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Broken Wing Butterfly Calculator

Model your BWB before you place it. Enter your strikes and premiums to instantly see max profit, max loss, breakeven, and a full P&L diagram for your broken wing butterfly position.

Asymmetric Wings Often Entered for Credit Defined Risk Interactive P&L Diagram
Black-Scholes-Merton pricing with dividend yield; American-style early exercise available below.

Underlying Asset

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Strategy Template (optional, pre-fills legs below)

Option Legs

Implied volatility is solved automatically from the premium you enter (still editable). Legs with different expirations are supported (calendar spreads). Fetch a price above to pick strikes and premiums from the live option chain.

Getting Started

How to Use This Calculator

Enter your four option legs and the calculator handles the rest. Results update instantly as you type.

1

Pull current market data (optional)

Type a ticker like AAPL and click Get Price. The calculator fills in the current stock price, dividend yield, and the risk-free rate from the 13-week T-bill, then loads the option chain so you can pick actual strikes and premiums.

2

Set up your broken wing butterfly legs

The broken wing butterfly legs are preloaded for you. Pick each strike, expiration, and premium straight from the option chain, or type your own numbers. The calculator works out implied volatility from the premium you enter, and you can still edit it.

3

Calculate and read the results

Click Calculate P&L to see max profit, max loss, breakeven, return on risk, and probability of profit, plus position Greeks: delta, gamma, theta, vega, and rho.

4

Stress test before you trade

Drag the view-date slider to see your P&L curve on any day before expiration, shift implied volatility up or down 50 points, and scan the price-by-date P&L table to see how the trade behaves across scenarios.

This broken wing butterfly calculator prices each leg with your choice of an American-style binomial model (the default for US equity options) or European Black-Scholes-Merton, and accounts for dividend yield. You can set a per-contract commission, copy a shareable link to your exact setup, download the chart as a PNG, and switch to dark mode.

Strategy Breakdown

Understanding the Broken Wing Butterfly

Key numbers every BWB trader needs to know before entering the position.

Max Profit
Stock at Short Strike at Expiry
Maximum profit occurs when the stock closes exactly at the short strike at expiration. The two short options expire worthless and the lower long option captures the full lower wing width, plus any net credit received to enter the spread.
Upside Max Loss
Wing Difference × 100 − Net Credit
If the stock rallies far above the upper strike, max loss equals the difference between the two wing widths multiplied by 100, minus the net credit received. This is the cost of the asymmetric structure — wider upside wing means more upside risk.
Downside (Below Lower Strike)
Keep Net Credit
When entered for a net credit (the most common setup), the BWB keeps that credit if the stock falls below the lower long strike. This is a key advantage over a standard butterfly, which loses the full debit paid on a downside move.

The broken wing butterfly gets its name from the intentionally asymmetric wing structure. A standard butterfly has equal wing widths on both sides of the short strike. A BWB skips a strike on one side — the “broken” wing — making that side wider. This extra width means you collect more premium from the two short options than you pay for the long options, often resulting in a net credit entry.

For a call BWB, the risk is on the upside. If the stock rallies significantly past the upper long strike, the wider upper wing creates a loss zone. The downside, however, is friendly — if the stock stays below the lower long strike, you keep the credit with no further loss. This makes call BWBs well-suited for traders who are neutral to slightly bearish, or who want a position that profits from stability while limiting downside risk.

The ideal outcome is for the stock to settle right at the short strike at expiration, capturing the full profit of the lower wing width plus the initial credit. Most traders use BWBs in high implied volatility environments where the credit received is meaningful enough to justify the upside risk, and where the stock is expected to drift sideways or lower into expiration.

Worked Example

Broken Wing Butterfly Example Trade

XYZ is at $100. Buy 1 $95 call for $6.50, sell 2 $100 calls for $4.00 each, buy 1 $110 call for $1.00. Net credit: $0.50.

Position Summary (Call BWB)
Stock Price$100.00
Lower Long Call (buy 1)$95 strike — paid $6.50 (−$650)
Short Calls (sell 2)$100 strike — received $4.00 × 2 = +$800
Upper Long Call (buy 1)$110 strike — paid $1.00 (−$100)
Net Credit+$0.50 / share (+$50)
Lower Wing Width$5.00 ($100 − $95)
Upper Wing Width$10.00 ($110 − $100) — the broken wing
Max Profit+$550 (stock at $100 at expiry: $500 + $50 credit)
Upside Max Loss−$450 (stock far above $110: $500 wing diff − $50 credit)
Below $95 at ExpiryKeep $50 credit — no further loss
Upper Breakeven~$105.50 ($110 − $5 wing diff + $0.50 credit)
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FAQ

Broken Wing Butterfly — Common Questions

A broken wing butterfly (BWB) is a modified butterfly spread where the two wings are unequal widths. A standard butterfly has equal distances on both sides of the short strike. In a BWB, one wing is intentionally placed further out — the “broken” wing — creating an asymmetric structure. This asymmetry often allows the spread to be entered for a net credit rather than a debit. The trade-off is greater loss potential on the wider wing side if the stock moves strongly in that direction at expiration.
The maximum profit on a broken wing butterfly is achieved when the stock closes exactly at the short strike at expiration. At that point, the two short options expire worthless and the lower long option has intrinsic value equal to the lower wing width. Max profit equals the lower wing width multiplied by 100, plus any net credit received when entering the spread. For example, with a $5 lower wing and $0.50 net credit, max profit is ($5 × 100) + $50 = $550 per spread.
A BWB has two different risk zones. On the downside, if entered for a net credit, there is no loss — you simply keep the credit if the stock stays below the lower long strike. On the upside, if the stock rallies far past the upper long strike, the max loss equals the wing width difference multiplied by 100 minus any net credit received. For example, with a lower wing of $5, an upper wing of $10, and a $0.50 credit, the upside max loss is ($10 − $5) × 100 − $50 = $450.
When entered for a net credit, a call BWB has a single upper breakeven point. The lower side is profitable at all stock prices below the lower long strike. The upper breakeven is approximately the upper long strike minus the wing width difference plus the net credit per share. Using the example of $95 lower, $100 short, $110 upper, and $0.50 credit: upper breakeven is approximately $110 − ($10 − $5) + $0.50 = $105.50. The stock can rise up to about $105.50 before the position stops being profitable.
A standard butterfly uses equal wing widths and is typically entered for a net debit. If the stock moves far in either direction, both options expire worthless and you lose the full debit. A broken wing butterfly uses unequal wings, usually allowing a net credit entry. When entered for a credit, the downside scenario becomes profitable (you keep the credit) rather than a loss, but you accept greater loss potential on the wider wing side. This makes the BWB more forgiving on one side while concentrating risk on the other.