AON Butterfly Strategy
AON (Aon plc), in the Financial Services sector, (Insurance - Brokers industry), listed on NYSE.
Aon plc, a professional services firm, provides advice and solutions to clients focused on risk, retirement, and health worldwide. It offers commercial risk solutions, including retail brokerage, cyber, and global risk consulting solutions, as well as acts as a captives management; and health solutions, such as health and benefits brokerages, and health care exchanges. The company also provides treaty and facultative reinsurance, as well as insurance-linked securities, capital raising, strategic advice, restructuring, and mergers and acquisitions services; and corporate finance advisory services and capital markets solutions products. In addition, it offers strategic design consulting services on their retirement programs, actuarial services, and risk management services; advice services on developing and maintaining investment programs across a range of plan types, including defined benefit plans, defined contribution plans, endowments, and foundations for public and private companies, and other institutions; and advice and solutions that help clients in risk, health, and wealth through commercial risk, reinsurance, health, and wealth solutions. Further, the company offers CoverWallet; Affinity; Aon Inpoint; CoverWallet; and ReView services. Aon plc was founded in 1919 and is headquartered in Dublin, Ireland.
AON (Aon plc) trades in the Financial Services sector, specifically Insurance - Brokers, with a market capitalization of approximately $66.40B, a trailing P/E of 16.90, a beta of 0.71 versus the broader market, a 52-week range of 304.59-381, average daily share volume of 1.4M, a public-listing history dating back to 1980, approximately 60K full-time employees. These structural characteristics shape how AON stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 0.71 places AON roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline. AON pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.
What is a butterfly on AON?
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 AON snapshot
As of May 15, 2026, spot at $318.44, ATM IV 25.50%, IV rank 31.99%, expected move 7.31%. The butterfly on AON 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 AON specifically: AON IV at 25.50% 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 7.31% (roughly $23.28 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 AON expiries trade a higher absolute premium for lower per-day decay. Position sizing on AON should anchor to the underlying notional of $318.44 per share and to the trader's directional view on AON stock.
AON butterfly setup
The AON 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 AON near $318.44, the first option leg uses a $300.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed AON 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 AON shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $300.00 | $23.60 |
| Sell 2 | Call | $320.00 | $9.90 |
| Buy 1 | Call | $330.00 | $5.50 |
AON butterfly risk and reward
- Net Premium / Debit
- -$930.00
- Max Profit (per contract)
- $1,065.48
- Max Loss (per contract)
- -$930.00
- Breakeven(s)
- $309.30
- Risk / Reward Ratio
- 1.146
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.
AON butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on AON. 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.
| Underlying Price | % From Spot | P&L at Expiration |
|---|---|---|
| $0.01 | -100.0% | -$930.00 |
| $70.42 | -77.9% | -$930.00 |
| $140.83 | -55.8% | -$930.00 |
| $211.23 | -33.7% | -$930.00 |
| $281.64 | -11.6% | -$930.00 |
| $352.05 | +10.6% | +$70.00 |
| $422.46 | +32.7% | +$70.00 |
| $492.86 | +54.8% | +$70.00 |
| $563.27 | +76.9% | +$70.00 |
| $633.68 | +99.0% | +$70.00 |
When traders use butterfly on AON
Butterflies on AON are pinning bets - traders use them when they expect AON 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.
AON thesis for this butterfly
The market-implied 1-standard-deviation range for AON extends from approximately $295.16 on the downside to $341.72 on the upside. A AON long call butterfly is a pinning play: it pays maximum at the middle strike if AON settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current AON IV rank near 31.99% is mid-range against its 1-year distribution, so the IV signal is neutral; the butterfly thesis on AON should anchor more to the directional view and the expected-move geometry. As a Financial Services name, AON options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to AON-specific events.
AON 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. AON positions also carry Financial Services sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move AON alongside the broader basket even when AON-specific fundamentals are unchanged. Always rebuild the position from current AON chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on AON?
- A butterfly on AON is the butterfly strategy applied to AON (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 AON stock trading near $318.44, the strikes shown on this page are snapped to the nearest listed AON chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are AON 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 AON butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 25.50%), the computed maximum profit is $1,065.48 per contract and the computed maximum loss is -$930.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a AON butterfly?
- The breakeven for the AON butterfly priced on this page is roughly $309.30 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 AON market-implied 1-standard-deviation expected move is approximately 7.31%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on AON?
- Butterflies on AON are pinning bets - traders use them when they expect AON 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 AON implied volatility affect this butterfly?
- AON ATM IV is at 25.50% with IV rank near 31.99%, 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.