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Butterfly spread由3中不同行权价格的期权组成。其构造方式为：买入一个具有较低行权价格
的欧式看涨，买入一个具有较高执行价格
的欧式看涨期权，并卖出两个具有执行价格为
的欧式看涨期权，其中为及的中间值。一般来讲，接近于当前股票价格。示例如下：
期权买入行权价格为的call和一个行权价格为$K_3$的call，卖出2个行权价格为$K_2 = \frac{K_1 + K_3}{2}$的call，收益可用如下的图表示：
一个蝶式差价期权的收益如下表：
| 股票价格范围 | 第一个long call的收益 | 第二个long call的收益 | 期权short的收益 | 整体收益 |
|
0 | 0 | 0 | 0 |
|
|
0 | 0 |
|
|
|
0 |
|
|
|
|
|
|
0 |
类似地，我们用QuantPlus Analytics可以计算出行权价格为$K_2$的call的价格，从而进行期权策略的制定。
用QuantPlus Analytics可以得出如下的图，其中横坐标是行权日期的股价，纵坐标是行权日期的利润。
