Max profit
$366.23
Iron butterfly calculator
Collects a larger credit by betting the price pins near today's level. 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 credit: $366.23 per contract (from implied volatility; type your real price above)
Max loss
−$133.77
Breakevens
$96.34 / $103.66
Profit chance ?
39.1%
Expected value ?
+$29.96
Reward to risk
2.74 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 iron 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 credit you'd receive 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, an iron butterfly at strikes 95 / 100 / 100 / 105 collects about $3.66 per share, or $366.23 per contract.
- Max profit: $366.23
- Max loss: $133.77
- Breakevens: $96.34 and $103.66
- Profit chance, market-implied: 39.1%
- Expected value with 20% realized volatility: +$29.96 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 an iron butterfly?
An iron butterfly sells a put and a call at the same strike, near the current price, and buys protective wings on each side.
How it makes or loses money
It earns the most if the price finishes exactly at the middle strike. It collects more than an iron condor but has a narrower profit zone.
When traders use it
Traders often use it when they expect very little movement, such as a quiet session.
Profit and loss at expiration
- Max profit: the credit received, at the middle strike
- Max loss: wing width minus the credit
- Breakevens: middle strike plus or minus the credit
The Greeks
| Greek | Sign |
|---|---|
| Delta | ≈ 0 |
| Theta | + |
| Vega | − |
| Gamma | − (high) |
What to watch out for
- Even a modest move eats into profit, because the short options start at the money.
- Gamma is high, so the value swings a lot in the last hours before expiration.
Questions
What is the max profit on a iron butterfly?
The credit received, at the middle strike. In the example above that's $366.23 per contract.
What is the max loss on a iron butterfly?
Wing width minus the credit. In the example above that's $133.77 per contract.
How do you calculate the breakeven of a iron butterfly?
Middle strike plus or minus 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 iron 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.