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Visualizing Constant-Maturity Options Butterfly Structures

Article Amberdata research
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Summary

The document introduces a chart for examining an options butterfly across constant maturities. It defines the structure as long one call and one put with a short position in two at-the-money options, and says users can select among several delta levels and time windows. The chart is presented in both current and historical views for Deribit options, and is positioned as a companion to a separately released butterfly index.

This is a brief feature announcement rather than a trading analysis. It gives no pricing methodology, data details, examples, evidence of strategy performance, or discussion of how maturity interpolation affects interpretation. As a result, it offers a useful pointer to a way of viewing butterfly structures over time, but not enough information to evaluate a trade or reproduce the calculations independently.

Key ideas

  • The chart displays an options butterfly across constant maturities.
  • The described position combines a call and put with twice the at-the-money position sold.
  • Users can view different delta selections and time windows.
  • Both current and historical chart views are mentioned for Deribit options.
  • The announcement provides no methodology or evidence about trading performance.

Tags

OptionsVolatilityDerivatives pricingCrypto

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.