated Fees? | +$90.0066 | +$90.1702 | +$90.0160 |
| Total Estimated Cost | -$660.0487 | -$804.8298$144.7800 better than this page | -$697.6243$37.5800 better than this page |
| Max Profit? | $660.0487 | $804.8298 | $697.6243 |
| Max Loss? | -$339.9513 | -$195.1702 | -$302.3757 |
| Breakeven(s)? | $74339.9513, $75660.0487 | $74195.1702, $75804.8298 | $74302.3757, $75697.6243 |
| Structure IV? | 38.6% | 38.6% | 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 | -$1000.0000 | -$339.9513 | -51.5% |
| $74000.0000 | -$1000.0000 | -$339.9513 | -51.5% |
| $74339.9513 breakeven | -$660.0487 | $0.0000 | +0.0% |
| $75000.0000 current | $0.0000 | $660.0487 | +100.0% |
| $75660.0487 breakeven | -$660.0487 | $0.0000 | +0.0% |
| $76000.0000 | -$1000.0000 | -$339.9513 | -51.5% |
| $78000.0000 | -$1000.0000 | -$339.9513 | -51.5% |
Delta (model)?
Gamma (model)?
Vega (model)?
Theta (model)?
Rho (model)?
Alternatives
From the Scanner's latest pass (21:31:48 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? |
|---|---|---|---|---|---|---|---|
| Long Put Butterfly74000/75000/76000 | Bybit · BTC | $139.7965 | $200.1548 | $799.8452 | -$200.1548 | 13% | 4.00× |
| Long Call Butterfly74000/75000/76000 | Bybit · BTC | $134.7965 | $205.1548 | $794.8452 | -$205.1548 | 13% | 3.87× |
| Long Put Butterfly74000/75000/76000 | OKX · BTC | $62.4137 | $277.5376 | $722.4624 | -$277.5376 | 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? |
|---|---|---|---|---|---|---|---|
| Short Iron Butterfly70000/74000/78000 | Deribit · BTC | — | -$2497.5155 | $2497.5155 | -$1502.4845 | 39% | 1.66× |
| Short Iron Butterfly69000/73000/77000 | Deribit · BTC | — | -$2610.0263 | $2610.0263 | -$1389.9737 | 39% | 1.88× |
| Short Iron Butterfly71000/75000/79000 | Deribit · BTC | — | -$2422.5171 | $2422.5171 | -$1577.4829 | 38% | 1.54× |