Long Call Butterfly Calculator
A long call butterfly is a three-leg debit spread: buy one lower call, sell two middle calls, buy one higher call. Max profit occurs if the stock pins at the middle strike at expiration.
Price it
Practical example
When to use it
- You have a specific price-level thesis and expect the stock to land near the body strike at expiration
- You want asymmetric reward-to-risk — often 3:1 or better — on a low-cost, defined-risk structure
- Typical setups: earnings pins at a key level, post-gap consolidation to test a level, OpEx pins at gamma walls, technical magnet strikes
- You prefer a debit structure with a tiny defined loss over the larger tail risk of an iron butterfly
Risks
- Probability of max profit is low — the stock must land very close to the body strike at expiration
- Until the final week, theta is mostly a drag; this trade pays off in the last few days if the thesis holds
- Outside the break-evens the full debit is lost — many traders never collect max profit even on directionally correct trades
- Liquidity matters: wide bid/ask on the components can eat into an already-small R:R edge
The deeper breakdown
How a Long Call Butterfly Works
Three strikes, four options: buy 1 call at strike A, sell 2 calls at strike B, buy 1 call at strike C (A < B < C, equal distance). Net debit. Tent-shaped payoff peaking at the body (strike B). Max profit at expiration if the stock lands exactly at B; loss limited to the debit if the stock finishes outside strikes A or C.
Example
AAPL at $195. Buy the $190 call for $6.60, sell 2x $195 calls for $3.60 each, buy the $200 call for $1.80. Net debit: $1.20 ($120). Max profit = ($5 − $1.20) × 100 = $380 (≈3.2:1 R:R).
The Pin Trade
A call butterfly is a bet on a specific landing zone, not on a direction. It's most useful when you have a reason to expect the stock to gravitate to and stay near a particular level — typically a heavily-optioned strike where dealer gamma hedging creates pinning pressure, or a strong technical magnet. Without that thesis, the probability of capturing even a fraction of max profit is low.
Greek Profile
The Greeks change sign depending on where spot sits relative to the strikes:
- Below the long strike (A): mildly long delta, long gamma, negative theta
- Near the body (B): short gamma, positive theta (you benefit from time passing)
- Above the short wing (C): mildly short delta, long gamma again
This is why the trade works best entered well before expiration but really *pays* in the final few days, when gamma concentrates around the body strike.
Butterfly Variants
Key Takeaway
Long call butterflies are asymmetric defined-risk lottery tickets on a pin thesis. Best with a specific landing-zone hypothesis and 5–15 DTE, where the gamma concentration around the body rewards a correct thesis quickly. Without a real pin thesis, the low probability of max profit makes the economics thin.
Calculations are theoretical projections from standard pricing models (Black-Scholes), not predictions. Real fills, slippage, dividends, and volatility shifts will cause outcomes to differ. Not investment advice. Full disclaimer.