AGO Butterfly Strategy
AGO (Assured Guaranty Ltd.), in the Financial Services sector, (Insurance - Specialty industry), listed on NYSE.
Assured Guaranty Ltd., through its subsidiaries, provides credit protection products to public finance, infrastructure, and structured finance markets in the United States and internationally. The company operates in two segments, Insurance and Asset Management. It offers financial guaranty insurance that protects holders of debt instruments and other monetary obligations from defaults in scheduled payments. The company insures and reinsures various debt obligations, including bonds issued by the United States state governmental authorities; and notes issued to finance infrastructure projects. It also insures and reinsures various the U.S. public finance obligations, such as general obligation, tax-backed, municipal utility, transportation, healthcare, higher education, infrastructure, housing revenue, investor-owned utility, renewable energy, and other public finance bonds. Further, it is involved in insuring and reinsuring of non-U.S. public finance obligations comprising regulated utilities, infrastructure finance, sovereign and sub-sovereign, renewable energy bonds, pooled infrastructure, and other public finance obligations; and the U.S. and non-U.S.
AGO (Assured Guaranty Ltd.) trades in the Financial Services sector, specifically Insurance - Specialty, with a market capitalization of approximately $3.33B, a trailing P/E of 8.22, a beta of 0.81 versus the broader market, a 52-week range of 74.18-92.4, average daily share volume of 349K, a public-listing history dating back to 2004, approximately 361 full-time employees. These structural characteristics shape how AGO stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 0.81 places AGO roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline. The trailing P/E of 8.22 is on the value side, where IV often compresses outside event windows because forward growth expectations are already discounted into the share price. AGO pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.
What is a butterfly on AGO?
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 AGO snapshot
As of May 15, 2026, spot at $74.82, ATM IV 24.60%, IV rank 39.99%, expected move 7.05%. The butterfly on AGO 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 34-day expiry.
Why this butterfly structure on AGO specifically: AGO IV at 24.60% 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 7.05% (roughly $5.28 on the underlying). The 34-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated AGO expiries trade a higher absolute premium for lower per-day decay. Position sizing on AGO should anchor to the underlying notional of $74.82 per share and to the trader's directional view on AGO stock.
AGO butterfly setup
The AGO 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 AGO near $74.82, the first option leg uses a $71.08 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed AGO chain at a 34-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 AGO shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $71.08 | N/A |
| Sell 2 | Call | $74.82 | N/A |
| Buy 1 | Call | $78.56 | N/A |
AGO butterfly risk and reward
- Net Premium / Debit
- N/A
- Max Profit (per contract)
- Unbounded
- Max Loss (per contract)
- Unbounded
- Breakeven(s)
- None on modeled curve
- Risk / Reward Ratio
- N/A
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.
AGO butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on AGO. 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.
When traders use butterfly on AGO
Butterflies on AGO are pinning bets - traders use them when they expect AGO 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.
AGO thesis for this butterfly
The market-implied 1-standard-deviation range for AGO extends from approximately $69.54 on the downside to $80.10 on the upside. A AGO long call butterfly is a pinning play: it pays maximum at the middle strike if AGO settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current AGO IV rank near 39.99% is mid-range against its 1-year distribution, so the IV signal is neutral; the butterfly thesis on AGO should anchor more to the directional view and the expected-move geometry. As a Financial Services name, AGO options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to AGO-specific events.
AGO 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. AGO positions also carry Financial Services sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move AGO alongside the broader basket even when AGO-specific fundamentals are unchanged. Always rebuild the position from current AGO chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on AGO?
- A butterfly on AGO is the butterfly strategy applied to AGO (stock). 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 AGO stock trading near $74.82, the strikes shown on this page are snapped to the nearest listed AGO chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are AGO 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 AGO butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 24.60%), the computed maximum profit is unbounded per contract and the computed maximum loss is unbounded per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a AGO butterfly?
- The breakeven for the AGO butterfly priced on this page is no defined breakeven on the modeled curve 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 AGO market-implied 1-standard-deviation expected move is approximately 7.05%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on AGO?
- Butterflies on AGO are pinning bets - traders use them when they expect AGO 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 AGO implied volatility affect this butterfly?
- AGO ATM IV is at 24.60% with IV rank near 39.99%, 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.