Iron butterfly on Sensex
A short straddle with protective wings: sell the at-the-money call and put, buy a call above and a put below. Shown per lot of 20 with illustrative numbers.
Contract basics. Sensex lot size: 20. Sensex has weekly options on BSE expiring every Thursday, so this example uses 7 days to expiry. Strikes in this example are rounded to the 100-point strike interval.
A structure for a view that the index will end very close to its current level, with losses capped by the wings.
| Leg | Premium per unit | Cash flow |
|---|---|---|
| Buy 1 lot 79,800 PE | ₹35.47 | −₹709 |
| Sell 1 lot 82,000 PE | ₹538.90 | +₹10,778 |
| Sell 1 lot 82,000 CE | ₹641.05 | +₹12,821 |
| Buy 1 lot 84,200 CE | ₹54.65 | −₹1,093 |
Profit and loss at expiry
For the whole position, before charges.
Premiums are theoretical Black–Scholes values from round, illustrative inputs, not market prices. Charges and margin are not included.Price a single leg with your own numbers.
Frequently asked questions
What is the maximum loss of an iron butterfly on Sensex?
In this illustrative example, ₹22,203 per set of legs (lot size 20), before charges.
What is the lot size of Sensex options?
20 units per lot at the time of writing. Lot sizes are revised by the exchange from time to time; check the current size before trading.
When do Sensex options expire?
Sensex has weekly options on BSE expiring every Thursday, so this example uses 7 days to expiry.
How is an iron butterfly different from an iron condor?
The butterfly sells the same at-the-money strike for the call and the put, so it collects more premium but profits in a narrower range.
What is the maximum loss?
The distance to a bought wing minus the net premium, times the lot size.