How are FAB 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 FAB butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 15.90%), the computed maximum profit is $218.45 per contract and the computed maximum loss is -$271.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.

What is the breakeven for a FAB butterfly?

The breakeven for the FAB butterfly priced on this page is roughly $99.71 and $104.32 at expiration, derived from end-of-day chain premiums. Breakeven is the underlying price at which the strategy's P&L crosses zero ignoring transaction costs and assignment risk. The current FAB market-implied 1-standard-deviation expected move is approximately 4.56%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.

How does current FAB implied volatility affect this butterfly?

FAB ATM IV is at 15.90% with IV rank near 12.34%, 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.

FAB Butterfly Strategy

FAB (First Trust Multi Cap Value AlphaDEX Fund), in the Financial Services sector, (Asset Management industry), listed on NASDAQ.

FAB holds a broad value-focused portfolio of stocks from the Nasdaq US Select Index Family. The fund uses a quantitative methodology to select and weight securities in three different size segments. In particular, FAB uses three value factors (P/B, ROA, and P/FCF) to rank companies. Once the fund has selected those firms best positioned for value, it employs a tiered weighting strategy that assigns weights of 50% to large caps, 30% to midcaps and 20% to small-caps. FAB makes huge sector bets and carries a small tilt. The index is reconstituted and rebalanced quarterly.

FAB (First Trust Multi Cap Value AlphaDEX Fund) trades in the Financial Services sector, specifically Asset Management, with a market capitalization of approximately $137.9M, a beta of 0.83 versus the broader market, a 52-week range of 80.81-102.3404, average daily share volume of 2K, a public-listing history dating back to 2007, approximately 1K full-time employees. These structural characteristics shape how FAB etf options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.

A beta of 0.83 places FAB roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline. FAB pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.

What is a butterfly on FAB?

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.

Current FAB snapshot

As of June 30, 2026, spot at $101.59, ATM IV 15.90%, IV rank 12.34%, expected move 4.56%. The butterfly on FAB below is built from the same end-of-day chain, with strikes snapped to listed contracts and premiums pulled from the bid/ask midpoint at a 17-day expiry.

Why this butterfly structure on FAB specifically: FAB IV at 15.90% is on the cheap side of its 1-year range, which favors premium-buying structures like a FAB butterfly, with a market-implied 1-standard-deviation move of approximately 4.56% (roughly $4.63 on the underlying). The 17-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated FAB expiries trade a higher absolute premium for lower per-day decay. Position sizing on FAB should anchor to the underlying notional of $101.59 per share and to the trader's directional view on FAB etf.

FAB butterfly setup

The FAB butterfly below is built from the end-of-day chain, with each option leg priced at the bid/ask midpoint of its listed strike. With FAB near $101.59, the first option leg uses a $97.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed FAB chain at a 17-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 FAB shares for the stock leg in covered calls and collars).

Action	Type	Strike / Basis	Premium (est)
Buy 1	Call	$97.00	$5.00
Sell 2	Call	$102.00	$1.31
Buy 1	Call	$105.00	$0.33

FAB butterfly risk and reward

Net Premium / Debit: -$271.00
Max Profit (per contract): $218.45
Max Loss (per contract): -$271.00
Breakeven(s): $99.71, $104.32
Risk / Reward Ratio: 0.806

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.

FAB butterfly payoff curve

Modeled P&L at expiration across a range of underlying prices for the butterfly on FAB. 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%	-$271.00
$22.47	-77.9%	-$271.00
$44.93	-55.8%	-$271.00
$67.39	-33.7%	-$271.00
$89.85	-11.6%	-$271.00
$112.32	+10.6%	-$71.00
$134.78	+32.7%	-$71.00
$157.24	+54.8%	-$71.00
$179.70	+76.9%	-$71.00
$202.16	+99.0%	-$71.00

When traders use butterfly on FAB

Butterflies on FAB are pinning bets - traders use them when they expect FAB 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.

FAB thesis for this butterfly

The market-implied 1-standard-deviation range for FAB extends from approximately $96.96 on the downside to $106.22 on the upside. A FAB long call butterfly is a pinning play: it pays maximum at the middle strike if FAB settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current FAB IV rank near 12.34% 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 FAB at 15.90%. As a Financial Services name, FAB options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to FAB-specific events.

FAB 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. FAB positions also carry Financial Services sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move FAB alongside the broader basket even when FAB-specific fundamentals are unchanged. Always rebuild the position from current FAB chain quotes before placing a trade.

Frequently asked questions

What is a butterfly on FAB?: A butterfly on FAB is the butterfly strategy applied to FAB (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 FAB etf trading near $101.59, the strikes shown on this page are snapped to the nearest listed FAB chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
How are FAB 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 FAB butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 15.90%), the computed maximum profit is $218.45 per contract and the computed maximum loss is -$271.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.
What is the breakeven for a FAB butterfly?: The breakeven for the FAB butterfly priced on this page is roughly $99.71 and $104.32 at expiration, derived from end-of-day chain premiums. Breakeven is the underlying price at which the strategy's P&L crosses zero ignoring transaction costs and assignment risk. The current FAB market-implied 1-standard-deviation expected move is approximately 4.56%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
When should you consider a butterfly on FAB?: Butterflies on FAB are pinning bets - traders use them when they expect FAB 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 FAB implied volatility affect this butterfly?: FAB ATM IV is at 15.90% with IV rank near 12.34%, 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.