Put Broken Wing Butterfly

A put butterfly with unequal wings: the wider wing moves where the risk sits, and the structure can open for a credit instead of a debit.

Also called Broken wing put butterfly, Skip strike put butterfly

Outlook

Bullish

Family

Ratio

Level

Expert

Legs

3 legs

Expirations

1 expiration

Opens for

Credit or debit

Maximum profit

Limited

Maximum loss

Limited

Legs at the reference strikes this page's diagrams are drawn from

Leg	Side	Contract	Ratio	How the strike is chosen
B	Short	Put 97.5	2	Delta 30
A	Long	Put 87.5	1	10.00 points further out of the money than B
C	Long	Put 102.5	1	5.00 points further in the money than B

What it is

A put butterfly with the lower wing moved further out: one put bought at C above, two sold at B, one bought at A below, with B − A wider than C − B.

As with the call version, the wider wing is cheaper, so the structure can open for a credit — and the risk is concentrated on the wide side, here the downside. The position leans bullish.

The payoff

At expiration

A tent with one side longer than the other: flat at the credit above C, a peak at B, and a descent to a larger flat loss below A.

• Above C — everything expires worthless and the credit is kept.
• At B — the peak.
• Between A and B — the two short puts give back the gain.
• Below A — the long put at A catches the second short one and the loss stops, at (B − A) − (C − B) less the credit.

How it behaves before expiration

Today, before expiration

Today's value is a much flatter version of the tent.

Flat until the final days, as with every butterfly.

The Greeks

Delta is positive overall — the structure leans bullish. Gamma negative at B. Theta positive near B. Vega negative near B.

Where it lives in the volatility environment

The same reasoning as the call version, with one practical difference that matters on equity underlyings: out-of-the-money puts are frequently priced above equidistant calls, so the far put wing is less cheap than the far call wing, and a put broken wing more often opens for a debit than its mirror does.

What can go wrong

• The larger loss is on the downside, which is the direction that tends to move fastest.
• Two short puts at B, each assignable, leaving long shares.
• A credit at open moved the risk; it did not remove it.
• Six crossings on unevenly liquid strikes.
• The spacing is the structure. Read as a butterfly, it will be misjudged.

Building it in Option Panel

Open Build Strategy and pick Put Broken Wing Butterfly. Body first, then each wing offset independently; the net credit or debit is shown before committing.

Back to the encyclopaedia · What-if analysis in the docs

Related strategies

• Put Butterfly — the symmetric version.
• Call Broken Wing — the mirror.
• Jade Lizard — a different way to leave one side without risk.