Walk through a long call butterfly across expiration prices below, near and above its three strikes.
Set up the example
Assume shares trade at $98. Buy the 95 call, sell two 100 calls and buy the 105 call for a $1.25 debit, or $125 for one standard butterfly.
Below the lower strike
At $95 or lower, all calls expire worthless and the debit is lost. At $97, the lower call is worth $2, so the position produces $75 before costs after subtracting the debit.
At and near the body
At $100, the lower call is worth $5 and maximum profit is $375. At $102, the lower call is worth $7 and the two short calls lose $4 combined, leaving $3 intrinsic value and $175 profit.
Above the upper strike
At $105 or higher, the long and short calls offset to zero net intrinsic value beyond the fixed widths. The $125 debit becomes the maximum loss.
A practical example
At expiration prices of $94, $97, $100, $102 and $106, approximate P&L is −$125, +$75, +$375, +$175 and −$125 before costs.
This simplified example focuses on one structure and selected expiration outcomes. Live option prices also reflect the underlying price, time decay, rates, dividends, liquidity and transaction costs. Greeks are theoretical estimates, not guarantees.
Frequently asked questions
Why does profit fall after $100?
The two short body calls begin offsetting the lower long call faster.
What happens at $105?
The structure returns to zero intrinsic payoff before the debit.
Can it be closed early?
Yes, as a complete multi-leg position.
Continue the Butterfly Spreads cluster
Explore related guides: How to Choose Butterfly Spread Strikes · Butterfly Spread vs Iron Condor · How to Adjust a Butterfly Spread. For a structured sequence, use the free Level 12 – Butterfly Spread course.
Options involve risk and are not suitable for every investor. This material is educational and is not investment, tax or legal advice. Greeks are theoretical estimates, and contract terms and broker requirements can vary.