Long call butterfly
Buy one lower call, sell two middle calls, buy one higher call. A low-cost structure that pays most if the index ends near the middle strike.
How it is built
- Buy 1 lot of an in-the-money call.
- Sell 2 lots of the at-the-money call.
- Buy 1 lot of an out-of-the-money call. Strikes are equally spaced.
A structure for a view that the index will finish near a specific level, with a small, known maximum loss.
Risks
- The net premium is lost if the index ends outside the outer strikes.
- The peak profit needs the index to end close to the middle strike.
- Three strikes and four lots mean more charges per trade.
How the Greeks behave
- Delta
- Close to zero at the middle strike
- Theta
- Positive near the middle strike
- Vega
- Negative
Worked example on Nifty 50
| Leg | Premium per unit | Cash flow |
|---|---|---|
| Buy 1 lot 24,750 CE | ₹364.44 | −₹23,689 |
| Sell 2 lot 25,000 CE | ₹209.21 | +₹27,198 |
| Buy 1 lot 25,250 CE | ₹104.18 | −₹6,772 |
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.
Long call butterfly on other indices
Frequently asked questions
What is the maximum profit on a butterfly?
The distance between two strikes minus the net premium, times the lot size, if the index ends exactly at the middle strike.
What is the maximum loss?
The net premium paid plus charges.
Is a call butterfly different from an iron butterfly?
The payoff shape is similar. The call butterfly is paid for up front; the iron butterfly collects a credit and uses both calls and puts.