The iron fly

Sell a put and a call at the same strike, then buy a wing either side.
The biggest credit available from four legs — and the smallest range in which to keep it.

What it is

Four legs, one expiry.
The body is at the money — a put and a call sold at the same strike.
The wings are bought either side, and they are what cap the loss.
An iron condor with its two short strikes pushed together until they meet.

What you are actually agreeing to

You are paid a large credit for a narrow claim: the stock finishes near where it started.
You keep all of it only at one exact price.
The wings cap both ends.
You will almost always give some of the credit back. The credit is not the expected outcome, it is the ceiling.

The trade, written out

Everything above is the idea. This is the position — the lines you would actually send to a broker.

Order ticket

Leg	Action	Qty	Expiry	DTE	Strike	Delta	Price
1	Sell to open	-1	16 Oct 26	45	100 Put	+0.46 (46Δ)	$3.25
2	Buy to open	+1	16 Oct 26	45	95 Put	-0.25 (25Δ)	$1.35
3	Sell to open	-1	16 Oct 26	45	100 Call	-0.54 (54Δ)	$3.74
4	Buy to open	+1	16 Oct 26	45	105 Call	+0.32 (32Δ)	$1.77
Net	Credit	1 position	16 Oct 26	45	$5 wide	-0.00	$3.87

SELL -1 IRON FLY XYZ 16 OCT 26 95/100/100/105 COMBO @ 3.87 CREDIT

Reading it back

Both short legs at the same strike — that is the body.
Both long legs one width away — those are the wings.
The credit is much larger than a condor’s, because the body is at the money where the premium is.
The breakevens are close together, which is the price of that credit.

The argument

Bull

makes the claim

This is the most premium four legs can collect. The wings cap the damage, the body is where all the value is, and if the stock does what it does most days — not much — I keep a good part of it.

Bear

doubts it

You have sold the exact strike the stock is standing on. Any move in either direction hurts immediately, and you have written the option that has the most gamma in the whole chain. This is short gamma at its purest.

Ferret

settles it

The credit is bigger and the range is narrower. That is a straight trade-off, not an advantage, and which side of it wins is an empirical question. Name the wing width and the exit and I can run it against the condor on the same entries.

The shape of it

The iron fly on XYZ at $100 · 25% volatility · 4% rate · 45 days. Priced from the model, not written by hand.

	At expiry
Credit taken in	$387
Maximum profit	$387
Maximum loss	$-113
Breakevens	$96.13, $103.87

A tent with a point instead of a plateau.
Maximum profit sits at exactly one price — the body strike.
Maximum loss is the wing width less the credit, and the table computes it.
The breakevens are much closer in than a condor’s, which is what the bigger credit actually bought.

Where you actually enter

The chart above is the shape at expiry. It puts the bend right next to the money, which makes the trade look like it is already on the edge. It is not — here is the day you open it.

The same structure set up at 50Δ · 45 days · credit $387. The shaded band is the room between the stock and the strike you sold.

The same price, two different days

	On day one	At expiry
Stock at $100 (the strike you sold)	$0	$387
Stock unchanged at $100	$0	$387

You enter at the peak. That is unusual and it matters.
Every direction is downhill from where you are standing.
The day-one line is much flatter than the expiry tent, so early moves cost less than the expiry picture suggests.
The last week is when the point sharpens — and the point is the only place the full credit lives.

Different ways to set it up

The body is fixed at the money, so the delta dial does nothing here. What changes an iron fly is the tenor and the width of the wings.

Same delta, four tenors

Days	Short strike	Away from spot	Credit	Max loss	Risk : reward
7	100	+0.0%	$253	$-247	1.0 : 1
21	100	+0.0%	$342	$-158	0.5 : 1
45	100	+0.0%	$387	$-113	0.3 : 1
90	100	+0.0%	$417	$-83	0.2 : 1

Short-dated flies collect less but resolve fast.
Long-dated flies collect more and hold you for longer, with the peak nowhere near reached until the end.
The panels show why the fly is an ending trade: almost nothing about it is decided until the final days.

Wing width is the other dial, and it is the one that decides how much you can lose. Wider wings mean a bigger credit and a bigger maximum loss; narrower wings mean less of both.

On a fly, width is not a detail of the setup. It is the risk.

What the Greeks are doing

Four questions about the same position, and a fifth that barely applies here.
Every structure answers them differently, which is why this site never writes a general page about the Greeks.

Days left	Delta	Gamma	Theta / day	Vega	Rho
45	-0.2	-1.35	$+1.12	$-4.17	$+0.45
21	-0.4	-3.89	$+3.30	$-5.60	$+0.17
7	-1.0	-14.89	$+12.74	$-7.14	$+0.03

The position at entry — stock $100 · 25% volatility. Per contract, from the model.

Delta — which way you need the stock to go

Near zero at entry, by construction.
It does not stay there for long — the body is at the money, so delta moves as soon as the stock does.

Theta — what time does to you

Strongly positive. This is the highest-theta structure on the shelf.
It is also the highest-gamma one, and that is not a coincidence.

Vega — what a change in fear does to you

Short volatility, and more so than a condor, because at-the-money options carry the most vega.

Gamma — how fast your delta turns against you

The largest negative gamma of any structure here.
At-the-money short options are where gamma concentrates, and you have sold two.

Rho — what a change in interest rates does to you

The two sides largely cancel.
One row.

Theta and gamma are one thing

This is the part that decides whether the strategy works, and it is almost never put plainly.

You cannot be paid theta without being short gamma. They are not two features of the trade. They are the rent and the risk on one lease.

The same position, three points in its life

Nothing about the position changes.
The stock sits still at $100 throughout.
Only the days left move.

Days left	Delta	Gamma	Theta / day	Vega	Rho
45	-0.2	-1.35	$+1.12	$-4.17	$+0.45
21	-0.4	-3.89	$+3.30	$-5.60	$+0.17
7	-1.0	-14.89	$+12.74	$-7.14	$+0.03

Now move the stock to $97.50

Same three dates, same fly.
Now with the stock down between the body and the lower wing — in the part of the tent that is falling away.

Days left	Delta	Gamma	Theta / day	Vega	Rho
45	+3.2	-1.31	$+0.99	$-3.85	$+0.86
21	+9.0	-3.35	$+2.59	$-4.58	$+0.71
7	+31.4	-8.65	$+6.68	$-3.94	$+0.64

Gamma goes from -1.31 to -8.65.
Theta goes from $+0.99 a day to $+6.68.
Both climb, and neither is available without the other.
Delta now moves roughly 7 times as far for every dollar the stock travels.

Which is what DTE actually sets

Shorten the tenor and both numbers rise sharply, because the body is at the money.
An iron fly held into the last few days is the most gamma this site will show you.
Which is exactly why the 0-DTE version of this trade is a different animal from the 45-day one, and has to be tested separately.

The trap

The trap is that the credit looks like the outcome.

You keep the whole credit at exactly one price. Every other price gives some of it back.

A condor has a plateau — a whole range where the full credit is kept.
A fly has a peak. One price.
So comparing a fly’s credit against a condor’s is comparing a ceiling you will not reach against one you might.
The honest comparison is the average outcome across a range of prices, which is a test, not a table.

Why it matters

“It collects twice the credit” is the most common reason people move from condors to flies.
It also has roughly half the range.
Whether that swap is worth making is measurable, and it is on the list.

How this shows up in our tests — pending. No result has been published on this structure yet.