Cross butterfly
The same butterfly, priced in calls and in puts. Parity says they must match; the NET column is the live gap between them.
BIASArbitrage
VOL VIEWSkew gap
RISKDefined
STRUCTURECE/PE
XBFYPAYOFF AT EXPIRY
LEGSLIVE CHAIN—
| ACTION | QTY | TYPE | STRIKE | LAST |
|---|
A call butterfly and a put butterfly on identical strikes have the same payoff, so any price difference is a dislocation. Buy the cheap side, sell the rich side, and the payoff nets out to the difference collected up front. NET far from zero is the whole trade.