It all depends on how you construct and manage your butterflies. I often use butterflies as an opening strategy and adjust them as the underlying moves and/or as time passes. For instance, I may initiate two OTM butterflies, one above the market and one below the market. As the underlying moves and approaches one of the butterflies, I may adjust one of the butterflies to lock in a profit or reduce my risk.
Ultimately, the key to being consistently profitable trading butterflies, or any other trading strategy, is to apply the right strategy to the relevant market conditions. For instance, ATM butterflies are usually negative vega, so they work best when IV is currently high and expected to decrease in the future. Conversely, OTM butterflies are usually positive vega, so they work best when IV is currently low and expected to increase in the future. Lastly, there are also many different variations on the traditional butterfly strategy, such as unbalanced butterflies, skip-strike butterflies, etc.. Each has its own advantages / disadvantages / complexities. ------------------------------------ <a href="http://www.optionstack.com/?et">Backtest Option Strategies </a>
I generally find you lose that positive vega on an otm put fly as price drops towards the center and vol pumps up.
Of course, the fly is bimodal to vega. OTM is marginally long, short at the body, regardless of the vol-line.
I was responding to the comment above me discussing using an otm fly if vol was low since it started with a slightly vega positive. What I was trying to say is that you lose the vega when you need it most, as price is dropping.