Anyone else trade SPX broken-wing butterflies? Here’s the structure I use

I mostly trade income trades on SPX because it removes a few headaches (I moved out from SPY): it’s cash-settled, so there’s no early assignment surprises. The structure I use, which is called SPX Best (by myoptionsedge), combines a broken wing butterfly with a vertical spread. The butterfly (with one wing wider than the other) has, by definition, defined risk and positive theta, so it earns as time passes while the SPX stays inside the structure (the negative of this strcuture is that it is Vega negative - this is an issue when there are corrections/IV increases). The uneven wings deliver a credit at open. It is positioned that to the upside has no risk and has a maximum loss you can see before you enter it. Adding a vertical (a short call spread) placed above the SPX price as a “soft hedge”, brings in a little extra credit and adds some negative delta to offset the butterfly’s directional lean (+Delta), with its own risk still capped. The trade-off is that you give up big upside in exchange for predictability. The trade adjustments are flexible enough to manage Delta risk along the trade life. This trade uses longer dated expirations at open (70-80DTE). This gives you slower decay but more room to adjust and return consistency. Does anyone have experience trading broken wing butterflies? Which underlyings do you use? (I did not trade this in RUT but does anyone have experience trading RUT butterflies?)

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u/noname__13 1 2 days ago

why are you trading only one structure? that doesn't make any sense. structure is not edge, and different situations call for different structures. depends on what view you're trying to express. a bwb is more a trade on skew and curvature than level, fyi. atm vol changes aren't a key concern.
u/Technical-River-5561 3 2 days ago

I trade broken wing flys on SPX myself, mostly for credit at open. The 70-80 DTE sweet spot feels right, gives you enough time to adjust when delta drifts instead of panicking at 21 DTE Never tried RUT but the wider spreads there make me nervous. The bid-ask on RUT options can get ugly compared to SPX, and with a broken wing you are already paying more in slippage on the wider leg One thing I learned the hard way, the vega negative part is no joke. When IV spikes your P/L chart looks like a crime scene even if price did not move much, so I keep size small and try to enter when IV rank is above 40 at least
u/noname__13 1 2 days ago

atm vol changes are not driving your pnl anywhere near as much as RELATIVE changes. lol.
u/umdred11 1 2 days ago

Curious, what sort of adjustments are you making as the price moves? Moving the strikes around to change the structure?
u/DeltaNeutraltrading OP 1 2 days ago

It depends on how I want to adjust, controlling Delta mainly. learned this strategy from myoptionsedge. They continue to trade it as well as myself. Now alone. I found the BWB on SPX and it rocks!
u/Early_Photograph2025 2 2 days ago

i totally get the vega pain—what i do when a spike hits is roll one leg up and keep the wide wing where it is, so i add a tiny extra credit but avoid slapping the entire spread. i also tend to pre‑size to 2‑3% of account so one spike never wipes me out. and you’re right about iv rank: at 70‑80 dte you should read the 30‑day iv of that same expiry, not the 30‑day. thanks for the heads up.
u/RaSl1975 1 2 days ago

Could you be so kind and make an example or two how you adjust? Or if this is already somewhere written, could you share the resource pls. I tried bwb like John Locke and/or Amy Meissner (they open for debit) but I was never successful
u/Antique_Exam956 1 1 day ago

nice tweak, especially the selective leg roll. i usually add a small cash‑settled iron condor on the wide leg when iv jumps 20‑30 points—keeps the downside capped while letting the core fee roll. don’t forget the 7‑day vega exposure; a Friday spike can turn the whole book into a tower overnight. in a normalized market you’ll often see an inter‑trade spread lift if you roll the wide leg a few strikes out; it levels delta and gives a tiny vault if the move stays near the wing.
u/[deleted] 0 2 days ago

[removed] — already gone when the archive first saw it
u/AtomaticlyAdaptive 1 2 days ago

I enjoy BW 4-legged positions. Wider IC's for structured for either bull or bearish forecasts. Love the IB's, often based on GEX put walls 1-14dte, depending on price & RoR. I'm finding these work better for me than many other strategies.
u/noname__13 2 2 days ago

put walls. im dead
u/AtomaticlyAdaptive 2 2 days ago

Lots of educational material on GEX levels online. To elaborate on this strategy I use: If you look at GEX levels (Gamma Exposure) it gives insight to call & put volume at different strikes. High levels are seen as 'magnets' that, when approached, are hard to overcome. While never *ensuring* price will stay above "GEX Put Walls," or below GEX Call Walls, the highest levels of these often restrict price between them. W Bullish tendencies, I'm likely to either use the bottom of the expected range, or the most significant put wall to help me decide where to place a narrow broken-wing Iron Butterfly. If done the 1DTE+ with SPX, I can usually get attractive terms going $10 wide on risky side, and $5 wide on no risk side. Making wing wider on risk side increases both, cost & total profit of no-risk side.
u/noname__13 1 2 days ago

lol. the assumptions made by providers in determining those "levels" make it useless. using gex and call walls is basically the same thing as using chicken entrails. voodoo. nonsense.
u/flippedalid 2 2 days ago

Curious what your IB strat is? Mostly what your spread is and what's your profit target?
u/AtomaticlyAdaptive 1 2 days ago

