Butterfly Spread Calculator

This butterfly spread calculator estimates the expiry payoff of a long call or long put butterfly with equally spaced strikes. Enter each option premium per unit and the correct lot size. It shows the debit (net premium paid), maximum profit, maximum loss and breakevens (no-profit, no-loss levels) before charges. It does not price an early exit or estimate the chance of profit.

A long butterfly uses equal wings

A standard long butterfly buys an option at the lower strike, sells twice that quantity at the middle strike and buys the same quantity at the upper strike. Use all calls or all puts, on the same underlying and expiry. Each option position is a leg. The distance from lower to middle must equal the distance from middle to upper.

The Options Industry Council’s long-call explanation describes this balanced construction. Its largest expiry value occurs at the middle strike. Moving beyond either outer strike leaves the balanced option package with no net expiry value, so the opening debit is lost before costs.

Butterfly spread formulas at a glance

The Options Industry Council says the largest gain comes when the underlying finishes at the middle strike at expiry, and the largest loss is the premium paid, which occurs when it finishes outside the outer strikes. These are expiry results. Before expiry the value of the position moves with price, time and volatility.

Enter premiums per unit, then check quantity

• Current Spot Price: supplies the distance from the middle strike. Changing it does not change the spread’s maximum expiry profit or its opening debit.
• Lower Strike (Buy), Middle Strike (Sell 2x), Upper Strike (Buy): enter increasing strikes, with equal gaps.
• Lower Strike Premium, Middle Strike Premium, Upper Strike Premium: enter the price of each option per unit. Enter the middle premium once; the formula doubles it.
• Option Type: choose Call Butterfly or Put Butterfly. This is a same-type option structure.
• Lot Size: enter the units in a contract for the selected underlying and expiry. This field scales the position money amounts; there is no separate number-of-butterflies field.

Use quotes from the same observation time when making a hypothetical comparison. For an executed spread, use the actual prices traded. Combining an old wing premium with a newer middle premium can describe a package that was never available at that debit. The tool accepts numbers you type and does not check their availability.

The prefilled quantity is not a current Nifty contract specification. NSE’s lot file, checked on 15 October 2026, lists 65 units for Nifty and 30 units for Bank Nifty in the October, November and December contracts. Check the contract month before replacing the default. The lot-size reference table explains quantity checks, and the option-premium guide explains the per-unit quote.

Work the debit and breakevens before reading the labels

• Net debit per unit = lower premium + upper premium − twice the middle premium.
• Total debit = net debit per unit × lot size. For a valid balanced debit butterfly, this is the maximum expiry loss before charges.
• Wing width = upper strike − middle strike, which must also equal middle strike − lower strike.
• Maximum expiry profit = (wing width − net debit per unit) × lot size.
• Lower breakeven = lower strike + net debit per unit. Upper breakeven = upper strike − net debit per unit.

The result labelled Net Debit is per unit; Total Debit is the cash amount for the quantity entered. Max Profit and Max Loss are whole-position cash amounts. Risk:Reward is calculated as maximum profit divided by maximum loss. A larger ratio does not establish a higher probability of earning that profit.

Sweet Spot is simply the middle strike you supplied. From Spot is the absolute price distance to that strike. Outlook is a fixed description of the strategy, not a forecast generated from market observations. The tool has no expiry-date, volatility, interest-rate, fee or margin input. It therefore cannot calculate how much the spread would sell for before expiry.

Choosing wing width on Nifty

Wing width is the gap between the middle strike and each outer strike. A narrow butterfly costs less, has a smaller maximum profit and a narrow profit zone. A wide one costs more, has a larger maximum profit and breakevens further from the middle. Neither is better by itself; it depends on how far you think the underlying could finish from the middle strike and what you pay.

Compare two made-up Nifty call butterflies, both using 65 units. The debits are invented for this example, not quotes.

The wide setup has a profit zone 160 points across (24,020 to 24,180) against 76 points (24,062 to 24,138). Use the strike gaps your option chain actually offers; the calculator needs equal gaps. Check the lot size table before you replace the default quantity.

Worked example: a fictional Nifty call butterfly

Assume illustrative strikes of 24,000, 24,100 and 24,200, with call premiums of ₹180, ₹120 and ₹80 per unit respectively. Use Current Spot Price 24,100. These are made-up quotes, not a historical trade. For the example, enter the verified October contract quantity of 65 units.

