Butterfly Profit Calculator

 A long butterfly strategy has three legs and consists in buying one ITM call, selling two ATM calls and buying one OTM call. This strategy is suitable when you expect a lower volatility than what has been priced in by the markets. You can use puts for the same effect. On the contrary, a short butterfly consists in selling leg 1 and leg 3 options while buying leg 2 options if you expect more volatility than what has been priced in by the markets. A butterfly is similar to a straddle, except that both upside and downside are limited.

This calculator displays the payoff of your strategy at maturity depending on the underlying asset price. It also gives you tools to estimate the profit and loss (P&L) of your strategy before maturity by giving you control over price, time and volatility variables (i.e. it lets you see how your options' price varies alongside a price and/or time/volatility changes).

Step 1: select your option strategy type ('Long Butterfly' with calls or puts, or 'Short Butterfly' with calls or puts)
Step 2: enter the underlying asset price and risk free rate
Step 3: enter the maturity in days of the strategy (i.e. all options have to expire at the same date)
Step 4: enter the option price and quantity for each leg (quantity is expected to be the same for legs 1 and 3, and the double for leg 2)
Step 5: click "Calculate"
Step 6 (optional): you can modify the spot price, number of days before expiry or implied volatility through the controls below the chart to simulate the P&L of your strategy and see how it fares under new market conditions (note that this is theoretical though).

 

Option 1 Implied Vol. (%): Option 2 Implied Vol. (%): Option 3 Implied Vol. (%):
Spot Price Maturity (Days) Option 1 Imp. Vol. Option 2 Imp. Vol. Option 3 Imp. Vol. New Option 1 Price: New Option 2 Price: New Option 3 Price:







Disclaimer: the contents of this website are for informational purposes only and do not constitute any investment recommendation. The visitor acts at his own risk.