Simulated data for display.
Illustrative narrative based on typical butterfly mechanics — not a verified live backtest. Build real backtests on the strategy builder.
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Butterfly Spread Backtest: 80 Trades, Low Win Rate, Big Payoffs
Long ATM call butterflies — the opposite profile from selling premium. Low hit rate, winners that pay multiples of a small defined cost, and how adjusting into a broken-wing butterfly lifts the win rate.
The sample
Eighty long flies,
and what they paid.
Two numbers set the whole page up, and they only make sense together: the hit rate is low, and the winners pay a multiple of a small defined cost.
80Trades, long ATM fly
31%Win rate, standard fly
+320%Avg winner, of debit
-79%Avg loser, of debit blended
On this page
The test setup
- Underlying
- SPY and large-cap names with liquid, penny-wide chains.
- Structure
- Long call butterfly — buy one lower call, sell two body calls, buy one higher call. Wings 5 points wide and equidistant, average debit $0.55. Defined, small cost; maximum payoff if the stock pins the body strike at expiration.
- Entry
- Body strike placed at a magnet level (high open interest or round number), 14–21 DTE, into low realized volatility.
- Variants compared
- Standard symmetric fly vs broken-wing fly (further wing shifted out to take in a credit / remove one side's risk).
- Period
- January 2021 – December 2024, 80 trades.
The payoff math behind every number here
A symmetric long butterfly is three strikes: buy one at K1, sell two at the body K2, buy one at K3, with equidistant wings so that K2 − K1 = K3 − K2 = W, opened for a net debit D per share. Every result on this page falls out of four expressions:
- Max profit
- (W − D) × 100 — and only if the stock finishes exactly at K2.
- Max loss
- D × 100 — the entire debit, paid whenever the stock finishes at or beyond either wing.
- Lower breakeven
- K1 + D.
- Upper breakeven
- K3 − D.
Worked through on round numbers — buy the 95 call, sell two 100 calls, buy the 105 call, for a $1.00 net debit:
| Term | Input | Calculation | Result |
|---|---|---|---|
| Lower wing K1 | 95 | long 1 call | — |
| Body K2 | 100 | short 2 calls | — |
| Upper wing K3 | 105 | long 1 call | — |
| Wing width W | 5.00 | K2 − K1 = K3 − K2 | equidistant |
| Net debit D | 1.00 | paid to open | — |
| Max profit | at 100 | (5.00 − 1.00) × 100 | $400 |
| Max loss | at or outside 95 / 105 | 1.00 × 100 | $100 |
| Lower breakeven | K1 + D | 95 + 1.00 | 96.00 |
| Upper breakeven | K3 − D | 105 − 1.00 | 104.00 |
$100 at risk for up to $400, inside an 8-point profit zone — 96.00 to 104.00 — cut out of a 10-point structure. That 4:1 shape is what makes a sub-50% win rate survivable. The catch is in the same table: the full $400 only lands if the stock settles precisely on 100, which is exactly why the hit rate is 31% and not 60%.
The 80-trade sample below runs the same formulas on 5-point SPY wings at an average $0.55 debit: max profit (5.00 − 0.55) × 100 = $445, max loss $55, and a profit zone running 4.45 points either side of the body. Note the direction of that ratio before you get excited by it — a cheaper fly is a bigger multiple, not a better trade, because a fly is cheap precisely when the market thinks the body is unlikely.
The payoff distribution is the whole story
| Outcome | Frequency | Avg result | Driver |
|---|---|---|---|
| Pin near body | 31% | +320% of debit | Stock parks at the strike |
| Drift, partial value | 22% | -35% of debit | Close to a wing at expiry |
| Move away | 47% | -100% of debit | Trends past a wing, fly worthless |
A long butterfly loses small and often, and wins big and rarely. Blend the three rows and the average loser costs -79% of the debit against a +320% average winner — roughly 4:1, which is what carries a 31% hit rate to an illustrative expectancy of about +45% of the debit per trade.
