What is the win rate of a long butterfly spread?

Low — around 31% in the illustrative 80-trade backtest. A long butterfly is a low-probability, high-payoff structure: most trades expire away from the body and lose part or all of the small debit, but the occasional pin near the body strike pays a large multiple of the cost. Expectancy is only positive in low-realized-volatility, pinning regimes.

How big is a butterfly's payoff when it wins?

In the illustrative test the average winner returned roughly +320% of the debit, while the average loser was about -100% (the full debit). That asymmetry is the entire point: you risk a small, defined cost for a shot at a payoff several times larger if the stock pins the body strike near expiration.

How do you adjust a butterfly into a broken-wing butterfly?

Widen one wing relative to the other so the structure takes in a credit or removes risk on one side. A broken-wing butterfly shifts the further wing out, eliminating the loss on that side (you keep a credit or pay nothing there) in exchange for a wider profit zone but uneven max profit. In the illustrative results, the broken-wing variant raised the win rate to about 45% by removing one tail of risk.

When is the best time to trade a butterfly?

When you expect the stock to be quiet and pin near a target price into expiration — low realized volatility, no upcoming catalyst, and a clear magnet level such as a high-open-interest strike or round number. Butterflies do worst in trending or high-volatility regimes where the stock keeps moving away from the body.

Are broken-wing butterflies better than standard butterflies?

They trade a cleaner risk profile for a less symmetric payoff. By skewing the wings to take in a credit and remove one side's risk, a broken-wing butterfly raises the win rate and can profit even if the stock drifts in the favorable direction — at the cost of a lower peak payoff than a tight standard fly that pins perfectly.

Strategy Deep-Dive

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.

Simulated data for display. Illustrative narrative — not a verified live backtest. Build real backtests on the strategy builder.

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Trades

long ATM fly

Win Rate

31%

standard fly

Avg Winner

+320%

of debit

Avg Loser

-100%

full debit

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. Defined, small debit; 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 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. Expectancy is barely positive in pinning regimes and negative in trending ones — this is a tail-payoff trade, not an income trade. 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. By widening the far wing, the structure takes in a credit (or pays nothing) and removes the loss on one side. You give up the perfectly 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
Broken-wing fly ★	45%	+180% of debit	Credit or zero cost; one side has no risk

How to skew it: if you lean slightly bullish, push the upper wing further out so the upside is "free" — the position profits if the stock pins the body or drifts up, and only the downside carries defined risk. The broken-wing variant trades peak payoff for a meaningfully higher hit rate. See the full mechanics on the broken-wing butterfly guide, or grab the one-page adjustments cheat sheet.

Anatomy of the Best Trade (A Clean Pin)

A SPY ATM butterfly opened for a $0.45 debit into a quiet, low-realized-vol week, body strike on a high-open-interest level. The stock chopped sideways and expired within a point of the body. The fly settled near its peak value of roughly $1.90 — a +320% return on the small debit.

One clean pin pays for several 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

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. Skewing for a credit removed one side's risk and lifted the win rate to ~45% in the illustrative test.
Size it as a lottery, not income. Small defined debit, many tickets. Never let a fly be a core position.

Map the wings before you buy

Set the body and wings, see the profit zone and max payoff, and test a broken-wing skew on the calculator.

Butterfly Guide Butterfly Calculator