Iron butterfly
advancedneutralStrategy parameters
Greeks (current)
Delta
-1.011
Gamma
-4.528
Theta
5.523
Vega
-11.164
Rho
0.393
Payoff diagram
P&L at expiryP&L today (theoretical)Current spot
Key metrics
Net cost
-$579.63
Credit (received)
Max profit
$579.63
Max loss
-$420.37
Breakevens
$94.20 · $105.80
Scenarios at expiry
| Move | Spot | P&L at expiry | % of cost |
|---|---|---|---|
| -20% | $80.00 | -$420.37 | -72.5% |
| -10% | $90.00 | -$420.37 | -72.5% |
| -5% | $95.00 | $79.63 | 13.7% |
| +0% | $100.00 | $579.63 | 100.0% |
| +5% | $105.00 | $79.63 | 13.7% |
| +10% | $110.00 | -$420.37 | -72.5% |
| +20% | $120.00 | -$420.37 | -72.5% |
Mechanics & risks
How it works
Iron condor where the short put and short call share the same strike (usually ATM). Bigger credit, narrower profit zone.
When to use
You expect the stock to pin a specific price at expiry.
Risks
- Maximum profit = net credit, only if stock closes exactly at the short strike.
- Loss is (wing width − credit) × 100 outside the wings.