Butterfly spread
A structure built from options at three strikes that pays most when the price sits at the middle one.
How to read the number
A bet that the price stays at the centre of the structure: what is bought here is a narrow range, not a direction.
When the metric lies
The maximum is reached at a point and only at expiry. Before that the position is worth noticeably less than the calculated maximum even when the price stands exactly where it should.
Also known as: butterfly option strategy