Butterfly Strategy . Now, we will learn to implement a ‘Butterfly Strategy,’ which is a fairly complex strategy compared to other strategies that we have learned earlier.So let us begin. A butterfly spread is a neutral option strategy combining bull and bear spreads together. It is a four legged strategy- which means the trader has to take positions in four different option contracts to. A long butterfly options strategy consists of the following options : Long 1 call with a strike price of (X − a) Short 2 calls with a strike price of X. Long 1 call with a strike price of (X + a) where X = the spot price (i.e. current market price of underlying) and a > 0. Using put–call parity a long butterfly can also be created as follows:. The Strategy. You can think of this strategy as simultaneously running a short put spread and a short call spread with the spreads converging at strike B. Because it's a combination of short spreads, an iron butterfly can be established for a net credit.