Two things do most of the damage to that number in practice. The edge sits in a handful of clean pins, so a run of twenty trades can easily contain none of them; and four legs in plus four legs out costs 10–20% of a small debit in commission and slippage before the position has done anything at all. In trending regimes the same table turns negative. Size it as a cheap lottery on a specific price, not as a core position.
Adjusting into a broken-wing butterfly
The top search interest in butterflies is the broken-wing adjustment — and for good reason. Move the outer long option on one side further from the body and that leg gets cheaper, which is what turns the net debit into a small credit or zero cost. The consequence is deliberately lopsided: the side you widened now carries the position's maximum loss, while the opposite, narrow-wing side becomes zero-or-positive P&L — if the stock finishes past that wing every leg expires worthless and you simply keep the credit. You give up the symmetric peak payoff in exchange for a higher probability of a positive outcome.
| Structure | Win rate | Avg winner | Risk profile |
|---|---|---|---|
| Standard long fly | 31% | +320% of debit | Small debit, both sides at risk, max loss = the debit |
| Broken-wing fly ★ | 45% | +180% of risk | Opened for a credit; nothing lost past the narrow wing, max loss on the wide-wing side |
How to skew it: widen the wing on the side you least mind being wrong about, because that is the side that will hold the max loss. A bullish lean is therefore a put broken-wing with the wide wing below the body: a rally leaves every put worthless and you keep the credit, so the upside is free, and the defined loss sits underneath. A bearish lean is the mirror image with calls and the wide wing above.
Be honest about the trade you just made. A symmetric fly can only ever lose its small debit. A broken-wing gives that up: the credit is tiny, and the defined loss waiting on the wide-wing side is usually a large multiple of what the symmetric version would have cost. The 45% hit rate above is bought with a fatter loser, not with free money. See the full mechanics on the broken-wing butterfly guide, or grab the one-page adjustments cheat sheet.
Map the body and the wings before you pay the debit. Profit zone, breakevens and max payoff, including a broken-wing skew.
Open the butterfly calculatorOne trade, in full
Anatomy of the best trade
(a clean pin).
A SPY call butterfly with 5-point wings, opened ATM for a $0.55 debit into a quiet, low-realized-vol week, body strike sitting on a high-open-interest level. Straight from the formulas above: $445 maximum profit, $55 maximum loss, breakevens 4.45 points either side of the body. The stock chopped sideways all week and pinned the body into the final session; the fly was closed at $2.85 for a +418% return on the debit.
Notice what the best trade in the sample was not. Even a clean pin banked about half the theoretical $445, because the last of a butterfly's value only appears in the closing minutes and nobody reliably sells the top tick. One pin like this still pays for four full-debit losers. That is exactly why the structure survives a 31% win rate — the asymmetry, not the hit rate, is the edge.
Five takeaways
What the sample says,
stripped to five lines.
- Expect to lose most of the time. A long fly wins ~31% of trades. The asymmetry of the winners is the edge, not the win rate.
- Place the body on a magnet. High open interest or round numbers pin more often than random strikes.
- Trade it in quiet regimes. Low realized vol and no catalyst. Trending markets are where flies go to expire worthless.
- Use the broken wing to raise the hit rate, knowingly. Skewing for a credit makes the narrow-wing side zero-or-positive and lifted the win rate to ~45% in the illustrative test, but it parks a much larger defined loss on the wide-wing side than a symmetric fly's debit.
- Size it as a lottery, not income. Small defined debit, many tickets. Never let a fly be a core position.
Keep reading
The rest of the
butterfly family.
Butterfly spread guideLong, iron and broken-wing in one place.
Broken-wing butterflyThe skewed, credit variant, in full.
Adjustments cheat sheetOne page on skewing a fly you are already in.
Butterfly calculatorWings, body and the max profit zone.
Backtest narrative is illustrative — built from typical butterfly mechanics and historical regimes, not from live broker fills. Past performance, simulated or real, does not predict future results. See methodology.
The asymmetry is the edge.
Price it before you buy it.
The Terminal prices a fly on the live chain: the profit zone, the breakevens, the payoff at every strike and what the body is really worth. Run it on AAPL without an account.
Real market data, not a sandbox. See it live on AAPL.