How are GSG 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 GSG butterfly priced from the August 14, 2026 end-of-day chain at a 30-day expiry (ATM IV 31.50%), the computed maximum profit is $103.56 per contract and the computed maximum loss is -$95.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.

What is the breakeven for a GSG butterfly?

The breakeven for the GSG butterfly priced on this page is roughly $33.05 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 GSG market-implied 1-standard-deviation expected move in the same options snapshot is approximately 9.03%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.

How does current GSG implied volatility affect this butterfly?

GSG ATM IV is at 31.50% with IV rank near 37.81%, which is mid-range against its 1-year history. Strategy selection depends more on directional thesis and expected move than on a strong IV signal.

GSG Butterfly Strategy

GSG (iShares S&P GSCI Commodity-Indexed Trust), in the Financial Services sector, (Asset Management industry), listed on AMEX.

The iShares S&P GSCI Commodity-Indexed Trust, referred to as "the Trust," aims to replicate the performance of a fully collateralized portfolio of futures contracts derived from a broad-based index of various commodities. It is important to note that this Trust is not registered as an investment company under the 1940 Investment Company Act, and as such, it does not adhere to the same regulatory standards as mutual funds or ETFs that are registered under that act. Investing in shares of the Trust is speculative and inherently carries a high degree of risk. Therefore, potential investors should thoroughly review the prospectus, especially the risk factors and all other pertinent information, before making any investment decision.

GSG (iShares S&P GSCI Commodity-Indexed Trust) trades in the Financial Services sector, specifically Asset Management, with a market capitalization of approximately $1.19B, a trailing P/E of 3.62, a beta of 1.27 versus the broader market, a 52-week range of 21.93-34.94, average daily share volume of 849K, a public-listing history dating back to 2006. These structural characteristics shape how GSG etf options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.

A beta of 1.27 places GSG roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline. The trailing P/E of 3.62 is on the value side, where IV often compresses outside event windows because forward growth expectations are already discounted into the share price.

What is a butterfly on GSG?

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.

GSG snapshot

As of August 14, 2026, spot at $32.47, ATM IV 31.50%, IV rank 37.81%, expected move 9.03%. The butterfly on GSG 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 GSG specifically: GSG IV at 31.50% is mid-range versus its 1-year history, so strategy selection should anchor more to the directional thesis than to the IV regime, with a market-implied 1-standard-deviation move of approximately 9.03% (roughly $2.93 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 GSG expiries trade a higher absolute premium for lower per-day decay. Position sizing on GSG should anchor to the underlying notional of $32.47 per share and to the trader's directional view on GSG etf.

GSG butterfly setup

The GSG 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 GSG at $32.47 on that close, the first option leg uses a $31.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed GSG 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 GSG shares for the stock leg in covered calls and collars).

Action	Type	Strike / Basis	Premium (est)
Buy 1	Call	$31.00	$2.08
Sell 2	Call	$32.00	$1.38
Buy 1	Call	$34.00	$0.63

GSG butterfly risk and reward

Net Premium / Debit: +$5.00
Max Profit (per contract): $103.56
Max Loss (per contract): -$95.00
Breakeven(s): $33.05
Risk / Reward Ratio: 1.090

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.

GSG butterfly payoff curve

Modeled P&L at expiration across a range of underlying prices for the butterfly on GSG. 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%	+$5.00
$7.19	-77.9%	+$5.00
$14.37	-55.8%	+$5.00
$21.54	-33.6%	+$5.00
$28.72	-11.5%	+$5.00
$35.90	+10.6%	-$95.00
$43.08	+32.7%	-$95.00
$50.26	+54.8%	-$95.00
$57.44	+76.9%	-$95.00
$64.61	+99.0%	-$95.00

When traders use butterfly on GSG

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

GSG thesis for this butterfly

The market-implied 1-standard-deviation range for GSG extends from approximately $29.54 on the downside to $35.40 on the upside. A GSG long call butterfly is a pinning play: it pays maximum at the middle strike if GSG settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current GSG IV rank near 37.81% is mid-range against its 1-year distribution, so the IV signal is neutral; the butterfly thesis on GSG should anchor more to the directional view and the expected-move geometry. As a Financial Services name, GSG options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to GSG-specific events.

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

Frequently asked questions

What is a butterfly on GSG?: A butterfly on GSG is the butterfly strategy applied to GSG (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 GSG etf at $32.47 on the August 14, 2026 close, the strikes shown on this page are snapped to the nearest listed GSG chain strike and the premiums come straight from that session's bid/ask midpoint.
How are GSG 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 GSG butterfly priced from the August 14, 2026 end-of-day chain at a 30-day expiry (ATM IV 31.50%), the computed maximum profit is $103.56 per contract and the computed maximum loss is -$95.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.
What is the breakeven for a GSG butterfly?: The breakeven for the GSG butterfly priced on this page is roughly $33.05 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 GSG market-implied 1-standard-deviation expected move in the same options snapshot is approximately 9.03%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
When should you consider a butterfly on GSG?: Butterflies on GSG are pinning bets - traders use them when they expect GSG 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 GSG implied volatility affect this butterfly?: GSG ATM IV is at 31.50% with IV rank near 37.81%, which is mid-range against its 1-year history. Strategy selection depends more on directional thesis and expected move than on a strong IV signal.