How are SWAN 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 SWAN butterfly priced from the August 14, 2026 end-of-day chain at a 30-day expiry (ATM IV 246.50%), the computed maximum profit is $89.96 per contract and the computed maximum loss is -$102.50 per contract. Live intraday quotes will differ as the chain moves through the trading session.

What is the breakeven for a SWAN butterfly?

The breakeven for the SWAN butterfly priced on this page is roughly $33.03 and $35.13 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 SWAN market-implied 1-standard-deviation expected move in the same options snapshot is approximately 70.67%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.

How does current SWAN implied volatility affect this butterfly?

SWAN ATM IV is at 246.50% with IV rank near 50.01%, 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.

SWAN Butterfly Strategy

SWAN (Amplify BlackSwan Growth & Treasury Core ETF), in the Financial Services sector, (Asset Management - Bonds industry), listed on AMEX.

The Amplify BlackSwan Growth & Treasury Core ETF (SWAN) is structured to replicate the investment outcomes of the S-Network BlackSwan Core Index. This underlying index pursues a dual objective: capturing the full upside potential of the S&P 500, concurrently mitigating the risk of significant market declines. To achieve this, the ETF primarily allocates approximately 90% of its assets to U.S. Treasury securities, with the remaining 10% invested in in-the-money call options on the SPY ETF.

SWAN (Amplify BlackSwan Growth & Treasury Core ETF) trades in the Financial Services sector, specifically Asset Management - Bonds, with a market capitalization of approximately $161.0M, a beta of 0.86 versus the broader market, a 52-week range of 30.45-34.21, average daily share volume of 78K, a public-listing history dating back to 2018. These structural characteristics shape how SWAN etf options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.

A beta of 0.86 places SWAN roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline. SWAN pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.

What is a butterfly on SWAN?

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.

SWAN snapshot

As of August 14, 2026, spot at $33.75, ATM IV 246.50%, IV rank 50.01%, expected move 70.67%. The butterfly on SWAN 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 SWAN specifically: SWAN IV at 246.50% 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 70.67% (roughly $23.85 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 SWAN expiries trade a higher absolute premium for lower per-day decay. Position sizing on SWAN should anchor to the underlying notional of $33.75 per share and to the trader's directional view on SWAN etf.

SWAN butterfly setup

The SWAN 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 SWAN at $33.75 on that close, the first option leg uses a $32.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed SWAN 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 SWAN shares for the stock leg in covered calls and collars).

Action	Type	Strike / Basis	Premium (est)
Buy 1	Call	$32.00	$1.93
Sell 2	Call	$34.00	$0.56
Buy 1	Call	$35.00	$0.22

SWAN butterfly risk and reward

Net Premium / Debit: -$102.50
Max Profit (per contract): $89.96
Max Loss (per contract): -$102.50
Breakeven(s): $33.03, $35.13
Risk / Reward Ratio: 0.878

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.

SWAN butterfly payoff curve

Modeled P&L at expiration across a range of underlying prices for the butterfly on SWAN. 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%	-$102.50
$7.47	-77.9%	-$102.50
$14.93	-55.8%	-$102.50
$22.39	-33.6%	-$102.50
$29.85	-11.5%	-$102.50
$37.32	+10.6%	-$2.50
$44.78	+32.7%	-$2.50
$52.24	+54.8%	-$2.50
$59.70	+76.9%	-$2.50
$67.16	+99.0%	-$2.50

When traders use butterfly on SWAN

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

SWAN thesis for this butterfly

The market-implied 1-standard-deviation range for SWAN extends from approximately $9.90 on the downside to $57.60 on the upside. A SWAN long call butterfly is a pinning play: it pays maximum at the middle strike if SWAN settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current SWAN IV rank near 50.01% is mid-range against its 1-year distribution, so the IV signal is neutral; the butterfly thesis on SWAN should anchor more to the directional view and the expected-move geometry. As a Financial Services name, SWAN options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to SWAN-specific events.

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

Frequently asked questions

What is a butterfly on SWAN?: A butterfly on SWAN is the butterfly strategy applied to SWAN (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 SWAN etf at $33.75 on the August 14, 2026 close, the strikes shown on this page are snapped to the nearest listed SWAN chain strike and the premiums come straight from that session's bid/ask midpoint.
How are SWAN 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 SWAN butterfly priced from the August 14, 2026 end-of-day chain at a 30-day expiry (ATM IV 246.50%), the computed maximum profit is $89.96 per contract and the computed maximum loss is -$102.50 per contract. Live intraday quotes will differ as the chain moves through the trading session.
What is the breakeven for a SWAN butterfly?: The breakeven for the SWAN butterfly priced on this page is roughly $33.03 and $35.13 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 SWAN market-implied 1-standard-deviation expected move in the same options snapshot is approximately 70.67%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
When should you consider a butterfly on SWAN?: Butterflies on SWAN are pinning bets - traders use them when they expect SWAN 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 SWAN implied volatility affect this butterfly?: SWAN ATM IV is at 246.50% with IV rank near 50.01%, 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.