Market Neutral Analysis
Butterfly Spread Calculator: AAPL
Professional scenario analysis and payoff visualization for neutral butterfly spreads.
Butterfly Spread Scenario Analysis: AAPL
| Scenario Move (%) |
|---|
| Price at Expiry |
| Lower Call Val |
| Middle Call Val (x2) |
| Upper Call Val |
| Spread Value |
| Profit / Loss |
| ROI on Debit |
* Click the percentage values to edit scenarios.
Payoff Profile At Expiration: AAPL
What this calculator does
The Butterfly Spread Calculator helps estimate potential profit at the 'apex' (middle strike) and defines the specific price range required for a positive outcome.
How the strategy works
A long call butterfly uses three strikes: it buys one lower call, sells two middle calls, and buys one higher call. It is a neutral, limited-risk strategy that profits if the underlying stock finishes as close as possible to the middle strike.
Key Formulas
Max Loss = Net Debit Paid
Lower Breakeven = Lower Strike + Net Debit
Upper Breakeven = Upper Strike - Net Debit
When traders use this strategy
Traders use butterflies when they have a high-conviction target price and expect the stock to stay very near that target with low volatility until expiration.
Risks to understand
While the loss is strictly limited to the debit paid, the 'profit window' is narrow. If the stock moves significantly in either direction, the trade will result in a total loss.
Example Interpretation
Notice the scenario table peak at the 'Middle Strike' (usually 0% or your target). As the move percentage becomes positive or negative, the individual call values change, eventually zeroing out the spread value once beyond the outer wings.
Frequently Asked Questions
What is a butterfly spread?
A three-strike strategy designed to profit from low volatility near a specific price.
How do you calculate profit?
Compare the combined value of all four options at expiry against the initial cost.
Where is max profit on a butterfly spread?
Exactly at the strike of the two options you sold (the middle strike).
What is the maximum loss?
The net premium amount you paid to open the trade.
Why does it lose money if the stock moves too much?
Because the protective outer calls no longer offset the loss on the middle calls, or all legs expire worthless.
This calculator and educational content are for educational purposes only and do not provide financial advice.