How are CEPI butterfly max profit and max loss calculated?

Max profit equals the wing width minus net debit times 100 (reached when the underlying pins the middle strike); max loss equals the net debit times 100. Two breakevens at lower-wing plus debit and upper-wing minus debit. For the CEPI butterfly priced from the August 14, 2026 end-of-day chain at a 30-day expiry (ATM IV 30.40%), the computed maximum profit is $111.94 per contract and the computed maximum loss is -$77.50 per contract. Live intraday quotes will differ as the chain moves through the trading session.

What is the breakeven for a CEPI butterfly?

The breakeven for the CEPI butterfly priced on this page is roughly $30.78 at expiration, derived from the August 14, 2026 end-of-day chain's premiums. Breakeven is the underlying price at which the strategy's P&L crosses zero ignoring transaction costs and assignment risk. The CEPI market-implied 1-standard-deviation expected move in the same options snapshot is approximately 8.72%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.

How does current CEPI implied volatility affect this butterfly?

CEPI ATM IV is at 30.40% with IV rank near 23.01%, which is on the low end of its 1-year range. Premium-buying structures (long call, long put, debit spreads) are relatively cheap in this regime; premium-selling structures collect less credit per unit risk.

CEPI Butterfly Strategy

CEPI (REX Crypto Equity Premium Income ETF), in the Financial Services sector, (Asset Management industry), listed on NASDAQ.

CEPI aims for exposure in US crypto-related companies, in sectors such as crypto mining, trading, custody, blockchain technology development, and the creation of digital payment solutions. Component securities are grouped into Crypto Assets Leaders and Digital Payments Leaders of this space, with a 80% and 20% allocation respectively. The fund holds 25 stock positions, while employing a covered call strategy, writing out-of-the-money options on individual securities to boost income from higher premiums, partially offsetting price declines and limiting upside potential. CEPI focuses on stock selection and option writing tailored to prevailing market conditions. The strategy aims to cushion against market declines and manage price volatility, blending capital appreciation and current income.

CEPI (REX Crypto Equity Premium Income ETF) trades in the Financial Services sector, specifically Asset Management, with a market capitalization of approximately $115.0M, a beta of 1.71 versus the broader market, a 52-week range of 26.981-43.7, average daily share volume of 44K, a public-listing history dating back to 2024. These structural characteristics shape how CEPI etf options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.

A beta of 1.71 indicates CEPI has historically moved more than the broader market, amplifying both the directional payoff and the realized volatility relative to an index-equivalent position. CEPI pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.

What is a butterfly on CEPI?

A long call butterfly buys one lower-strike call, sells two ATM calls, and buys one higher-strike call, paying a small net debit for a defined-risk position that maxes out if the underlying pins the middle strike at expiration.

CEPI snapshot

As of August 14, 2026, spot at $31.73, ATM IV 30.40%, IV rank 23.01%, expected move 8.72%. The butterfly on CEPI below is built from the August 14, 2026 end-of-day chain, with strikes snapped to listed contracts and premiums pulled from the bid/ask midpoint at a 35-day expiry.

Why this butterfly structure on CEPI specifically: CEPI IV at 30.40% is on the cheap side of its 1-year range, which favors premium-buying structures like a CEPI butterfly, with a market-implied 1-standard-deviation move of approximately 8.72% (roughly $2.77 on the underlying). The 35-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated CEPI expiries trade a higher absolute premium for lower per-day decay. Position sizing on CEPI should anchor to the underlying notional of $31.73 per share and to the trader's directional view on CEPI etf.

CEPI butterfly setup

The CEPI butterfly below is built from the August 14, 2026 end-of-day chain, with each option leg priced at the bid/ask midpoint of its listed strike. With CEPI at $31.73 on that close, the first option leg uses a $30.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed CEPI chain at a 35-day expiry; the cross-strike IV skew is reflected directly in the per-leg values rather than approximated. Quantity sizing assumes one contract per option leg (or 100 CEPI shares for the stock leg in covered calls and collars).

Action	Type	Strike / Basis	Premium (est)
Buy 1	Call	$30.00	$1.88
Sell 2	Call	$32.00	$0.73
Buy 1	Call	$33.00	$0.35

CEPI butterfly risk and reward

Net Premium / Debit: -$77.50
Max Profit (per contract): $111.94
Max Loss (per contract): -$77.50
Breakeven(s): $30.78
Risk / Reward Ratio: 1.444

Max profit equals the wing width minus net debit times 100 (reached when the underlying pins the middle strike); max loss equals the net debit times 100. Two breakevens at lower-wing plus debit and upper-wing minus debit.

