Butterflies & broken wings
Mildly bullish, to a target
Debit or credit
Risk: Defined; larger on the upside
Broken-wing call butterfly
Also called: Skip-strike call butterfly, Call BWB
A call butterfly whose upper wing sits further away: at most the small net debit (if any) below the bottom strike, a profit tent at the middle strike, and a larger but capped loss on a big rally.
Payoff sketch (per unit, index points)
At expiry
Today (7 days left)
Net premium
Debit 15 pts
Max profit
+185 pts (₹12,051 per lot)
Max loss
−115 pts (₹7,449 per lot)
Breakeven
25,015 / 25,385
How it works
The mirror of the put version: the cheap far call lets the sold calls pay for the structure, in exchange for a larger loss if the rally carries past the top strike.
When traders use it
- Targeting a modest rise toward the middle strike, with little at risk below the bottom strike (nothing, if entered for a credit).
Greeks
| Delta | Near zero at entry, turning negative above the middle strike. |
| Gamma | Negative near the middle strike. |
| Theta | Positive near the middle strike. |
| Vega | Negative. |
Profit, loss and margin
| Max profit | (Lower wing width + net credit, or − net debit) × quantity, at the middle strike. |
| Max loss | (Upper wing width − lower wing width − net credit, or + net debit) × quantity, above the highest strike. |
| Breakeven | Above the middle strike, by the net premium and the wing difference. |
| Margin | About the maximum loss on the upside. |
In India
- SPAN margins the whole position, so a defined-risk spread usually blocks far less than its short leg alone. Brokers grant the hedge benefit only when the protective leg is actually in the account, which is why the long leg is usually placed first.
- STT is charged on the premium when an option is sold (0.15% of premium from 1 April 2026 in Arthfy's cost model). A short option left to expire, in or out of the money, is not charged STT again at settlement.
- A long option that finishes in the money is exercised automatically. STT is then charged on its intrinsic value at the exercise rate (0.15% from 1 April 2026 in Arthfy's cost model), instead of the sale rate on the premium (also 0.15%) that applies when the option is sold before the close. See the lesson on the STT exercise trap.
Arthfy numbers
Arthfy's history does not cover broken-wing butterflies yet.
Try it in the F&O hub
Opens the tool with this structure on today's NIFTY chain. Reading is free with an Arthfy account; some runs use free attempts.Open in the builderPayoff, Greeks, scenario grid and charges on today's NIFTY chain
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Replay on expiry daysMinute data since October 2024
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