TradingCalcVertical Spread & Iron Condor Calculator
OPTIONS · DERIBIT COIN-SETTLED AND BINANCE USDT-SETTLED SPREADS
Payoff, breakeven(s), and max profit/loss for a Deribit BTC/ETH (coin-settled) or Binance (USDT-settled) vertical spread, iron condor, or iron butterfly - correctly accounting for each settlement type.
Exchange
Underlying
Structure
Option type (both legs)
Vertical spreads and iron condors
A vertical spread buys one option and sells another of the same type at a different strike (e.g. a bull call spread: long a lower-strike call, short a higher-strike one). An iron condor combines a call spread and a put spread, both sold closer to the money, to collect a net credit; an iron butterfly is the same shape with both short strikes at the same price. This calculator uses the same math as the other Options calculators: coin-settled for Deribit BTC/ETH, USDT-settled for Binance (BTC, ETH, gold, silver). Switch the exchange in the calculator.
What are the four legs of an iron condor?
- Buy a put at a low strike (the lower wing)
- Sell a put at a higher strike (the short put)
- Sell a call at a strike above it (the short call)
- Buy a call at a still higher strike (the upper wing)
You receive a net credit. The position profits most when the price ends between the two short strikes. For each leg you enter the strike and the premium, then a settlement price to see the payoff, the breakevens and the maximum profit and loss.
Why coin settlement changes the standard textbook results (Deribit)
Every option leg's payoff here is divided by the settlement price, which breaks two assumptions that hold for USD-settled equity/ETF spreads:
- A debit vertical spread's max profit is NOT flat for every price beyond its short strike. The peak occurs exactly AT the short strike, and profit actually shrinks back down as price keeps rising past it, eventually decaying to a full loss of the premium paid at an extreme enough settlement price. Two breakevens, not one: the profit window opens, then closes again.
- An iron condor's max loss is NOT capped at the wing width. The call side genuinely is bounded, but the put side's loss is unbounded as price falls toward zero, since a put's coin-denominated payoff diverges there. This calculator reports that honestly (max loss: unlimited) instead of showing the wrong, textbook "defined risk" number.
Worked example (Deribit)
Long a BTC bull call spread: long the $60,000 call (0.08 BTC premium), short the $70,000 call (0.03 BTC premium):
- Net debit = 0.08 − 0.03 = 0.05 BTC
- Peak payoff, right at $70,000: 0.0929 BTC (not flat beyond it)
- Breakevens: $63,158 and $200,000 - profitable only inside that window
- Beyond $200,000: payoff decays back toward −0.05 BTC (the full debit lost)
The Binance version (USDT-settled)
On Binance every leg pays the flat textbook amount per unit in USDT, so the standard defined-risk results hold. Long a BTC bull call spread: long the 60,000 call (5,000 USDT premium), short the 70,000 call (2,000 USDT premium):
- Net debit = 5,000 − 2,000 = 3,000 USDT (the max loss, at or below 60,000)
- Max profit = (70,000 − 60,000) − 3,000 = 7,000 USDT, flat at or above 70,000
- One breakeven: 60,000 + 3,000 = 63,000
An iron condor is capped on both sides: the worst loss is the wider wing minus the net credit, per unit. The premiums are read as USDT; no 1 USDT = 1 USD conversion is applied.
Where to go next
Want the theoretical price of each leg? Use the Black-Scholes calculator.
Just one leg, not a spread? Use the single-leg Payoff Calculator. Betting on volatility with both legs the same direction instead of opposite? Try the Straddle & Strangle Calculator.
Use via API or MCP
This calculation is available as a deterministic API call for bots and AI agents.
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What assumptions and edge cases does this calculator use?
It computes the payoff at expiry at one scenario price for two to four legs on one expiry. Strikes, premiums, quantity and scenario price must be above zero, and the legs must form a vertical spread, an iron condor or an iron butterfly; any other mix is refused with a message. Not covered: early exercise, margin, fees, Greeks, calendar and diagonal spreads, the probability of profit and the value before expiry.
How do you calculate an iron condor?
Add the four legs: buy a low put, sell a higher put, sell a call, buy a higher call. The net credit is the premiums received minus the premiums paid. On Binance (USDT-settled) the maximum profit is the net credit and the maximum loss is the wider wing minus the credit, per unit. On Deribit (coin-settled) the put side is not capped, so the calculator reports the maximum loss as unlimited. Enter the strike and premium of each leg and a settlement price to get the payoff and the breakevens.
What is a vertical spread?
Two legs of the same option type (both calls or both puts), one long and one short, at different strikes. A bull call spread (long lower strike, short higher strike) profits from price rising; a bear put spread (long higher strike, short lower strike) profits from price falling.
Why isn't max profit flat beyond the short strike on Deribit, like it is for USD-settled spreads?
Because each leg's coin-denominated payoff is divided by the settlement price, the combined spread payoff peaks exactly at the short strike and then decreases as price rises further, eventually decaying all the way back to a full loss of the premium paid at an extreme enough price. This calculator finds that true peak and reports both breakevens (where the profit window opens and where it closes), not just one.
Is an iron condor really "defined risk" on Deribit?
Only on the call side. The put side of a coin-settled iron condor has genuinely unbounded loss as price falls toward zero (a put's payoff diverges there), unlike the flat, wing-width-capped loss a USD-settled iron condor has. This calculator reports max loss as unlimited whenever that's the case, rather than showing the wrong textbook number.
What changes when I pick Binance?
Binance options settle in USDT and one contract is one unit of the underlying (BTC, ETH, gold or silver). Each leg pays the flat textbook amount, so a debit vertical spread has a flat max profit beyond the short strike, one breakeven, and an iron condor has defined risk on both sides. Premiums are in USDT; the calculator does not convert USDT to USD.
What's the difference between an iron condor and an iron butterfly?
An iron condor has 4 distinct strikes (a gap between the short call and short put). An iron butterfly has the short call and short put at the exact same strike (typically at-the-money), with the same long wings on either side. This calculator classifies which one you've entered automatically from the strikes given.
How many breakevens can a spread have?
A vertical debit spread typically has two (the profit window opens, then closes again at a high enough price). An iron condor/butterfly can have anywhere from zero to three, depending on the wing widths and premiums - this calculator solves for however many actually exist rather than assuming a fixed count.