CEPI butterfly payoff curve

Modeled P&L at expiration across a range of underlying prices for the butterfly on CEPI. Each row is one sampled price point from the computed payoff curve; the full curve uses 200 price points internally before being summarized into 10 rows here.

P&L at expiration across the modeled underlying-price range. Green shading marks profitable regions, red shading marks loss regions. Dotted purple verticals mark breakevens; the solid dark vertical marks current spot.

Underlying Price	% From Spot	P&L at Expiration
$0.01	-100.0%	-$77.50
$7.02	-77.9%	-$77.50
$14.04	-55.8%	-$77.50
$21.05	-33.6%	-$77.50
$28.07	-11.5%	-$77.50
$35.08	+10.6%	+$22.50
$42.10	+32.7%	+$22.50
$49.11	+54.8%	+$22.50
$56.13	+76.9%	+$22.50
$63.14	+99.0%	+$22.50

When traders use butterfly on CEPI

Butterflies on CEPI are pinning bets - traders use them when they expect CEPI to settle near a specific level at expiration (often the prior close, a round number, or the max-pain strike) and want defined-risk exposure to that outcome.

CEPI thesis for this butterfly

The market-implied 1-standard-deviation range for CEPI extends from approximately $28.96 on the downside to $34.50 on the upside. A CEPI long call butterfly is a pinning play: it pays maximum at the middle strike if CEPI settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current CEPI IV rank near 23.01% sits in the lower third of its 1-year distribution, where IV often re-expands toward the mean; this favors premium-buying structures and disadvantages premium-selling structures on CEPI at 30.40%. As a Financial Services name, CEPI options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to CEPI-specific events.

CEPI butterfly positions are structurally neutral / pin (limited-risk, limited-reward); the modeled P&L assumes European-style exercise at expiration and ignores early assignment, transaction costs, dividends paid before expiry on the stock leg (when present), and the bid-ask spread on the listed chain. CEPI positions also carry Financial Services sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move CEPI alongside the broader basket even when CEPI-specific fundamentals are unchanged. Always rebuild the position from current CEPI chain quotes before placing a trade.

Frequently asked questions

What is a butterfly on CEPI?: A butterfly on CEPI is the butterfly strategy applied to CEPI (etf). The strategy is structurally neutral / pin (limited-risk, limited-reward): A long call butterfly buys one lower-strike call, sells two ATM calls, and buys one higher-strike call, paying a small net debit for a defined-risk position that maxes out if the underlying pins the middle strike at expiration. With CEPI etf at $31.73 on the August 14, 2026 close, the strikes shown on this page are snapped to the nearest listed CEPI chain strike and the premiums come straight from that session's bid/ask midpoint.
How are CEPI butterfly max profit and max loss calculated?: Max profit equals the wing width minus net debit times 100 (reached when the underlying pins the middle strike); max loss equals the net debit times 100. Two breakevens at lower-wing plus debit and upper-wing minus debit. For the CEPI butterfly priced from the August 14, 2026 end-of-day chain at a 30-day expiry (ATM IV 30.40%), the computed maximum profit is $111.94 per contract and the computed maximum loss is -$77.50 per contract. Live intraday quotes will differ as the chain moves through the trading session.
What is the breakeven for a CEPI butterfly?: The breakeven for the CEPI butterfly priced on this page is roughly $30.78 at expiration, derived from the August 14, 2026 end-of-day chain's premiums. Breakeven is the underlying price at which the strategy's P&L crosses zero ignoring transaction costs and assignment risk. The CEPI market-implied 1-standard-deviation expected move in the same options snapshot is approximately 8.72%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
When should you consider a butterfly on CEPI?: Butterflies on CEPI are pinning bets - traders use them when they expect CEPI to settle near a specific level at expiration (often the prior close, a round number, or the max-pain strike) and want defined-risk exposure to that outcome.
How does current CEPI implied volatility affect this butterfly?: CEPI ATM IV is at 30.40% with IV rank near 23.01%, which is on the low end of its 1-year range. Premium-buying structures (long call, long put, debit spreads) are relatively cheap in this regime; premium-selling structures collect less credit per unit risk.