Butterfly Spread Calculator

A butterfly spread combines a long option, two short options at a middle strike, and another long option at an equal distance beyond it, all the same type (calls or puts) and expiration. It's a bet that the underlying finishes near the middle strike: maximum profit sits right at that price, with losses capped and limited on both sides.

This calculator takes the three strikes and premiums directly and computes the net cost, breakevens, max profit and loss, and probability of profit. For a defined-risk trade on direction rather than a pinned price, see the Vertical Spread Calculator; for a bet on a wide range instead of a single price, see the Iron Condor Calculator.

How does this calculator work?

Choose calls or puts, enter the current price, days to expiration, and contracts (the number of butterflies, not individual option legs).

Enter the low strike (bought once), the middle strike (sold twice), and the high strike (bought once), along with each strike's premium.

The calculator assembles all four contracts into a single position: 1 long low strike, 2 short middle strikes, 1 long high strike, all the same type and expiration, then sums each leg's cost or credit (long legs cost premium, short legs collect it) to get the net debit or credit for the whole trade.

It walks the position's payoff across a range of prices at expiration to find both breakeven points (where profit crosses zero), the maximum profit (at the middle strike), and the maximum loss (at or beyond either wing).

Probability of profit comes from a separate step: using the volatility, days to expiration, and risk-free rate you entered, it models the underlying's price at expiration as a lognormal distribution (the same assumption behind Black-Scholes), then sums the probability mass that falls between the two breakevens, since that's the price range where this specific position is worth more than what you paid for it.

For a broker's-eye view of this same structure with payoff diagrams, see Fidelity's long butterfly guide or the Options Industry Council's strategy page.

Worked example

A call butterfly on a $100 stock: buy the $90 call for $12, sell two $100 calls for $5 each, buy the $110 call for $1.

Net debit

$300

Breakevens

$93.00 and $107.00

Max profit

$700 (at $100, the middle strike)

Max loss

$300 (at or below $90, or at or above $110)

How the numbers work

The $12 paid for the low call, minus the $10 collected from two $5 middle calls, plus the $1 paid for the high call, nets to a $300 debit for the whole position.

If the stock finishes exactly at $100, the low call is worth $10 (its intrinsic value) while both middle calls and the high call expire worthless, for a maximum profit of $10 minus the $3 debit, or $700.

Below $90 or above $110, all the calls either expire worthless or their gains and losses offset exactly, capping the loss at the original $300 debit no matter how far the stock moves beyond those points.

A butterfly is a low-cost, defined-risk way to bet on a stock staying near a specific price, the opposite kind of trade from a straddle or strangle, which bets on a big move. It's most often used when a trader expects low volatility around a known level, like a stock that's been range-bound or a stable index.