Butterfly Spread Calculator
This calculator supports three common butterfly implementations: long call butterfly, long put butterfly, and iron butterfly. Enter strike prices, per-share option premiums, contract quantity, contract size, and commission per contract to compute net cost or credit, maximum profit and loss, and break-even prices.
Results are provided as standard approximations used for option payoff analysis at expiry. The tool is intended for scenario analysis and trade planning; it does not execute trades or provide margin estimates.
Classic long butterfly using calls: buy 1 lower-strike call, sell 2 middle-strike calls, buy 1 upper-strike call. Best when you expect low volatility and underlying at the middle strike at expiry.
Inputs
Advanced inputs
Long Call Butterfly inputs
Long Put Butterfly inputs
Iron Butterfly inputs
Results
Net initial cost (debit + fees)
$132.60
Maximum profit
$367.40
Maximum loss
$132.60
Lower breakeven
96.326
Upper breakeven
103.674
| Output | Value | Unit |
|---|---|---|
| Net initial cost (debit + fees) | $132.60 | USD |
| Maximum profit | $367.40 | USD |
| Maximum loss | $132.60 | USD |
| Lower breakeven | 96.326 | USD |
| Upper breakeven | 103.674 | USD |
Visualization
Methodology
Each method models the standard contract mix and computes net cash flow at opening (debit or credit including commission per leg). Payoff calculations assume European-style expiry payoff per share and do not include margin, early assignment, or exercise mechanics.
Formulas use strike spacing and net premium to derive theoretical maximum profit and loss and breakeven points. For iron butterflies the tool assumes user-supplied wing widths and computes losses using the chosen wing width. If widths are asymmetric, review results carefully—real-world margin and assignment risk can differ.
Further resources
External guidance
Expert Q&A
How accurate are these numbers?
Outputs use deterministic arithmetic based on user inputs and common payoff formulas. They do not model implied volatility changes, early assignment, dividends, transaction slippage, or real-time exchange fees. For precision in live trading, reconcile with broker/clearing margin rules and market data. The tool follows general practice and provides conservative assumptions; see citations for standards on measurement, testing, and documentation.
Do you model Greeks or margin requirements?
No. This calculator focuses on static expiry payoff, net cost/credit, and break-even analysis. Greeks (vega, theta, delta) and margin requirements require dynamic pricing models and broker-specific rules and are outside this tool's scope.
What inputs should I verify before relying on results?
Confirm premium quotes are per-share (not per contract), ensure strikes and wing widths reflect the intended structure, and enter commissions consistent with your broker. For iron butterflies, ensure you understand which strikes are short vs long. When in doubt, test with small contract counts and cross-check with broker tools.
Sources & citations
- NIST (general measurement and testing guidance) — https://www.nist.gov
- ISO 31000 (risk management principles) — https://www.iso.org/iso-31000-risk-management.html
- IEEE Standards (general standards and best practices) — https://standards.ieee.org
- OSHA (operational safety and procedural guidance) — https://www.osha.gov