Butterfly spread screener

Supported filters

Max loss ($)

The most the butterfly can lose, per spread. For evenly spaced wings this is the debit. The Long Call Butterflies for Pinning preset caps it at $150, keeping every result a small, defined bet.

Return on risk (%)

Max profit divided by max loss. Sort by it to see the biggest payouts relative to cost, but read it next to probability of profit, because the richest ratios usually belong to bodies away from the stock.

Max profit ($)

The payout at the middle strike, per spread. A minimum such as $200 filters out narrow butterflies whose best case is too small to be worth four commissions.

Distance OTM (%)

Distance from the stock to the middle strike, the anchor leg; out of the money is positive. A range such as -2% to 2% keeps the body near the stock. For a call butterfly positive means the body is above the stock; for a put butterfly, below it.

Distance to breakeven (%)

Distance from the stock to the nearer breakeven. With the body at the stock, this is how far the stock can move before the butterfly loses money at expiration.

Probability of profit (%)

Model-estimated probability the stock finishes between the two breakevens. Butterflies often land in the 20% to 45% range; the trade relies on a large payout when it works.

Expected value ($)

Probability-weighted profit and loss per butterfly under the pricing model. Useful for ranking a list of high-ratio butterflies against each other, not as a promise of edge.

Days to expiration (days)

Days to expiration. The butterfly's value builds mostly in the final weeks, so the preset uses 7 to 30 days; longer butterflies are cheaper per dollar of payout but change value slowly.

IV rank

Where implied volatility sits in its one-year range. The short middle options are worth more when volatility is high, which lowers the debit for the same strikes.

Earnings

Exclude earnings before expiration. A butterfly is a bet that the stock stays near one price, and a report is the most common reason it does not.

Total option volume

Total option volume across the chain. Strikes close together need an active chain to have usable quotes at every one of them.

Bid-ask spread ($) ($)

The widest bid-ask spread of the three strikes, in dollars. On a butterfly that costs $1.20, a $0.20 spread on each leg can move the debit by a meaningful fraction.

Screening walkthrough

1. 1. Cap the debit first

   Set max loss to a small figure, such as $150, as the Long Call Butterflies for Pinning preset does. A butterfly is a precise bet that loses the full debit more often than not, so the size of that debit matters more than the size of the payout.

2. 2. Put the body where you expect the stock to be

   Use distance OTM to place the middle strike. A range around 0 finds butterflies centered on the current price, for a bet that the stock stays put. A call butterfly with a body 3% to 6% out of the money, or a put butterfly with the same range below the stock, is a cheaper bet on a move to a target.

3. 3. Keep it short-dated and event-free

   Set days to expiration to 7 to 30 and turn on the earnings exclusion. The payout curve of a butterfly sharpens in the final weeks, and a report inside the window makes a pin unlikely.

4. 4. Sort by payout, then check probability

   Sort by return on risk and add the probability of profit and breakeven columns. A 600% return on risk with a 15% probability of profit is a long shot; 250% with 40% is a more centered bet. Neither is better in general; decide which one matches the view you have.

5. 5. Re-run with conservative pricing

   Switch to conservative pricing to buy each wing at the ask and sell the body at the bid. On a four-contract trade this can raise the debit by a large fraction, and the return on risk falls accordingly. Butterflies that still look good under conservative pricing are the ones worth opening.

Limitations and risks

• All figures are at expiration. Before then, a butterfly with the stock at the body is usually worth well under its max profit, because the short options still hold time value.
• A close near the middle strike on expiration day creates pin risk: the short options may or may not be assigned. Close the spread before the end of the last session rather than letting it settle.
• On an unevenly spaced butterfly one side can lose more than the debit. Read the max loss column, not the debit, for those rows.
• Probability of profit and expected value are model estimates derived from option prices using a lognormal model with the stock's at-the-money implied volatility.
• Quotes are refreshed intraday and are a snapshot, not a live feed. Three strikes and four contracts make the difference between mid and conservative pricing large. The screener does not place orders or send alerts.

Frequently asked questions

Does the screener find put butterflies as well as call butterflies?

Yes. Call butterflies and put butterflies are separate strategies in the scanner, with the same filters. The Pinning preset opens call butterflies; switch the strategy to run the same scan on puts.

Which strikes does the screener use?

Middle strikes near the money, roughly 0.35 to 0.65 delta, with wings one or two strikes away on each side. That includes evenly spaced butterflies and ones with one wing wider than the other.

Why is the return on risk so high?

The payout needs the stock to finish near one price, which is unlikely. A 300% return on risk with a 30% probability of profit is the normal tradeoff for the strategy, not a mispricing.

Is a butterfly the same as an iron butterfly?

They have a similar payoff shape. A long call or put butterfly is bought for a debit using one option type. An iron butterfly sells an at-the-money straddle and buys wings for a credit. The screener covers long call and put butterflies.

Which preset should I start with?

Long Call Butterflies for Pinning: a max loss of $150 or less, 7 to 30 days to expiration, total option volume of 5,000 or more, and a bid-ask spread of $0.50 or less, sorted by return on risk.

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