The Short Put Butterfly is a strategy that must be devised when the investor is neutral on the market direction and expects volatility to be significant in the market. This strategy is formed by buying two "at-the-money put options"(middle strike price), selling one "out-of-the-money put option"(lower strike price), and selling one "in-the-money put option"(higher strike price). Compared to Straddle and Strangle, this strategy offers very small returns. The risk involved is slightly less as compared to them. The investor will benefit if the underlying asset finishes on either side of the higher and lower strike prices at expiration.