The iron butterfly profits only when implied volatility overprices the move that follows.
OPTIONS STRATEGY · VOLATILITY OCTOBER 2026 Iron Butterfly Options Strategy: IV, Greeks and Real Trades The iron butterfly profits only when implied volatility overprices the move that follows. BY DORIAN IV FALLS 20→15%: +1.58 IV FLAT 20%: +0.70 IV RISES 20→30%: −0.72 DAY 10 MARK AT THE SHORT STRIKE LONG 90 PUT · IRON WING LONG 110 CALL · IRON WING IRON = PUT SPREAD + CALL SPREAD LOSS CAPPED AT −5.62 PUT CREDIT SPREAD CALL CREDIT SPREAD SHORT 100 STRADDLE · CREDIT 4.38 AT EXPIRATION DAY 10 OF 30, BY IV PATH IRON BUTTERFLY BASICS Chart 1 · Iron butterfly basics Credit in, loss capped, profit only near the short strike Short 90/100/110 iron fly, 30 days to expiration, opened at 20% implied volatility for a $4.38 net credit. -6 -4 -2 0 +2 +4 BUY 90 PUT SELL 100 CALL + PUT BUY 110 CALL UNDERLYING AT EXPIRATION ($100 START) MAX PROFIT = NET CREDIT = $4.38 BE 95.62 BE 104.38 PROFIT ZONE = STRIK
Premium research continues below.
Unlock to read the full report, framework, and trade path.