Butterflies & broken wings
Pinned at a target
Debit
Risk: Defined both ways
Long put butterfly
Also called: Put fly
Buy one higher put, sell two middle puts, buy one lower put: the put version of the butterfly, with the same tent-shaped payoff.
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
Same expiry payoff as the call butterfly with the same strikes. Put-based flies are common when the target is below the current price, so all legs are out of the money or near it.
When traders use it
- Targeting a settlement level, often slightly below the current price.
Greeks
| Delta | Near zero when centred. |
| Gamma | Negative near the middle strike. |
| Theta | Positive near the middle strike. |
| 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 | Upper strike − net debit; lower 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