See above
u/NorthOfTheStrike 3 2 days ago

Run these on SPX too. Clean fills, no assignment headaches, and liquidity keeps adjustments cheap. RUT bid ask eats the structure alive. Vega risk is the real killer here. When vol expands fast the mark gets ugly even when SPX does nothing.
u/noname__13 1 2 days ago

vega is not the killer. a bwb is a play on skew curvature NOT LEVEL. you say a lot of wrong things very confidently.
u/Sideways-Sid 2 2 days ago

132 Call Flies here as part of an arsenal of structures for varying conditions. With an increase in underlying over 28DtE, the contribution to PnL can be impressive, and I finally got the hang of easily managing them. I open at a debit & often close at three times that debit.
u/MidwayTrades 2 2 days ago

I”ve traded a bunch of them..usually as IV is on the higher end of the range and I want some short Vega. Once it goes higher, I prefer balanced as they become cheap and my starting deltas are really reasonable. I’ve found with SPX going as high as it has, I’ve had to really widen my wings since 50 points just isn’t much of a move anymore, so I look at around 80-100 points wide. I haven’t traded RUT in years, but these can work and you won‘t have to be as wide. When the upper leg is shorter, it works well in a slow upgrinding market.
u/ThetaEdgeHQ 0 2 days ago

The one thing worth making explicit: once you stack the short call spread above price you have given up the butterfly's clean upside. A BWB opened for a credit with the wider wing below is flat to slightly positive if SPX runs away, but the vertical turns that into a capped loss zone above its short strike. So the combined position is not no risk to the upside anymore, it is a known max loss on both ends in exchange for the extra credit and the negative delta. Nothing wrong with that, just worth seeing the hedge as a second defined risk trade sitting on top of the fly rather than free protection. On timing the entry by IV rank, one caution. IV rank is usually built off 30 day IV, but at 70 to 80 DTE your vega lives two and a half months out. When the term structure is in backwardation the front can read rich while the vol you are actually short further out is not, so a high reading can overstate how good the entry is. I size off the vol at my real expiry rather than the 30 day proxy, and the vega negative pain a couple of people mentioned lines up with that since the body is where your vega is concentrated.
u/DeltaNeutraltrading OP 1 2 days ago

You are correct regarding the call spread. Do not forget that I have flexibility to adjust and accommodate additional upside!
u/Juhkwan97 1 2 days ago

I trade SPX bwf @ 1,0dte with an imbalanced structure - something like 15/5, 20/5, or as much as 25/5, also sometimes 10/5. This is m/l a modified vertical, in terms of the p/l. Fully directional scalps I can set up within the expected move and pretty close to itm, so they can have a pretty good win rate. I also trade bwf in combo with calendars or diagonals. A common combo is to buy a 14dte call diagonal for credit, and use that as a funding trade for 4, 5, and 6dte bwf similar to those described above. I can stack these bwf and have a combo for a small(ish) downside risk. The bwf's will hedge the tail risk of the diagonal, pushing the b/e of the combined structure pretty far to the right. These usually get on for about a 1:3 or 1:4 risk : reward. If they are wrong directionally, I might wait and reload, rolling out and maybe down @ the diagonal. I'll do the same thing with puts sometimes, although the skew prevents putting on reasonable put diagonals for a credit. Plus anyway there is no percentage in shorting SPX, so better to just keep powder dry to btfd.
u/CucumberSweaty5177 1 2 days ago

i’ve been running SPX Best off the bat on 70‑80 dte for the past two years. the vertical above the price gives a nice credit and a clean negative delta that turns the butterfly’s uncapped upside into a capped loss that you know up front. i always size it to 2‑3 % of the account and watch the IV rank; when it climbs above forty it’s usually safer to roll the worst leg up a couple of strikes – that keeps the vega negative in check and adds a sliver of extra credit. rUT is a whole different beast – the bigger bid‑ask spreads mean you have to shrink the position a lot if you want realistic fills, and the vega hit is even larger. if you’re mosier, keep the wing widths to 50‑80 points on SPX; that gives you room to see a quick move without blowing out the play. long story short, the combo works great if you’re comfortable with the vega drag and you’re not looking for a huge upside – you just want a defined risk at a modest credit around the current level.
u/RevolutionaryPhoto24 1 1 day ago

I trade these when there is volatility and when we are ranging. It’s my favorite index trade when conditions are met. I will adjust to skew up or down depending where in the range I open, and use shorter dated (still with time to adjust and avoid gamma risk somewhat, so 21-45 DTE,) and close at a percentage gain appropriate to volatilitytime risk. One of the benefits in my mind is the ability to choose bias, so I don’t prefer adding a spread (also simply dislike spread management, as volatility expansion is a pain when it arises, and the structure allows for the adjustment on its own. These days, with IV how it has been, Is choose other structures, though in other regimes, BRB are tops.
u/docbasset 1 1 day ago

I will trade butterflies in SPX and NDX. Generally I try to put on a standard put butterfly and a broken wing call butterfly at the weekly expected moves. Ideally, I can do both trades for a net credit. It’s a portfolio hedge with the put butterfly, and I don’t mind the upside risk because the rest of my portfolio benefits on a move higher.
u/nic3tryguy 1 1 day ago

I’m a freak and trade 0dte butterflies. Did extensive backtesting to find the right structure and have now been trading it live with fairly decent success. Current market conditions aren’t as favorable for my strategy but still profitable!