Butterfly Spread Calculator
This calculator supports three common butterfly implementations: long call butterfly, long put butterfly, and iron butterfly. Enter strike prices, per-share option premiums, contract quantity, contract size, and commission per contract to compute net cost or credit, maximum profit and loss, and break-even prices.
Results are provided as standard approximations used for option payoff analysis at expiry. The tool is intended for scenario analysis and trade planning; it does not execute trades or provide margin estimates.
Governance
Record 4d8eb1ff512e • Reviewed by Fidamen Standards Committee
Classic long butterfly using calls: buy 1 lower-strike call, sell 2 middle-strike calls, buy 1 upper-strike call. Best when you expect low volatility and underlying at the middle strike at expiry.
Inputs
Advanced inputs
Long Call Butterfly inputs
Long Put Butterfly inputs
Iron Butterfly inputs
Results
Net initial cost (debit + fees)
$132.60
Maximum profit
$367.40
Maximum loss
$132.60
Lower breakeven
$96.33
Upper breakeven
$103.67
| Output | Value | Unit |
|---|---|---|
| Net initial cost (debit + fees) | $132.60 | USD |
| Maximum profit | $367.40 | USD |
| Maximum loss | $132.60 | USD |
| Lower breakeven | $96.33 | USD |
| Upper breakeven | $103.67 | USD |
Visualization
Methodology
Each method models the standard contract mix and computes net cash flow at opening (debit or credit including commission per leg). Payoff calculations assume European-style expiry payoff per share and do not include margin, early assignment, or exercise mechanics.
Formulas use strike spacing and net premium to derive theoretical maximum profit and loss and breakeven points. For iron butterflies the tool assumes user-supplied wing widths and computes losses using the chosen wing width. If widths are asymmetric, review results carefully—real-world margin and assignment risk can differ.
F.A.Q.
How accurate are these numbers?
Outputs use deterministic arithmetic based on user inputs and common payoff formulas. They do not model implied volatility changes, early assignment, dividends, transaction slippage, or real-time exchange fees. For precision in live trading, reconcile with broker/clearing margin rules and market data. The tool follows general practice and provides conservative assumptions; see citations for standards on measurement, testing, and documentation.
Do you model Greeks or margin requirements?
No. This calculator focuses on static expiry payoff, net cost/credit, and break-even analysis. Greeks (vega, theta, delta) and margin requirements require dynamic pricing models and broker-specific rules and are outside this tool's scope.
What inputs should I verify before relying on results?
Confirm premium quotes are per-share (not per contract), ensure strikes and wing widths reflect the intended structure, and enter commissions consistent with your broker. For iron butterflies, ensure you understand which strikes are short vs long. When in doubt, test with small contract counts and cross-check with broker tools.
Sources & citations
- NIST (general measurement and testing guidance) — https://www.nist.gov
- ISO 31000 (risk management principles) — https://www.iso.org/iso-31000-risk-management.html
- IEEE Standards (general standards and best practices) — https://standards.ieee.org
- OSHA (operational safety and procedural guidance) — https://www.osha.gov
- OCC — Options Clearing Corporation — https://www.theocc.com/
- CBOE — Chicago Board Options Exchange Education — https://www.cboe.com/education/
- Columbia University — Black-Scholes Model (Academic Reference) — https://www.columbia.edu/~mh2078/FoundationsFE/BlackScholes.pdf
Further resources
Versioning & Change Control
Audit record (versions, QA runs, reviewer sign-off, and evidence).
Record ID: 4d8eb1ff512eWhat changed (latest)
v1.0.0 • 2025-11-18 • MINOR
Initial publication and governance baseline.
Why: Published with reviewed formulas, unit definitions, and UX controls.
Public QA status
PASS — golden 25 + edge 120
Last run: 2026-01-23 • Run: golden-edge-2026-01-23
Versioning & Change Control
Audit record (versions, QA runs, reviewer sign-off, and evidence).
What changed (latest)
v1.0.0 • 2025-11-18 • MINOR
Initial publication and governance baseline.
Why: Published with reviewed formulas, unit definitions, and UX controls.
Public QA status
PASS — golden 25 + edge 120
Last run: 2026-01-23 • Run: golden-edge-2026-01-23
Engine
v1.0.0
Data
Baseline (no external datasets)
Content
v1.0.0
UI
v1.0.0
Governance
Last updated: Nov 18, 2025
Reviewed by: Fidamen Standards Committee (Review board)
Credentials: Internal QA
Risk level: low
Reviewer profile (entity)
Fidamen Standards Committee
Review board
Internal QA
Entity ID: https://fidamen.com/reviewers/fidamen-standards-committee#person
Semantic versioning
- MAJOR: Calculation outputs can change for the same inputs (formula, rounding policy, assumptions).
- MINOR: New features or fields that do not change existing outputs for the same inputs.
- PATCH: Bug fixes, copy edits, or accessibility changes that do not change intended outputs except for previously incorrect cases.
Review protocol
- Verify formulas and unit definitions against primary standards or datasets.
- Run golden-case regression suite and edge-case suite.
- Record reviewer sign-off with credentials and scope.
- Document assumptions, limitations, and jurisdiction applicability.
Assumptions & limitations
- Uses exact unit definitions from the Fidamen conversion library.
- Internal calculations use double precision; display rounding follows the unit's configured decimal places.
- Not a substitute for calibrated instruments in regulated contexts.
- Jurisdiction-specific rules may require official guidance.
Change log
v1.0.0 • 2025-11-18 • MINOR
Initial publication and governance baseline.
Why: Published with reviewed formulas, unit definitions, and UX controls.
Areas: engine, content, ui • Reviewer: Fidamen Standards Committee • Entry ID: 2cf34829f45e