Butterfly Spread Calculator

Calculator Inputs

Example Data Table

Formula Used

For a long call butterfly, payoff per share at expiration is:

max(S − K1, 0) − 2 × max(S − K2, 0) + max(S − K3, 0) − net cost

For a long put butterfly, payoff per share at expiration is:

max(K1 − S, 0) − 2 × max(K2 − S, 0) + max(K3 − S, 0) − net cost

Where:

• S is the underlying price at expiration.
• K1, K2, K3 are lower, middle, and upper strikes.
• Net cost = premium at lower strike − 2 × premium at middle strike + premium at upper strike.
• The short butterfly is the exact sign reversal of the long butterfly payoff.
• Total payoff = payoff per share × contract multiplier × number of contracts.

This calculator scans the selected range and detects breakevens from sign changes in total payoff.

How to Use This Calculator

1. Select long or short butterfly.
2. Choose call or put construction.
3. Enter lower, middle, and upper strikes in ascending order.
4. Enter the three option premiums.
5. Set contracts and the contract multiplier.
6. Choose the underlying price range and step size.
7. Press the calculate button.
8. Review summary values, the graph, and the payoff table.
9. Export the generated table as CSV or PDF if needed.

Practical Notes

A butterfly spread is commonly used when a trader expects the underlying price to finish near the middle strike. The long butterfly usually limits loss to the net debit and limits gain to a capped amount near the center strike. The short butterfly reverses that profile. This page helps you compare both structures by scanning many expiration prices, estimating breakevens, and plotting the resulting payoff profile.

Because the model uses expiration payoff, it does not include time value changes before expiration, implied volatility shifts, commissions, slippage, early assignment risk, or margin requirements. Those items matter in real trading. Use this tool to understand shape, boundaries, and payoff logic first, then combine it with market data and brokerage rules before making decisions.

FAQs

1. What is a butterfly spread?

It is a multi-leg options strategy using three strike prices. It creates a limited-risk and limited-reward payoff profile around a target price zone.

2. Why is the middle strike sold twice?

Selling two middle options shapes the payoff tent. It offsets part of the outer option cost and concentrates profit near the center strike.

3. Can I use calls or puts?

Yes. Standard call and put butterflies can produce very similar expiration payoff shapes when the strikes are aligned in ascending order.

4. What does long butterfly mean?

A long butterfly usually pays a debit first. It targets the highest profit near the middle strike and keeps losses capped outside the profitable zone.

5. What does short butterfly mean?

A short butterfly flips the long profile. It often starts with a credit and benefits when price moves away from the middle region.

6. Why do breakevens depend on my range?

This page detects breakevens numerically from scanned prices. If your range is too narrow, a true breakeven may sit outside the selected interval.

7. Does this include option Greeks?

No. The calculation focuses on expiration payoff only. Delta, gamma, theta, vega, and implied volatility changes are not modeled here.

8. Why use the multiplier field?

The multiplier converts per-share payoff into total contract payoff. Equity options often use 100, but other products can use different values.