Chapter 06 · Section 6.1

Short Butterfly Call Spread

Short 1 100 Call
Long 2 110 Calls
Short 1 120 Call

How would you construct this spread using puts?

b) Long 1 100 Put, Short 2 110 Puts, Long 1 120 Put.
No. Long puts at both the high and low exercise prices will cause you to have a loss equal to the premium paid. When combined with these two long options, the two medium exercise shorts will cause the position to spike up in the center.
c) Short 1 100 Put, Long 2 110 Puts, Long 1 120 Put.