SENSEX Butterfly Scanner — Live
Every long call butterfly around the ATM strike on the current SENSEX expiry, ranked by reward-to-risk — with net debit, max profit and both break-evens.
Top 5 long-call butterflies by risk-reward
📊 Live visualisation
What is a long call butterfly on SENSEX?
A long call butterfly is a three-strike, defined-risk structure: buy one call at K−w, sell two calls at K, buy one call at K+w — all on the same expiry. K is the centre strike and w the wing width. Because the two short calls largely pay for the two long calls, the position costs a small net debit, and that debit is the most you can lose. Profit peaks if SENSEX expires exactly at K, where the structure is worth the full wing width: max profit = w − debit. The two break-evens sit at K−w+debit and K+w−debit. It is the cheapest way to express the view that SENSEX will *pin* near a level into expiry — which is why it pairs so naturally with the dealer-gamma and max-pain data on this site.
How the scanner ranks butterflies
Every 60 seconds the scanner takes the live SENSEX call chain and sweeps centre strikes from ATM−200 to ATM+200 in listed-strike steps, with wing widths of 50, 100, 150 and 200 points. For each (K, w) it prices the fly directly from traded premiums: debit = C(K−w) − 2·C(K) + C(K+w). Combinations with a zero or negative debit are discarded — they are almost always stale or crossed quotes rather than free money — and the survivors are ranked by reward-to-risk (R:R) = max profit ÷ debit. The hero card shows how many flies were scanned plus the best debit and best max profit; the table lists the top structures with their break-even range.
Reading the table: debit, max profit, R:R, break-evens
Debit is the cash outlay per unit (multiply by the SENSEX lot size for the rupee amount) and your maximum loss. Max profit is what the fly is worth at expiry if spot lands on K. R:R is the payoff multiple — a 5.0 means the structure returns five times its cost at the peak. BE lo–hi is the price band that must contain SENSEX at expiry for the trade to make money at all. Be careful with very high R:R rows: they are usually centred far from spot, where the probability of finishing near K is low. The useful screen is *high R:R with a centre close to spot and a wide enough break-even band for the remaining days*.
When butterflies work — and when they don't
Butterflies are long theta only near the centre and only in the final days; earlier on they barely move. They shine in pinning regimes: positive dealer gamma (see [SENSEX GEX](/gamma-exposure)) dampens intraday swings and price gravitates to heavy-OI strikes and the [max-pain](/max-pain) level as expiry approaches. They struggle when implied volatility is elevated and a large move is priced — compare the fly's break-even band with the [expected move](/expected-move): if the ±1σ band is wider than the fly, the market is telling you the pin is unlikely. In a negative-gamma regime, where moves accelerate, a butterfly is usually the wrong shape.
From scanner to execution
Treat this page as a screen, not a signal. Before trading a row: check the bid-ask spread on both wings (far strikes on SENSEX can be wide — the debit you see is mid-market), confirm the lot size and required margin with the [margin calculator](/tools/margin), and model the full payoff, greeks and P&L path in [Strategy Lab](/strategy-lab). If you prefer a credit structure with the same shape, the iron butterfly (sell ATM straddle, buy the wings) has the identical payoff. OptionAlgo is not SEBI registered; everything here is educational data intelligence, not advice.
Frequently Asked Questions
What does R:R mean on this page?
Reward-to-risk: max profit divided by the net debit. A fly costing 20 points with a 100-point wing has max profit 80 and R:R 4.0.
Why is a butterfly so cheap?
The two short calls at the centre strike finance most of the two long wings. You are paying only for the chance that SENSEX finishes close to K — a narrow outcome, so the market prices it cheaply.
Why are some strike combinations missing?
Flies whose live prices give a zero or negative debit are filtered out. Those almost always reflect stale or crossed quotes on an illiquid wing, not a genuine arbitrage.
How often does the scanner refresh?
This public page is cached for 60 seconds. Inside /dashboard the same chain updates every 5–15 seconds.
Is a high-R:R row a recommendation?
No. OptionAlgo is not SEBI registered and publishes data intelligence for education only. High R:R usually means a low-probability centre strike — judge distance from spot, days to expiry and liquidity yourself.
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