Iron Butterfly: Defined-Risk Bet on a Specific Pin Price

An iron butterfly is a tight iron condor with the short call and short put at the same (ATM) strike. Higher credit collected. Narrower profit zone. The structure prints when the underlying pins to the short strike at expiration — an unusual but recurring outcome in liquid options.

Construction: sell the ATM call and ATM put, buy a wing call and wing put equidistant above and below. Net credit, typically larger than an iron condor at the same expiration. The body of the butterfly (the short straddle component) collects max premium. The wings cap the risk. Max gain occurs at expiration if the stock pins exactly at the short strike — a rare but possible outcome that produces the position's full max profit.

Use cases: high IV rank with a thesis that the underlying will pin to a specific level (e.g., a heavily-watched round number, a strike where significant open interest exists). Avoid in trending markets — the narrow profit zone gets violated easily. Iron butterflies are sometimes deployed pre-earnings to profit from IV crush combined with limited realized move; the credit collected often exceeds the credit on a same-expiration iron condor by 30–50%.

Frequently Asked Questions

Iron butterfly vs iron condor — which has better expected value?

Depends on realized vs implied volatility. Iron butterflies pay more credit but have narrower profit zones; iron condors have wider profit zones but pay less.

Should I run iron butterflies through earnings?

Some traders do, sizing for the IV crush. Most beginners should avoid — the gap risk is real even with defined risk wings.

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