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Long Butterfly
指導教授：張上財
班級：碩研財金一甲
學生：郭宜欣
學號：MA180102
Description
 Expected prices in a range of finishing, that
is prices on the ceiling, under the iron
plate, suitable for such transactions.
 A Long Butterfly is a Short Straddle with a
conservative twist! By purchasing two out-ofthe-money options (one Put and one Call) the
investor's maximum risk exposure becomes
definable.
Description
 The profits and risks of such transactions are
limited, when mid - priced index in buying Call
(Put) near finishing, you can get the time value
of the interests, and the longer the time, sold
two units of time value will decrement, the more
conducive to the forward butterfly spread
transactions.
 Therefore, for positions close to the balance
sheet date, the option trade fair start next
month in this way have reasonable profit space.
Long Call Butterfly
 Long butterfly spreads are entered when the
investor thinks that the underlying stock
will not rise or fall much by expiration.
Using calls, the long butterfly can be
constructed by buying one lower striking inthe-money call, writing two at-the-money
calls and buying another higher striking outof-the-money call. A resulting net debit is
taken to enter the trade.
Limited Profit
 Max Profit = Strike Price of Short Call -
Strike Price of Lower Strike Long Call - Net
Premium Paid - Commissions Paid
 Max Profit Achieved When Price of Underlying
= Strike Price of Short Calls
Limited Risk
 Max Loss = Net Premium Paid + Commissions
Paid
 Max Loss Occurs When Price of Underlying ≦
Strike Price of Lower Strike Long Call OR
Price of Underlying ≧ Strike Price of
Higher Strike Long Call
Breakeven Point(s)
 There are 2 break-even points for the
butterfly spread position. The breakeven
points can be calculated using the following
formulae.
 Upper Breakeven Point = Strike Price of
Higher Strike Long Call - Net Premium Paid
 Lower Breakeven Point = Strike Price of Lower
Strike Long Call + Net Premium Paid
For example
Call
Strike Price
Premium
Sell 2
7400
64
Buy 1
7200
132
Buy 1
7600
29
Result
 Max Loss = (132+29)-(64*2)=33
 Max Profit =(7400-7200)-33=167
 Lower Breakeven Point =7200+33=7233
 Upper Breakeven Point =7600-33=7567
Thank you for
your attention !