Time decay does not work in favor of a short butterfly spread. This is because it has a negative impact on the long options, which are the most valuable in this strategy. A Short Put Butterfly is long two ATM put options, short one ITM put option and short one OTM put option. Butterfly spread options are a fixed risk, non-directional, a.k.a, neutral strategy with capped profit. A Short Butterfly Spread is a complex volatile option strategy as the Short Butterfly Spread involves proper selection of strike prices and a trading account that allows the execution of credit spreads. The Max Gain is limited to the net premium received for the option spread. Time decay or the option Greek Theta will increase the closer you get to expiration. The Max Loss is limited to the net difference between the ATM strike less the ITM strike less the premium received for the position.. Ideally, you want the puts with strikes A and B to expire worthless, while capturing the intrinsic value of the in-the-money put with strike C. Just like nature gives us a variety of butterflies, we can make our own unique butterfly spread options as well. A long put butterfly spread is a combination of a short put spread and a long put spread, with the spreads converging at strike B.. A short butterfly spread usually profits from a … Which means it's designed to have a high probability of earning a profit (limited) regardless if you’re long or short. For example, if you buy two $60 at-the-money call options for a short spread, then you can keep the butterfly in balance by selling the $55 in-the-money … The Strategy.