Broken Wing Butterfly — Strategie de opțiuni

A broken wing butterfly (BWB) is an asymmetric variant of the standard butterfly spread where the wings are not equidistant from the middle strike, creating a directional bias and typically generating a credit at entry rather than a debit. By buying one option at a lower strike, selling two options at a middle strike, and buying one option at a wider (further) higher strike, you create a position with a 'broken' upper or lower wing.

The typical broken wing butterfly is set up as a credit (net credit received at entry), making it a hybrid between an income strategy and a directional bet. The break-even analysis reveals that one side of the position has zero risk—the wider wing covers that direction—while the other side has the gap risk from the asymmetric wing spacing. This structure can generate credit while having no risk on one side, similar to a jade lizard in concept.

Put broken wing butterflies (buying a lower-strike put, selling two middle-strike puts, buying a higher-than-equidistant put) are bullish or neutral, collecting credit for the downside protection while having zero upside risk. Call broken wing butterflies have the opposite orientation. The broken structure means the position is not perfectly market-neutral—it has a directional lean based on which wing is wider.

BWBs are frequently used as earnings plays or for neutral-to-directional income generation. When IV is elevated, the credit from the two sold middle-strike options can be substantial, creating a position that profits from a wide range of outcomes. The key is understanding which direction carries the gap risk and ensuring that risk is acceptable given your market outlook.

Management of broken wing butterflies involves monitoring the gap risk side closely. If the underlying moves toward the gap (the unprotected side), the trade can quickly produce losses that exceed the initial credit. Rolling the threatened side or adding a protective option to convert back to a standard butterfly can manage this risk.