Volatility strategy · Advanced
Market outlook Large move either way
Long spreads centered on strike seek movement from body.
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
Space the outer long strikes further from the body strike for a larger maximum payout.
Key difference: Higher max profit potential at a higher net debit.
Best for: Traders expecting a very large move who want more payout per contract.
Keep the body strike very close to the current stock price.
Key difference: Maximizes sensitivity to any move away from the current price, since the danger zone is centered right where the stock sits.
Best for: Traders who believe the stock will not stay pinned near its current level.
Common questions
The reverse iron condor has a wider flat zone between two separate inner strikes; the reverse iron butterfly compresses that to a single body strike, making it more sensitive to the smallest move away from that price.
The stock finishing exactly at the body strike at expiration, where all four legs lose the most value to time decay and provide the least intrinsic value.
The wings define and cap the maximum loss precisely, unlike a straddle's exposure being limited only to the premium paid without a hard floor from short options — though the straddle offers more unlimited upside.
Ahead of binary events where a stock is expected to move sharply away from its current price in either direction, with a defined, known maximum risk and reward.
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 volatility structure on the site, ranked by risk and capital needed
Same experience level
Structures with a comparable learning curve to the reverse iron butterfly
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.