25-Delta Butterfly Smile Convexity Calculator

Calculate 25-delta butterfly spread as a measure of smile convexity. BF = (sigma(25D call) + sigma(25D put)) / 2 - sigma(ATM), capturing excess kurtosis in the risk-neutral distribution.

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$ Finance Disclaimer: These calculators are for educational and illustrative purposes only. Results do not constitute financial advice. Consult a licensed financial advisor before making investment or borrowing decisions.
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How to Use

Enter the values for the scenario you are assessing. Calculate 25-delta butterfly spread as a measure of smile convexity. BF = (sigma(25D call) + sigma(25D put)) / 2 - sigma(ATM), capturing excess kurtosis in the risk-neutral distribution. Use the butterfly smile 25d result to inform your calculation.

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Frequently Asked Questions