How are VFMO 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 VFMO butterfly priced from the August 14, 2026 end-of-day chain at a 30-day expiry (ATM IV 20.40%), the computed maximum profit is $842.48 per contract and the computed maximum loss is -$655.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.

What is the breakeven for a VFMO butterfly?

The breakeven for the VFMO butterfly priced on this page is roughly $231.55 and $248.45 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 VFMO market-implied 1-standard-deviation expected move in the same options snapshot is approximately 5.85%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.

How does current VFMO implied volatility affect this butterfly?

VFMO ATM IV is at 20.40% with IV rank near 1.46%, 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.

VFMO Butterfly Strategy

VFMO (Vanguard U.S. Momentum Factor ETF), in the Financial Services sector, (Asset Management - Global industry), listed on CBOE.

Employing a systematic, quantitative framework, the advisor identifies U.S. equities exhibiting robust recent performance. The fund's holdings form a broadly diversified portfolio, spanning various market capitalizations (large, mid, and small), sectors, and industry groups. Its primary objective is to achieve significant long-term capital appreciation. Generally, a minimum of 80% of the fund's assets are allocated to securities issued by U.S. companies. The fund specifically defines its 'Momentum' factor based on total returns over the periods of month T-12 to T-1 and month T-7 to T-1, in addition to the intercept value from a one-year regression comparing individual stock returns to their regional benchmark.

VFMO (Vanguard U.S. Momentum Factor ETF) trades in the Financial Services sector, specifically Asset Management - Global, with a market capitalization of approximately $2.10B, a beta of 1.32 versus the broader market, a 52-week range of 172.91-250.2, average daily share volume of 68K, a public-listing history dating back to 2018. These structural characteristics shape how VFMO etf options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.

A beta of 1.32 indicates VFMO has historically moved more than the broader market, amplifying both the directional payoff and the realized volatility relative to an index-equivalent position. VFMO pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.

What is a butterfly on VFMO?

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.

VFMO snapshot

As of August 14, 2026, spot at $238.77, ATM IV 20.40%, IV rank 1.46%, expected move 5.85%. The butterfly on VFMO 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 63-day expiry.

Why this butterfly structure on VFMO specifically: VFMO IV at 20.40% is on the cheap side of its 1-year range, which favors premium-buying structures like a VFMO butterfly, with a market-implied 1-standard-deviation move of approximately 5.85% (roughly $13.96 on the underlying). The 63-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated VFMO expiries trade a higher absolute premium for lower per-day decay. Position sizing on VFMO should anchor to the underlying notional of $238.77 per share and to the trader's directional view on VFMO etf.

VFMO butterfly setup

The VFMO 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 VFMO at $238.77 on that close, the first option leg uses a $225.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed VFMO chain at a 63-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 VFMO shares for the stock leg in covered calls and collars).

Action	Type	Strike / Basis	Premium (est)
Buy 1	Call	$225.00	$18.15
Sell 2	Call	$240.00	$7.85
Buy 1	Call	$250.00	$4.10

VFMO butterfly risk and reward

Net Premium / Debit: -$655.00
Max Profit (per contract): $842.48
Max Loss (per contract): -$655.00
Breakeven(s): $231.55, $248.45
Risk / Reward Ratio: 1.286

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.

VFMO butterfly payoff curve

Modeled P&L at expiration across a range of underlying prices for the butterfly on VFMO. 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%	-$655.00
$52.80	-77.9%	-$655.00
$105.59	-55.8%	-$655.00
$158.39	-33.7%	-$655.00
$211.18	-11.6%	-$655.00
$263.97	+10.6%	-$155.00
$316.76	+32.7%	-$155.00
$369.56	+54.8%	-$155.00
$422.35	+76.9%	-$155.00
$475.14	+99.0%	-$155.00

When traders use butterfly on VFMO

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

VFMO thesis for this butterfly

The market-implied 1-standard-deviation range for VFMO extends from approximately $224.81 on the downside to $252.73 on the upside. A VFMO long call butterfly is a pinning play: it pays maximum at the middle strike if VFMO settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current VFMO IV rank near 1.46% 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 VFMO at 20.40%. As a Financial Services name, VFMO options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to VFMO-specific events.

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

Frequently asked questions

What is a butterfly on VFMO?: A butterfly on VFMO is the butterfly strategy applied to VFMO (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 VFMO etf at $238.77 on the August 14, 2026 close, the strikes shown on this page are snapped to the nearest listed VFMO chain strike and the premiums come straight from that session's bid/ask midpoint.
How are VFMO 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 VFMO butterfly priced from the August 14, 2026 end-of-day chain at a 30-day expiry (ATM IV 20.40%), the computed maximum profit is $842.48 per contract and the computed maximum loss is -$655.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.
What is the breakeven for a VFMO butterfly?: The breakeven for the VFMO butterfly priced on this page is roughly $231.55 and $248.45 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 VFMO market-implied 1-standard-deviation expected move in the same options snapshot is approximately 5.85%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
When should you consider a butterfly on VFMO?: Butterflies on VFMO are pinning bets - traders use them when they expect VFMO 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 VFMO implied volatility affect this butterfly?: VFMO ATM IV is at 20.40% with IV rank near 1.46%, 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.