Butterflies & broken wings
Pinned at a target
Debit
Risk: Defined both ways
Long call butterfly
Also called: Call fly
Buy one lower call, sell two middle calls, buy one higher call: a small debit that pays most if the underlying settles at the middle strike.
Payoff sketch (per unit, index points)
At expiry
Today (7 days left)
Net premium
Debit 35 pts
Max profit
+165 pts (₹10,739 per lot)
Max loss
−35 pts (₹2,261 per lot)
Breakeven
24,835 / 25,165
How it works
A bull call spread and a bear call spread sharing the middle strike. The payoff is a tent peaking at the middle strike and flat at a small loss outside the wings.
Because the peak is narrow, the position earns most of its value only in the last days and only if the price is near the middle strike.
When traders use it
- Targeting a specific settlement level cheaply.
- A low-cost, defined-risk range trade into expiry.
Greeks
| Delta | Near zero when centred. |
| Gamma | Negative near the middle strike, positive near the wings. |
| Theta | Positive near the middle strike, especially in the final days. |
| Vega | Negative when centred. |
Profit, loss and margin
| Max profit | (Wing width − net debit) × quantity, at the middle strike. |
| Max loss | The net debit plus charges, outside the wings. |
| Breakeven | Lower strike + net debit; upper strike − net debit. |
| Margin | Little beyond the debit. |
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.
- 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.
- Since 20 November 2024 each exchange keeps one weekly index expiry: NIFTY on NSE and SENSEX on BSE. Since September 2025 NSE contracts expire on Tuesdays and BSE contracts on Thursdays. BANKNIFTY, FINNIFTY, MIDCPNIFTY and stock options expire monthly (NSE on the last Tuesday). A holiday moves the expiry to the previous trading day.
Arthfy numbers
Arthfy's history does not cover butterflies yet; the iron butterfly has the same expiry shape for a credit. See Iron butterfly.
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
Backtest since 2016Daily data, every NIFTY expiry
Replay on expiry daysMinute data since October 2024
Open the option chainLive premiums, IV and Greeks
Related
For education: how the structure works and what it did historically, not a recommendation to trade it.
