Max profit
$404.45
Broken wing butterfly calculator
A butterfly with a wider lower wing, often opened for a credit, with no risk if the price rises. Enter your strikes and price to see the maximum profit, maximum loss, breakevens, profit chance and expected value.
Leave the price empty to estimate it from implied volatility. Results are per contract (100 shares), held to expiration.
Estimated debit: $95.55 per contract (from implied volatility; type your real price above)
Max loss
−$595.55
Breakevens
$91.96 / $100.04
Profit chance ?
38.8%
Expected value ?
+$31.19
Reward to risk
0.68 to 1
Get the full verdict on this trade
Free, no account. The app adds volatility skew, exit plans, position sizing and a plain-English verdict.
How to use the put broken-wing butterfly calculator
- Enter the stock's price, the days left until expiration and the implied volatility from your option chain.
- Enter each strike. Then type the price and pick credit or debit per share, or leave it empty for an estimate.
- Add the stock's realized volatility to see expected value: what the trade makes on average if the stock keeps moving the way it has been.
Worked example
Say a stock trades at $100, options price in 25% implied volatility, and the stock has really been moving about 20% a year (its realized volatility). With 30 days to expiration, a put broken-wing butterfly at strikes 86 / 96 / 101 costs about $0.96 per share, or $95.55 per contract.
- Max profit: $404.45
- Max loss: $595.55
- Breakevens: $91.96 and $100.04
- Profit chance, market-implied: 38.8%
- Expected value with 20% realized volatility: +$31.19 per contract
The expected value is positive here only because the stock is assumed to move less than options price in (20% vs 25%). If it moves more, the same trade can have negative expected value. That gap between implied and realized volatility is what the full app checks first.
What is a put broken-wing butterfly?
A put broken-wing butterfly buys one put just above the short strike, sells two puts, and buys one put further below. The lower wing is wider than the upper one.
How it makes or loses money
Because the lower wing is wider, it's often opened for a credit, so you keep money even if the price rallies away. The most profit is at the short strike; the risk sits below, if the price drops through the wide wing.
When traders use it
Popular with same-day SPX traders who expect the price to drift sideways or up, and want a tent of profit just below the price.
Profit and loss at expiration
- Max profit: upper wing width plus the credit (or minus the debit), at the short strike
- Max loss: lower wing minus upper wing, minus the credit
- Above the top strike: you keep the credit
The Greeks
| Greek | Sign |
|---|---|
| Delta | + small |
| Theta | + |
| Vega | − |
| Gamma | − |
What to watch out for
- The loss below is bigger than it looks because the lower wing is wide.
- A fast drop through the short strike moves the trade toward its max loss quickly near expiration.
Questions
What is the max profit on a put broken-wing butterfly?
Upper wing width plus the credit (or minus the debit), at the short strike. In the example above that's $404.45 per contract.
What is the max loss on a put broken-wing butterfly?
Lower wing minus upper wing, minus the credit. In the example above that's $595.55 per contract.
How do you calculate the breakeven of a put broken-wing butterfly?
Above the top strike: you keep the credit. The calculator works it out from your strikes and price.
What does "profit chance" mean here?
It's the market-implied chance that the trade finishes with any profit at expiration, if the stock moves as much as implied volatility prices in. It assumes you hold to expiration and uses one volatility for every strike. A high profit chance doesn't mean a good trade: small, frequent wins can still lose money overall if the losses are large.
What's the difference between implied and realized volatility?
Implied volatility is how much movement option prices assume. Realized volatility is how much the stock has actually been moving. Option sellers tend to come out ahead on average when realized stays below implied, and buyers when it runs above. Expected value in this calculator uses the realized volatility you enter.
Is a put broken-wing butterfly a good trade?
This calculator can't tell you that, and neither can anyone who doesn't know your account, goals and risk tolerance. It shows the math for the numbers you enter. Whether those numbers hold up depends on the price you actually get, how the stock moves and how you manage the trade.