A neutral to bullish option strategy that bears resemblance to a long call butterfly with an exception that the long out-of-the-money calls have a strike price closer to the central strike price of the short calls. Put another way, this strategy involves buying one in-the-money (ITM) call option, selling two at-the-money (ATM) calls, and buying one out-of-the-money (OTM) call, all with the same expiration month out or less. For example, suppose the shares of XYZ company are trading for $100 on April 15, 2013. An investor may establish a modified call butterfly by buying one May 2013 90 call (ITM CALL), selling two May 2013 100 calls (ATM calls), and buying one May 2013 105 call (OTM call).
March 2, 2024
