What is the win rate of an iron butterfly?

In the illustrative 60-cycle backtest, an ATM iron butterfly closed at 25% of max profit wins roughly 62% of the time. That is lower than an iron condor because the profit zone is narrower — the short strikes sit at the money rather than out of the money — but the credit collected is roughly twice as large.

Is an iron butterfly better than an iron condor?

They are two points on the same risk curve. The iron butterfly collects about twice the credit of a comparable condor but needs the stock to pin near the short strikes, so it wins less often and gets tested more. The iron condor has a wider profit zone, a higher win rate, and a smaller credit. The illustrative results show the condor wins more cycles while the iron fly earns more per winner.

How wide should iron butterfly wings be?

Wider wings collect more credit but increase max loss; narrower wings cap risk but pay less. In the illustrative test, wings around one expected-move width balanced credit against defined risk best. The wings only define the maximum loss — the trade still lives or dies on whether the stock stays near the short strikes.

When should you exit an iron butterfly?

Earlier than a condor. Because the short strikes are at the money, the position is gamma-sensitive and a profit can evaporate quickly. The illustrative backtest found taking profit at 25% of max — rather than the 50% used for condors — produced the best risk-adjusted result, alongside managing at 21 DTE.

What is an iron butterfly made of?

An iron butterfly is a short ATM straddle (sell the at-the-money put and call) plus protective long wings (buy a further OTM put and call). The wings make the risk defined. It profits most when the stock expires right at the short strikes and IV contracts.

Strategy Deep-Dive

Iron Butterfly Backtest: 60 Cycles, More Credit, Less Room

ATM short straddles wrapped in protective wings. Win rate by wing width, the exit rule that fits a gamma-heavy structure, and how the iron fly trades roughly double the condor's credit for a much narrower profit zone.

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

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Cycles

ATM, 30-45 DTE

Win Rate

62%

25% profit close

Net per Cycle

+$40

~2× condor credit

Max Drawdown

-20%

2022 vol expansion

The Test Setup

Underlying: SPY, entered when IV rank was above 40 (the structure needs rich ATM premium).

Structure: iron butterfly — sell the ATM put and call (short straddle), buy further-OTM protective wings. Defined risk; maximum profit when the stock expires right at the short strikes.

Entry: 30–45 DTE, short strikes at the money, wings tested from tight to wide.

Management tested: hold to expiration; close at 21 DTE; close at 25% of max profit; close at 25% + manage at 21 DTE.

Period: January 2020 – December 2024, sampled to 60 cycles.

Win Rate by Wing Width

Wing Width	Win Rate	Avg Credit	Max Loss	Net / Cycle
Narrow (½ exp. move)	64%	$240	-$260	+$28
~1 expected move ★	62%	$420	-$580	+$40
Wide (1.5× exp. move)	61%	$560	-$940	+$36

Wing width is purely a risk-vs-credit dial — it barely moves the win rate, because the trade is decided by whether the stock pins the at-the-money short strikes. Roughly one expected-move width balanced credit against capped loss best.

Exit Rules: Take Profit Earlier Than a Condor

Exit Rule	Win Rate	Net / Cycle	Max Drawdown
Hold to expiration	48%	+$12	-34%
Close at 21 DTE	58%	+$30	-24%
Close at 25% max	62%	+$40	-20%
25% max + 21 DTE	61%	+$42	-16%

Because the short strikes are at the money, the iron fly is gamma-heavy — an open profit can vanish in a single session. Taking profit at 25% of max (not the 50% used for condors) and managing at 21 DTE produced the best outcome in the illustrative test.

Iron Butterfly vs Iron Condor

Structure	Short Strikes	Credit	Win Rate	Profit Zone
Iron butterfly	At the money	~2×	62%	Narrow
Iron condor	16-20 delta OTM	1×	70%	Wide

Same family, opposite trade-offs. The iron fly maximizes credit and minimizes the profit zone; the iron condor does the reverse. Choose the fly when you have a strong pin thesis and high ATM premium; choose the condor when you just want range-bound theta with more room for error.

Anatomy of the Worst Cycle (2022)

An ATM SPY iron butterfly sold for $4.20 credit into mid-2022's elevated IV. A sustained leg lower pushed the stock more than an expected move below the short strikes within two weeks, and the gamma-heavy position swung to near max loss fast. Held to expiration it realized roughly -$560; the 25%-profit-and-21-DTE rule would have closed it for a far smaller loss had the move come later in the cycle.

The iron fly's narrow zone is unforgiving in a trending vol expansion. Wings cap the loss, but the at-the-money short strikes mean you are tested almost immediately when the stock moves.

Five Takeaways

Sell the ATM straddle, buy the wings. Roughly double a condor's credit for a much narrower profit zone.
Only enter on high ATM premium. IV rank above 40 — the structure needs rich at-the-money premium to be worth the tight zone.
Take profit at 25%, not 50%. The gamma-heavy ATM position can give an open profit back in a day. Bank it earlier than a condor.
Size wings to ~1 expected move. Wing width is a risk dial, not a win-rate lever.
Prefer the condor without a pin thesis. If you just want range-bound theta with room for error, the wider condor wins more often.

Map the zone before you sell it

Set the body and wings, see max profit, max loss, and the break-even band on the calculator.

Butterfly & Iron Fly Guide Butterfly Calculator