Neutral strategy · Advanced
Market outlook Near one price
Short straddle with protective wings defining risk/reward.
Each row reprices every live leg independently. Entry premiums stay fixed.
| Underlying price | Move | Profit / loss |
|---|
Dollar-scaled for each leg's quantity, multiplier, expiry, and IV. Theta is per day; vega and rho are per one percentage-point move.
| Leg | Delta | Theta/day | Vega |
|---|
Strike configurations
Place the protective long wings further from the body strike.
Key difference: Larger maximum loss but more room before the loss cap is fully realized.
Best for: Traders who want more downside cushion around the tight body strike.
Place the protective long wings close to the body strike.
Key difference: Smaller maximum loss and less capital at risk, but also a smaller net credit collected.
Best for: Traders who want the tightest possible defined risk on a pinning bet.
Common questions
An iron butterfly sells both the call and put at the same body strike for maximum premium, while an iron condor uses separate short strikes for a wider, lower-premium profit zone.
Since both short options share the same strike, the stock must land very close to that exact price at expiration to realize the maximum profit — moving even modestly away erodes it quickly.
The width of one wing minus the net credit received, realized if the stock finishes beyond either long strike at expiration.
When implied volatility is elevated and you have a strong view the stock will settle very close to a specific price by expiration, such as after a known catalyst has passed.
Deep dive
Detailed explanations, management techniques, and real-world scenarios
Scenario Lab
Explore how this position changes before expiration
Quick reference
Quick answers about when to use, capital needed, and key risks
Profit and loss
Compare max profit, max loss and break-even across common strategies
Custom calculator
Combine calls, puts, stock, quantities and different expirations
Risk sensitivity
Inspect Delta, Gamma, Theta, Vega and Rho
Same market view
Every neutral structure on the site, ranked by risk and capital needed
Same experience level
Structures with a comparable learning curve to the iron butterfly
Head-to-head
Structure, cost, and breakeven differences compared side by side
Head-to-head
Structure, cost, and breakeven differences compared side by side
This calculator uses exact intrinsic value at a leg’s expiration and Black–Scholes theoretical value while that leg remains open. Position Greeks use the same visible legs and model assumptions. Results exclude fees, tax, liquidity, margin, early exercise and assignment behavior. Educational illustration only—not financial advice.