How are VFVA 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 VFVA butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 18.20%), the computed maximum profit is $255.63 per contract and the computed maximum loss is -$370.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.

What is the breakeven for a VFVA butterfly?

The breakeven for the VFVA butterfly priced on this page is roughly $145.70 and $152.30 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 VFVA market-implied 1-standard-deviation expected move is approximately 5.22%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.

How does current VFVA implied volatility affect this butterfly?

VFVA ATM IV is at 18.20% with IV rank near 1.06%, 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.

VFVA Butterfly Strategy

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

The fund's manager employs a systematic, data-driven approach to evaluate U.S. common stocks, specifically targeting those with comparatively low market valuations when assessed against their underlying financial fundamentals. Its holdings are broadly diversified, encompassing companies of varying market capitalizations—large, mid, and small—as well as numerous economic sectors and distinct industry groups. The primary objective is to achieve long-term capital appreciation. Typically, a minimum of 80% of the fund's assets will be invested in securities issued by American companies. This "Value factor" is precisely measured using criteria such as book value-to-price ratio, forward earnings-to-price ratio, and (for non-financial entities only) operating cash flows-to-price ratio.

VFVA (Vanguard U.S. Value Factor ETF) trades in the Financial Services sector, specifically Asset Management - Global, with a market capitalization of approximately $825.4M, a beta of 0.93 versus the broader market, a 52-week range of 115.61-149.99, average daily share volume of 9K, a public-listing history dating back to 2018. These structural characteristics shape how VFVA etf options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.

A beta of 0.93 places VFVA roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline. VFVA pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.

What is a butterfly on VFVA?

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 VFVA snapshot

As of June 29, 2026, spot at $148.99, ATM IV 18.20%, IV rank 1.06%, expected move 5.22%. The butterfly on VFVA 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 81-day expiry.

Why this butterfly structure on VFVA specifically: VFVA IV at 18.20% is on the cheap side of its 1-year range, which favors premium-buying structures like a VFVA butterfly, with a market-implied 1-standard-deviation move of approximately 5.22% (roughly $7.77 on the underlying). The 81-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated VFVA expiries trade a higher absolute premium for lower per-day decay. Position sizing on VFVA should anchor to the underlying notional of $148.99 per share and to the trader's directional view on VFVA etf.

VFVA butterfly setup

The VFVA 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 VFVA near $148.99, the first option leg uses a $142.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed VFVA chain at a 81-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 VFVA shares for the stock leg in covered calls and collars).

Action	Type	Strike / Basis	Premium (est)
Buy 1	Call	$142.00	$11.40
Sell 2	Call	$149.00	$5.40
Buy 1	Call	$154.00	$3.10

VFVA butterfly risk and reward

Net Premium / Debit: -$370.00
Max Profit (per contract): $255.63
Max Loss (per contract): -$370.00
Breakeven(s): $145.70, $152.30
Risk / Reward Ratio: 0.691

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.

VFVA butterfly payoff curve

Modeled P&L at expiration across a range of underlying prices for the butterfly on VFVA. 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%	-$370.00
$32.95	-77.9%	-$370.00
$65.89	-55.8%	-$370.00
$98.83	-33.7%	-$370.00
$131.78	-11.6%	-$370.00
$164.72	+10.6%	-$170.00
$197.66	+32.7%	-$170.00
$230.60	+54.8%	-$170.00
$263.54	+76.9%	-$170.00
$296.48	+99.0%	-$170.00

When traders use butterfly on VFVA

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

VFVA thesis for this butterfly

The market-implied 1-standard-deviation range for VFVA extends from approximately $141.22 on the downside to $156.76 on the upside. A VFVA long call butterfly is a pinning play: it pays maximum at the middle strike if VFVA settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current VFVA IV rank near 1.06% 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 VFVA at 18.20%. As a Financial Services name, VFVA options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to VFVA-specific events.

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

Frequently asked questions

What is a butterfly on VFVA?: A butterfly on VFVA is the butterfly strategy applied to VFVA (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 VFVA etf trading near $148.99, the strikes shown on this page are snapped to the nearest listed VFVA chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
How are VFVA 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 VFVA butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 18.20%), the computed maximum profit is $255.63 per contract and the computed maximum loss is -$370.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.
What is the breakeven for a VFVA butterfly?: The breakeven for the VFVA butterfly priced on this page is roughly $145.70 and $152.30 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 VFVA market-implied 1-standard-deviation expected move is approximately 5.22%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
When should you consider a butterfly on VFVA?: Butterflies on VFVA are pinning bets - traders use them when they expect VFVA 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 VFVA implied volatility affect this butterfly?: VFVA ATM IV is at 18.20% with IV rank near 1.06%, 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.