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Equal-Width Expiration Model

Free Butterfly Option Strategy Calculator

Calculate profit, loss, breakevens, and Greeks for long call butterfly, long put butterfly, and iron butterfly structures. Enter hypothetical premiums; inspect expiration payoffs and model Greeks with an explicit 100-share multiplier.

3 Butterfly Types
P&L & Greeks Charts
100% Free

Strategy Parameters

Standard equal-width butterflies only. Premiums are hypothetical per-share inputs, not quotes. Iron middle premium is the average of the call and put premiums; their sum is used in cash flow. Model assumes 100 shares per contract, one expiry, zero dividends, no fees or early assignment. Greeks use one shared volatility and are dollar sensitivities for the full position: delta per $1, gamma per $1 squared, theta per calendar day, vega per volatility percentage point.

Leg Structure — Long Call Butterfly

LegActionStrikePremiumQty
Lower CallBuy$95.00$6.501
Middle CallSell$100.00$3.202
Upper CallBuy$105.00$1.201
Net Debit
$1.30
Per share ($130.00 total)
Max Profit
$370.00
At $100.00 at expiration
Max Loss
$130.00
At or below $95.00, or at or above $105.00 at expiration
Risk/Reward Ratio
1:2.85
Return on risk: 284.6%

Breakeven Analysis

Lower Breakeven$96.30
Upper Breakeven$103.70
Profit Zone Width$7.40
Profit Zone (% of price)7.4%

Position Greeks

Delta-0.5127
Gamma-2.3871
Theta+2.0691
Vega-4.9051

Profit & Loss at Expiration

$-130$-5$120$245$370$90$94$98$102$106$110Current: $100Stock Price at ExpirationProfit / Loss ($)
P&L at Expiration
Breakeven Points
Current Price

Read the expiration payoff separately from the Greeks

The payoff chart sums each option leg’s intrinsic value and subtracts the net entry debit (or adds the credit). It uses your premiums; it does not infer executable quotes. Moving volatility or days to expiration changes the Greek estimates, not this expiration payoff.

Set three equally spaced strikes

Long call and put butterflies buy one lower and one upper option and sell two at the middle strike. The short iron version buys the lower put and upper call, and sells the middle call and put. All legs share one expiration. This tool rejects broken-wing spacing and debit or credit amounts outside the standard structure’s range.

Check the cash flow and units

Premiums are per share; each spread uses four standard 100-share option contracts. For the iron structure, the middle premium is the average of the short call and put premiums, so twice that value is the combined premium received. The leg table allocates that average equally. These are hypothetical inputs, not a claim that the two market prices match.

Inspect the model’s limits

The displayed maximum profit is at the middle strike at expiration. Maximum loss is at or beyond either wing, not immediately outside a breakeven. The profit interval is not a probability. Fees, bid-ask spreads, taxes, margin, early exercise and assignment are excluded. Managing or closing legs separately can produce different realized outcomes.

Use sensitivities as local model estimates

Greeks use a European Black-Scholes model with no dividends, one constant volatility across legs and no early exercise. They are scaled to the entire position. The calculator requires positive time and volatility; it does not report expiry Greeks by substituting an artificial tiny time. Values can change sign as price and time change.

For the standard structures and exercise risks, see the Options Industry Council’s long call butterfly and short iron butterfly references. These calculations are educational scenarios, not trade recommendations or evidence of expected returns.

Frequently Asked Questions

Model assumptions, input limits and interpretation.

    • Which butterfly structures are supported?

      This calculator accepts equally spaced, increasing strikes with one expiry: a long call butterfly, a long put butterfly, or a short iron butterfly. Broken-wing structures are rejected. Prices and premiums are manual examples, not market quotes.

    • How do I enter iron butterfly premiums?

      Enter the lower put and upper call premiums separately. For the middle field, enter the average of the short call and short put premiums. The calculator doubles that average to obtain their combined credit; the two displayed middle premiums are an allocation assumption, not separate quotes.

    • Where does the maximum expiration loss occur?

      For an accepted equal-width structure, the maximum modeled loss occurs at or beyond either outer strike. A price just outside a breakeven produces a loss, but not necessarily the maximum loss. Costs and exercise or assignment effects are excluded.

    • What do the position Greeks measure?

      European Black-Scholes sensitivities assume zero dividends, one volatility for all legs and 365 calendar days per year. Each leg is multiplied by its quantity and 100 shares per contract. Delta is dollar change per $1 underlying move; gamma is its change per $1; theta is dollars per day; vega is dollars per one percentage-point volatility change. Signs depend on inputs.

    • Does the profit zone give a probability of profit?

      No. It is only the expiration price interval with positive modeled payoff after the entered premiums. It does not estimate how likely that interval is, the value before expiry, liquidity, margin, taxes or execution costs. Assignment can create exposures not shown by the expiration diagram.

    • Is this tool free and does it execute trades?

      The calculator runs in your browser without registration. It does not connect to a broker or execute a butterfly. Pineify product links lead to separate research tools; they do not turn this payoff model into automated multi-leg options execution.

Research the Underlying and Its Options

Explore Pineify’s Finance Agent for supported market research. Review the returned data and its timestamp separately from this hypothetical payoff calculation; the calculator does not place multi-leg orders.

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