Butterfly Spread Screeners
Our four butterfly screeners list call and put butterflies on the stocks we track: debit butterflies that sell two at-the-money options and buy the outer strikes, and credit butterflies that do the reverse. Each row shows the market price, max gain and loss, two breakevens, and a theoretical value, edge and win rate from the stock's past moves. Premium and Premium Options members get the full lists and the filters; everyone else sees the first 10 rows.
What are butterfly spread screeners?
A butterfly uses three strikes of the same expiration, all calls or all puts: a low strike, a middle strike near the stock price, and a high strike. A debit butterfly buys one low and one high option and sells two at the middle strike; it pays the most if the stock ends at the middle strike. A credit butterfly is the reverse: it sells the low and high options and buys two at the middle, and it does best when the stock moves well away from the middle strike. Our four butterfly screeners list these spreads on the stocks we track, with their cost or credit, their risk and how they would have done in the stock's past moves.
How the butterflies are priced and compared
- Four screeners. Call Butterflies and Put Butterflies [Short ATM, Long OTM] are debit butterflies: they sell two at-the-money options and buy the outer strikes. Call Butterflies and Put Butterflies [Long ATM, Short OTM] are credit butterflies: they buy two at-the-money options and sell the outer strikes.
- Which stocks. Stocks with active options: at least 1,000 option contracts traded today, or an average of 800 a day over the last 90 days. Expirations go out about 18 months.
- Market Price. The net debit or credit at current prices; each leg's bid and ask are in the table too. For a debit butterfly it is also the most you can lose. For a credit butterfly the most you can lose is the distance between the middle and outer strikes minus the credit.
- Risk profile. Max Gain, % Max Gain (max gain as a percentage of the max loss), Max Loss, and two breakeven prices, one below and one above the middle strike.
- Theoretical value and edge. We look at how the stock moved over past periods as long as the time left to expiration, 4 years of history by default (2 or 6 to choose), matched for earnings. Theo. Value is what the butterfly was worth on average at the end of those periods, and Theo. Edge is the average gain or loss at today's price as a percentage of the amount at risk; positive, in green, is in the trader's favor. These columns are filled in for expirations up to about 8 months out.
- Win rate. % Win Rate is the share of those past periods in which the butterfly, at today's price, would have made money by expiration.
- Scenarios. The Strategy Payoffs tab shows the return if the stock is flat at expiration, after its average up or down move over the same holding period, and after a move up or down the size of the at-the-money straddle's price (the ±1 standard deviation columns).
- Updates. We rebuild the rows every few minutes during the trading day, starting about 20 minutes after the 9:30 AM ET open. Before the open, and on weekends and holidays, the page shows the last trading day, with its date above the table.
Theoretical values and win rates come from the stock's past moves, which may not repeat. They are not forecasts.
What you can find out
Which butterflies pay the most if the stock stays near its price?
Use a debit butterfly screener and sort by % Max Gain, or check % Return if Stock Flat on the Strategy Payoffs tab. Open Call Butterflies [Short ATM, Long OTM]
Which butterflies profit from a big move either way?
The credit butterfly screeners list butterflies that collect a credit and do best when the stock ends well away from the middle strike, beyond either breakeven. Open Call Butterflies [Long ATM, Short OTM]
Which butterflies are priced well against their past results?
Sort by Theo. Edge, or set the Theoretical Edge filter to a minimum. Show Best Only can keep the best butterfly for each stock by edge, win rate or return if the stock is flat. How theoretical edge is worked out
Where does a butterfly break even?
Breakeven Price Low and Breakeven Price High are the stock prices at expiration where the butterfly neither makes nor loses money, one on each side of the middle strike. Open Put Butterflies [Short ATM, Long OTM]
Is there earnings or a dividend before expiration?
The Earnings Date, Ex-Dividend and Company Event filters keep or drop butterflies with an event before expiration, and the Events tab shows the next earnings and ex-dividend dates. How earnings affect option prices
Where to find it
Menu: Screeners › For Premium Users › Butterfly Screeners, then one of the four call or put butterfly screeners, or go straight to /Screeners/CallButterflySpreads, /Screeners/PutButterflySpreads, /Screeners/ShortCallButterflySpreads or /Screeners/ShortPutButterflySpreads. The table opens on the Summary tab, largest companies first, for the next monthly expiration.
Premium and Premium Options members see the full lists, 25 rows to a page, and can use the filters, search, sorting and the download. Everyone else sees the first 10 rows, without filters or search.
What the columns mean
| Column | What it shows |
|---|---|
| Symbol, Stock Price, % Chg, Market Cap | The stock, its price and change today, and the company's market value |
| Market Price | The net debit paid or credit received at current prices |
| Theo. Value, Theo. Edge, % Win Rate | From the stock's past moves over the same holding period: average value, edge as a percentage of the amount at risk, and how often it won |
| Analysis | The breakdown behind the theoretical value |
| Low, ATM and High Strike, Bid, Ask | Each leg, marked Buy or Sell; the at-the-money leg is traded 2 times |
| Expiration | The expiration date of all the options |
| Max Gain, % Max Gain, Max Loss | The most the butterfly can make or lose at today's price, and the gain as a percentage of the loss |
| Breakeven Price Low, High | The stock prices at expiration where the butterfly breaks even, below and above the middle strike |
| Other tabs | Events, market data, technicals, the stock's past return distribution and payoff scenarios |
FAQ
- What is the difference between a debit and a credit butterfly?
- A debit butterfly buys the outer strikes and sells two at the middle strike; it pays the most when the stock ends at the middle strike and risks the debit. A credit butterfly does the opposite: it collects a credit, does best when the stock ends beyond either breakeven, and loses the most at the middle strike.
- What do Short ATM, Long OTM and Long ATM, Short OTM mean?
- Which side of the trade the at-the-money options are on. Short ATM screeners sell two at-the-money options and buy the outer strikes, a debit butterfly; Long ATM screeners buy two at-the-money options and sell the outer strikes, a credit butterfly.
- How is the max loss worked out?
- For a debit butterfly it is the debit paid. For a credit butterfly it is the distance between the middle strike and an outer strike, minus the credit received.
- How is the theoretical value worked out?
- From how the stock moved over past periods as long as the time left to expiration, 4 years of history by default, with periods matched for earnings. It is the butterfly's average value at the end of those periods, at today's strikes and stock price.
- Who can use the butterfly screeners?
- Premium and Premium Options members, with all the filters, search, sorting and the download. Everyone else sees the first 10 rows, without filters or search.
- Is a butterfly with positive edge a recommendation?
- No. Edge and win rate come from the stock's past moves, which may not repeat.
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Butterfly spread At the money (ATM) Breakeven Win rateMarket Chameleon provides data, not investment advice.