ANNX Butterfly Strategy
ANNX (Annexon, Inc.), in the Healthcare sector, (Biotechnology industry), listed on NASDAQ.
Annexon, Inc. is a biopharmaceutical company currently engaged in clinical trials, dedicated to the discovery and advancement of therapies for a variety of autoimmune, neurodegenerative, and ophthalmic conditions. Central to its approach is the C1q molecule, which initiates the classical complement pathway. The company targets this pathway to address specific disease mechanisms, such as those seen in antibody-mediated autoimmune disorders and complement-driven neurodegeneration. The company's developmental pipeline features several promising candidates. ANX005, a monoclonal antibody, is in advanced clinical testing, undergoing Phase II/III trials for Guillain-Barré syndrome, as well as Phase II trials for warm autoimmune hemolytic anemia, Huntington's disease, and amyotrophic lateral sclerosis. Another candidate, ANX009, is currently in Phase Ib studies for lupus nephritis.
ANNX (Annexon, Inc.) trades in the Healthcare sector, specifically Biotechnology, with a market capitalization of approximately $873.3M, a beta of 1.22 versus the broader market, a 52-week range of 2.03-7.18, average daily share volume of 3.2M, a public-listing history dating back to 2020, approximately 93 full-time employees. These structural characteristics shape how ANNX stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 1.22 places ANNX roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline.
What is a butterfly on ANNX?
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.
ANNX snapshot
As of August 14, 2026, spot at $5.24, ATM IV 246.10%, IV rank 46.94%, expected move 70.55%. The butterfly on ANNX below is built from the 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 ANNX specifically: ANNX IV at 246.10% 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 70.55% (roughly $3.70 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 ANNX expiries trade a higher absolute premium for lower per-day decay. Position sizing on ANNX should anchor to the underlying notional of $5.24 per share and to the trader's directional view on ANNX stock.
ANNX butterfly setup
The ANNX 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 ANNX at $5.24 on that close, the first option leg uses a $4.98 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed ANNX 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 ANNX shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $4.98 | N/A |
| Sell 2 | Call | $5.24 | N/A |
| Buy 1 | Call | $5.50 | N/A |
ANNX 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.
ANNX butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on ANNX. 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 ANNX
Butterflies on ANNX are pinning bets - traders use them when they expect ANNX 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.
ANNX thesis for this butterfly
The market-implied 1-standard-deviation range for ANNX extends from approximately $1.54 on the downside to $8.94 on the upside. A ANNX long call butterfly is a pinning play: it pays maximum at the middle strike if ANNX settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current ANNX IV rank near 46.94% is mid-range against its 1-year distribution, so the IV signal is neutral; the butterfly thesis on ANNX should anchor more to the directional view and the expected-move geometry. As a Healthcare name, ANNX options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to ANNX-specific events.
ANNX 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. ANNX positions also carry Healthcare sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move ANNX alongside the broader basket even when ANNX-specific fundamentals are unchanged. Always rebuild the position from current ANNX chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on ANNX?
- A butterfly on ANNX is the butterfly strategy applied to ANNX (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 ANNX stock at $5.24 on the most recent close, the strikes shown on this page are snapped to the nearest listed ANNX chain strike and the premiums come straight from that session's bid/ask midpoint.
- How are ANNX 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 ANNX butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 246.10%), 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 ANNX butterfly?
- The breakeven for the ANNX butterfly priced on this page is no defined breakeven on the modeled curve at expiration, derived from the 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 ANNX market-implied 1-standard-deviation expected move in the same options snapshot is approximately 70.55%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on ANNX?
- Butterflies on ANNX are pinning bets - traders use them when they expect ANNX 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 ANNX implied volatility affect this butterfly?
- ANNX ATM IV is at 246.10% with IV rank near 46.94%, 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.