A long butterfly spread is a strategy that involves simultaneously purchasing an ITM call, selling two ATM puts, and buying an OTM call.
- Non-Directional strategy
- Typically consists of buying an ITM call, selling two ATM puts, and buying an OTM call.
- Different strike prices and expiry dates
A Long Call Butterfly Spread is a neutral strategy that anticipates minimal volatility in the underlying price. The technique is a hybrid of bull and bear spreads. This strategy should be used when there is no expectation of volatility in the underlying's price