Manual
High-Yield BWB
A directional broken-wing butterfly for slow positive-gamma drift.
The “Drift” Play - Capture directional drift with improved risk/reward over a standard credit spread.
Overview
| Attribute | Value |
|---|---|
| Environment | Positive Gamma (Drift) |
| Market Dynamic | Slow Grind Directional |
| Volatility | Low/Medium VIX |
| Primary Goal | Yield Trap - Capture drift with better risk/reward than credit spread |
| Profit Target | Keep the credit if pin/drift occurs |
| Max Loss | Below the “Broken” (Far) wing |
Structure
Long Butterfly with Skewed Wings (10/20 Split)
- Buy 1x ITM option
- Sell 2x ATM options
- Buy 1x OTM option (20 pts from ATM vs 10 pts for the ITM leg)
Example (Bullish):
- Buy 1x 6050 Call
- Sell 2x 6060 Calls
- Buy 1x 6080 Call
Entry Criteria
- Positive Gamma environment confirmed
- Slow directional grind expected (not explosive)
- Net Credit > $1.50
- Clear target level for the drift
Exit Rules
Profit Target
- Price drifts up or pins → Keep the credit
- Price drops slightly into the tent → Max profit zone
Stop Loss
- Price crashes below the “Broken” (Far) wing
- Exit immediately if structure is violated
Management
Minimal management required. The skew provides natural protection.