A futures butterfly combines three delivery months of the same market. It studies how the middle month is priced relative to the two wings. The familiar long structure is +1, −2, +1, but the exact contract months and exchange conventions must always be stated.
The three-leg structure
Buy one near month, sell two middle-month contracts and buy one far month. For matching contract units, the quoted value is A − 2B + C. It is also the difference between the first calendar spread (A − B) and the second (B − C). A short butterfly reverses all three signs.
What a butterfly measures
If all three futures move by an identical amount, the weighted sum does not move because 1 − 2 + 1 = 0. In practice, the months move differently. The butterfly is exposed to curvature in that section of the forward curve, not simply to the direction of the outright price.
Choose the right history
Map all three dated contracts to equivalent years. Keep the weights and chosen months unchanged throughout a historical comparison. Require valid prices for every leg on each observation date. Review the per-year entry-to-exit result, interim drawdown and number of valid years; a smoothed average can conceal difficult years.
Execution and margin
A three-leg structure may be available as a listed strategy in some markets and months; otherwise individual leg orders expose the trader to fills at different times. Broker margin and spread credits depend on the exact combination. Commission and slippage apply to multiple contracts, so compare a quoted theoretical move with net executable results.
Test the exact dated structure
Inspect the leg months, historical years and selected window before drawing a conclusion from an average curve.
Open Futures Spread Analyzer →Frequently asked questions
Is a futures butterfly an options butterfly?
No. This guide covers three futures delivery months; options butterflies use option strikes and have different payoffs.
Can I trade any three months?
Only listed, available contracts can be traded. An exchange strategy and its ratio may be more restricted than a theoretical three-leg calculation.
Exchange references
Use the exchange material for product definitions and confirm current specifications, listed combinations and margins with your broker.
Continue the Futures Butterfly Spreads series
Also read Futures Spread Trading and Calendar Spread Trading.
Bring the formula to the chart
Compare a defined structure across historical years and review every leg before making a decision.
Explore the Analyzer →Educational material only, not investment advice. Examples are illustrative. Historical results do not guarantee future performance. Trading costs and slippage are excluded unless explicitly stated.