AVLN Butterfly Strategy
AVLN (Avalyn Pharma Inc. Common Stock), in the Healthcare sector, (Biotechnology industry), listed on NASDAQ.
Avalyn Pharma Inc. operates as a biopharmaceutical firm currently in its clinical development phase. The company's primary focus is on creating inhaled pharmaceutical products to manage rare lung conditions, including pulmonary fibrosis and various other interstitial lung diseases (ILDs). Richard Glenn Vincent, Mark W. Surber, and Michael J. Kamdar co-founded the enterprise on May 27, 2011, and its corporate headquarters are situated in Boston, Massachusetts.
AVLN (Avalyn Pharma Inc. Common Stock) trades in the Healthcare sector, specifically Biotechnology, with a market capitalization of approximately $1.24B, a beta of -1.13 versus the broader market, a 52-week range of 24.15-40.17, average daily share volume of 297K, a public-listing history dating back to 2026, approximately 55 full-time employees. These structural characteristics shape how AVLN stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of -1.13 indicates AVLN has historically moved less than the broader market, dampening realized volatility and producing tighter expected-move bands per unit of dollar exposure.
What is a butterfly on AVLN?
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.
AVLN snapshot
As of September 29, 2026, spot at $27.34, ATM IV 48.80%, expected move 13.99%. The butterfly on AVLN 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 17-day expiry.
Why this butterfly structure on AVLN specifically: IV rank is unavailable in the current snapshot, so regime-based timing for AVLN is inferred from ATM IV at 48.80% alone, with a market-implied 1-standard-deviation move of approximately 13.99% (roughly $3.83 on the underlying). The 17-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated AVLN expiries trade a higher absolute premium for lower per-day decay. Position sizing on AVLN should anchor to the underlying notional of $27.34 per share and to the trader's directional view on AVLN stock.
AVLN butterfly setup
The AVLN 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 AVLN at $27.34 on that close, the first option leg uses a $25.97 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed AVLN chain at a 17-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 AVLN shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $25.97 | N/A |
| Sell 2 | Call | $27.34 | N/A |
| Buy 1 | Call | $28.71 | N/A |
AVLN 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.
AVLN butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on AVLN. 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 AVLN
Butterflies on AVLN are pinning bets - traders use them when they expect AVLN 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.
AVLN thesis for this butterfly
The market-implied 1-standard-deviation range for AVLN extends from approximately $23.51 on the downside to $31.17 on the upside. A AVLN long call butterfly is a pinning play: it pays maximum at the middle strike if AVLN settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. As a Healthcare name, AVLN options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to AVLN-specific events.
AVLN 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. AVLN positions also carry Healthcare sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move AVLN alongside the broader basket even when AVLN-specific fundamentals are unchanged. Always rebuild the position from current AVLN chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on AVLN?
- A butterfly on AVLN is the butterfly strategy applied to AVLN (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 AVLN stock at $27.34 on the most recent close, the strikes shown on this page are snapped to the nearest listed AVLN chain strike and the premiums come straight from that session's bid/ask midpoint.
- How are AVLN 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 AVLN butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 48.80%), 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 AVLN butterfly?
- The breakeven for the AVLN 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 AVLN market-implied 1-standard-deviation expected move in the same options snapshot is approximately 13.99%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on AVLN?
- Butterflies on AVLN are pinning bets - traders use them when they expect AVLN 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 AVLN implied volatility affect this butterfly?
- Current AVLN ATM IV is 48.80%; IV rank context is unavailable in the current snapshot.