• Net debit = 180 − 2 × 120 + 80 = ₹20 per unit.
• Total debit and maximum expiry loss = 20 × 65 = ₹1,300 before costs.
• Wing width = 24,200 − 24,100 = 100 points.
• Maximum expiry profit = (100 − 20) × 65 = ₹5,200.
• Lower breakeven = 24,000 + 20 = 24,020. Upper breakeven = 24,200 − 20 = 24,180.
• The displayed reward-to-loss multiple is 5,200 ÷ 1,300 = 4.

At an illustrative expiry level of 24,100, the lower call has 100 points of value and the other calls have no intrinsic value. Subtracting the debit leaves 80 points, or ₹5,200. At an illustrative expiry level of 24,050, the package is worth 50 points, leaving 30 points after the debit, or ₹1,950. At or outside either outer strike, the package’s net expiry value is zero and the loss is ₹1,300 before charges.

The expiry profit region is strictly between the breakevens. Equality gives zero profit before charges. The maximum is reached at the exact middle strike in this simplified expiry calculation; being near that strike does not mean the full maximum has been earned.

Call butterfly, put butterfly and iron butterfly

A balanced put butterfly buys the outer puts and sells twice the middle quantity. The Options Industry Council’s put-butterfly guide shows the corresponding expiry shape. The calculator uses the premiums you enter for the selected option type, so different opening debits produce different profit amounts even with identical strikes.

An iron butterfly combines call options and put options. This form has no fields for that mixed structure. Use the iron-butterfly explanation to understand the distinction. An unequal-wing structure also changes the payoff and loss boundaries; the broken-wing butterfly guide covers that separate construction.

How butterfly Greeks behave

Greeks are measures of how an option's price reacts to changes. For a butterfly they combine four legs, so the net effect is small and changes with where the price sits.

• Delta (reaction to price): near zero when spot is at the middle strike. It turns positive below the body and negative above it, so the position is not a bet on direction there.
• Gamma (change in delta): the middle strike is sold twice, so the position is short gamma near the middle. A move away from the body changes its value faster as expiry approaches.
• Theta (time decay): the Options Industry Council says time decay usually helps if the body is at the money and hurts if it is away from the money.
• Vega (reaction to implied volatility): small for the whole package, and its sign depends on where spot is relative to the body. Check it in your broker's option tools rather than assuming.

This calculator does not model Greeks or the value before expiry. Read the theta decay entry for time decay.

Broken-wing butterfly

A broken-wing butterfly has one wing wider than the other. This form does not accept it and may show wrong results if you enter unequal gaps. See the broken-wing butterfly guide for the structure.

Why the live account result can differ

The Cboe Options Institute guide hosted by Fidelity includes commissions when discussing maximum risk and breakevens. This calculator omits all trading costs. Brokerage, statutory charges and differences between displayed quotes and actual execution prices reduce the result. A positive gross payoff can become a net loss.

The model also assumes the full intended option package remains intact. Closing a wing, entering only part of the intended quantity, or facing contract settlement obligations requires a fresh assessment. The premium debit is not an estimate of broker margin or a guarantee of the account’s total funding needs. Confirm the contract’s own settlement terms rather than applying US stock-option examples automatically to Indian contracts.

When to close a butterfly spread

There is no rule that fits every trade. Decide your exits before you open the position and write them down. Common ways traders frame them are shown below, as examples of rules, not advice.

• A profit rule: close when you have earned a set share of the maximum profit (for example, half), because the last part needs the price to finish near the middle.
• A loss rule: close if the underlying moves beyond a level you chose, or if you have lost a set share of the debit.
• A time rule: close before the final days if you do not want expiry-day price swings and settlement terms to decide the result.
• A leg rule: never leave one wing open by itself without a fresh plan, as the risk changes.

Log each rule and whether you followed it. Your journal will show if exits at your profit rule beat holding to expiry for your own trades.

Margin for a butterfly in India

The premium debit is not the margin. Margin is calculated by the exchange's system and shown by your broker, and defined-risk spreads usually need less margin than the same short options held naked. The amount depends on the contracts and the day, so use your broker's margin calculator for the exact figure before you trade. Do not use this tool's total debit as a margin number.

Sources

• Options Industry Council: long call butterfly (checked 15 October 2026).
• Options Industry Council: long put butterfly (checked 15 October 2026).
• Cboe Options Institute via Fidelity: butterfly payoff and costs (checked 15 October 2026).
• NSE: contract-month lot file (checked 15 October 2026).