How to use this calculator
- Pick the direction: Put for a bullish broken wing (no upside risk), Call for a bearish one (no downside risk).
- Enter the current share price and days to expiration.
- Enter the three strikes — the lower (long), the body (short ×2) and the upper (long). One wing is deliberately wider.
- Enter the net credit you receive (or a negative number for a net debit).
- Set the contract count, and the implied volatility for the probability of profit.
- Read max profit at the body, max loss on the wider-wing side, the breakeven(s), the no-risk side, and the odds of finishing profitable.
How this calculator works
A broken wing butterfly is the 1-2-1 butterfly — one long lower option, two short body options, one long upper option — but with the wings set to different widths. Narrowing one wing reduces what you pay for the protective long on that side, which is what lets the whole structure be opened for a net credit. That skew also makes the far tail on the narrow-wing side finish flat at the credit, so there is no risk there — all the defined risk lives on the wider-wing side.
Another way to see it: a broken wing butterfly is a wider credit spread financing a narrower debit spread. The bullish put version is a bull-put credit spread (lower strike to body) plus a bear-put debit spread (body to upper strike) — the wide credit side more than pays for the narrow debit side, so you open the whole position for a net credit. The call version mirrors it on the upside.
The math comes straight from the four legs, so it holds for any strikes you enter. Max profit is the narrower wing plus the net credit (or minus a debit), reached only if the stock pins the body strike. Max loss is the wider wing minus the narrower wing, minus the credit — the flat tail on the wider-wing side. A credit structure shows a single breakeven on the risk side; a debit one shows two. The payoff diagram shows the skewed tent: a peak at the body, a capped loss on the wide side, and a flat kept-credit on the no-risk side.
How the probability of profit is calculated
The probability of profit is the model-estimated chance the stock finishes inside the profitable price range at expiration. It uses the implied volatility you enter to build the lognormal distribution of where the stock might land — the same model behind the expected move, the Black-Scholes price and the probability calculator — then sums the probability over the prices where the trade makes money. It is a guide to the odds, not a promise: it assumes you hold to expiration and ignores volatility skew, early assignment and dividends.
Worked example
A fixed, hypothetical illustration — not live market data.
A hypothetical stock trades at $100. You open a bullish put broken wing butterfly: buy the $90 put, sell two $100 puts and buy the $105 put for a $0.50 net credit. The lower wing is $10 wide; the upper wing is $5 wide.
- Max profit: ($5 + $0.50) × 100 = $550 if the stock pins $100.
- Max loss: ($10 − $5 − $0.50) × 100 = $450 — only if the stock falls below $90.
- Breakeven: $94.50 on the downside. There is no upside breakeven — above $105 you simply keep the $50 credit.
- No-risk side: the upside. The trade cannot lose if the stock holds above $105.
- Return on risk: $550 ÷ $450 = 122%.
Common mistakes
- Treating the no-risk side as "can't lose". One side is risk-free; the wider-wing side carries a real, defined loss. Size to that max loss, not the credit.
- Chasing the credit with too wide a broken wing. A bigger credit means a wider risk wing and a larger max loss — the trade-off is rarely free.
- Reading the probability of profit as a guarantee. It is a model estimate from one volatility input; skew and early assignment move the real odds.
- Ignoring assignment on the short body. Two short options sit at the body — an in-the-money body near expiration can be assigned early.
- Forgetting the four-leg commissions. A 1-2-1 butterfly opens four contracts; against a small credit the fees matter.
Frequently asked questions
What is a broken wing butterfly?
A broken wing butterfly is a butterfly with one wing wider than the other: buy one lower-strike option, sell two body-strike options, buy one upper-strike option, all the same type and expiration — but the two wing widths differ. Skewing the wings lets you open it for a net credit (or a smaller debit), and it puts all the defined risk on the wider-wing side, leaving the other side with no risk at all.
Put or call broken wing butterfly — what is the difference?
A put broken wing butterfly is the bullish version: a wider lower wing, opened for a credit, with no risk to the upside — you keep the credit if the stock holds up or rises, and your risk is a fall through the lower wing. A call broken wing butterfly is the bearish mirror: a wider upper wing, no risk to the downside, with risk only on a rally through the upper wing. This calculator does both — use the Put / Call toggle.
How are max profit and max loss calculated?
Max profit is reached if the stock pins the body strike at expiration: it equals the narrower wing plus the net credit you collect (or minus the debit you pay), times 100 per contract. Max loss sits on the wider-wing side and equals the wider wing minus the narrower wing, minus the credit you collected (or plus the debit you paid), times 100. Because both far tails are flat, the trade is fully defined-risk.
Why does a credit broken wing butterfly have no risk on one side?
When you open the structure for a net credit, the side away from the wider wing finishes with every option worthless if the stock moves there — so you simply keep the credit. A put broken wing butterfly keeps its credit if the stock finishes above all the strikes (no upside risk); a call version keeps it below all the strikes (no downside risk). The cost of that free side is the defined loss you carry on the wider-wing side.
What does the probability of profit mean here?
It is the model-estimated chance the stock finishes inside the profitable price range at expiration, computed from the implied volatility you enter using the same lognormal price model behind Black-Scholes and the expected move. It is an estimate, not a prediction: it assumes you hold to expiration and ignores volatility skew, early assignment and dividends. Real outcomes will differ — treat it as a guide to the odds, not a guarantee.
Broken wing vs regular (balanced) butterfly — which should I use?
A regular butterfly has equal wings, is opened for a debit, and carries its defined risk on both sides — best when you expect the stock to pin the body. A broken wing butterfly has unequal wings, is usually opened for a credit, and removes the risk on one side — best when you have a directional lean and want a no-cost or credit entry. For an equal-wing debit butterfly use the balanced Butterfly Spread Calculator instead.
Related tools and guides
For the equal-wing debit version, use the Butterfly Spread Calculator; for the credit-both-sides cousin, the Iron Butterfly Calculator, or build any custom structure in the Payoff Diagram Builder.
Size the body to the move with the Expected Move Calculator, check premium with the IV Rank Calculator, read the odds in full with the Probability Calculator, and look up any term in the options glossary.
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Educational tool only. Nothing here is financial advice. A broken wing butterfly is defined-risk but the wider-wing side can reach its full loss, the short body can be assigned early, and four-leg commissions and bid-ask spreads can be material against a small credit. Size positions accordingly.