Options strategy tool · SPY & QQQ

Butterfly spread calculator: payoff, max profit, max loss and breakevens

Buy one call, sell two calls at a middle strike, buy one call higher. You pay a small debit and earn the most if price finishes exactly at the middle strike at expiration.

Underlying Price

Edit to the current price.

Days to expiration Implied volatility %

Contracts Premiums Use my own prices

Net—

Max profit—

Max loss—

Breakeven(s)—

Chance of profit*—

Reward : risk—

Price at expiration — → P/L —

At expirationEstimated value todayCurrent price

*Model estimate of finishing profitable at expiration, using a lognormal price distribution from the implied volatility above. Ignores skew, dividends and early assignment.

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How a long call butterfly is built

Buy 1 call (K1), sell 2 calls (K2), buy 1 call (K3), same expiration, with K2 − K1 = K3 − K2.

Max loss: Net debit paidMax profit: (K2 − K1) − net debit, at K2Breakevens: K1 + debit · K3 − debit

Example. SPY near 775: buy 770 call, sell two 775 calls, buy 780 call for a $1.60 debit. Max loss $160; max profit (5 − 1.60) × 100 = $340 at 775; breakevens $771.60 and $778.40 (illustrative numbers).

Benefits

Very low cost with a defined maximum loss.
Large reward-to-risk ratio if price pins the middle strike.
Profits from time decay as expiration approaches while price is near the body.
Can target a specific level, such as a round number or a heavily watched price.

Risks and trade-offs

The profit zone is narrow; the maximum is reached only at the middle strike.
Probability of a big win is low even though the payoff ratio is high.
Three strikes and four contracts raise commissions and slippage.
Early assignment of the short calls is possible.

When traders use it

Traders consider a butterfly when they expect price to settle near a specific level by expiration and want a cheap, defined-risk way to express it.

SPY and QQQ specifics

SPY and QQQ options are American-style, so short legs can be assigned before expiration, particularly when they are in the money or ahead of an ex-dividend date. Both have very liquid option chains, tight bid/ask spreads and expirations every trading day, which matters for multi-leg strategies where each leg adds slippage. Strikes are in $1 increments near the money. Check current implied volatility and liquidity before relying on any estimate here.

Frequently asked questions

What is a butterfly spread?

A three-strike options position, most commonly buy 1 / sell 2 / buy 1 calls (or puts) at equally spaced strikes. It pays the most if the underlying finishes at the middle strike.

What is the max profit on a butterfly?

The wing width minus the debit, times 100 per contract, at the middle strike at expiration.

What is the max loss on a long butterfly?

The net debit paid.

Call butterfly or put butterfly?

With equal strikes they have similar payoffs. Traders often choose whichever has the tighter bid/ask or lower cost.

Know the map before you choose the contract.

The overnight ES/NQ structure, key levels and catalysts, in SPY and QQQ terms, before the 9:30 ET open.

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Educational payoff arithmetic only. Premiums are model estimates (Black-Scholes, no dividends or skew) unless you enter your own, and real fills, commissions and early assignment will differ. Options involve risk and are not suitable for all investors. LiquidityLevels provides educational market commentary, not financial advice or a recommendation to trade any strategy.