How are BLCO 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 BLCO butterfly priced from the August 14, 2026 end-of-day chain at a 30-day expiry (ATM IV 46.40%), the computed maximum profit is $71.47 per contract and the computed maximum loss is -$22.50 per contract. Live intraday quotes will differ as the chain moves through the trading session.

What is the breakeven for a BLCO butterfly?

The breakeven for the BLCO butterfly priced on this page is roughly $16.23 and $17.78 at expiration, derived from the August 14, 2026 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 BLCO market-implied 1-standard-deviation expected move in the same options snapshot is approximately 13.30%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.

How does current BLCO implied volatility affect this butterfly?

BLCO ATM IV is at 46.40% with IV rank near 9.33%, 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.

BLCO Butterfly Strategy

BLCO (Bausch + Lomb Corporation), in the Healthcare sector, (Medical - Instruments & Supplies industry), listed on NYSE.

Bausch + Lomb Corporation is a leading global eye health company. Its operations are structured across three primary segments: Vision Care/Consumer Health, Ophthalmic Pharmaceuticals, and Surgical. The Vision Care/Consumer Health division offers a comprehensive portfolio of contact lenses, encompassing all wearing modalities from daily disposables to frequently replaced options. This segment also provides essential contact lens care products, over-the-counter eye drops, and nutritional supplements aimed at alleviating common eye conditions like allergies, conjunctivitis, and dry eye. Through its Ophthalmic Pharmaceuticals segment, the company develops and markets both proprietary and generic prescription medications. These pharmaceuticals are utilized for post-operative recovery and the treatment of various ocular diseases, such as glaucoma, ocular hypertension, and retinal disorders.

BLCO (Bausch + Lomb Corporation) trades in the Healthcare sector, specifically Medical - Instruments & Supplies, with a market capitalization of approximately $5.99B, a beta of 0.55 versus the broader market, a 52-week range of 13.765-18.915, average daily share volume of 443K, a public-listing history dating back to 2022, approximately 13K full-time employees. These structural characteristics shape how BLCO stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.

A beta of 0.55 indicates BLCO 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 BLCO?

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.

BLCO snapshot

As of August 14, 2026, spot at $16.97, ATM IV 46.40%, IV rank 9.33%, expected move 13.30%. The butterfly on BLCO below is built from the August 14, 2026 end-of-day chain, with strikes snapped to listed contracts and premiums pulled from the bid/ask midpoint at a 7-day expiry.

Why this butterfly structure on BLCO specifically: BLCO IV at 46.40% is on the cheap side of its 1-year range, which favors premium-buying structures like a BLCO butterfly, with a market-implied 1-standard-deviation move of approximately 13.30% (roughly $2.26 on the underlying). The 7-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated BLCO expiries trade a higher absolute premium for lower per-day decay. Position sizing on BLCO should anchor to the underlying notional of $16.97 per share and to the trader's directional view on BLCO stock.

BLCO butterfly setup

The BLCO butterfly below is built from the August 14, 2026 end-of-day chain, with each option leg priced at the bid/ask midpoint of its listed strike. With BLCO at $16.97 on that close, the first option leg uses a $16.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed BLCO chain at a 7-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 BLCO shares for the stock leg in covered calls and collars).

Action	Type	Strike / Basis	Premium (est)
Buy 1	Call	$16.00	$1.08
Sell 2	Call	$17.00	$0.50
Buy 1	Call	$18.00	$0.15

BLCO butterfly risk and reward

Net Premium / Debit: -$22.50
Max Profit (per contract): $71.47
Max Loss (per contract): -$22.50
Breakeven(s): $16.23, $17.78
Risk / Reward Ratio: 3.177

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.

BLCO butterfly payoff curve

Modeled P&L at expiration across a range of underlying prices for the butterfly on BLCO. 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	-99.9%	-$22.50
$3.76	-77.8%	-$22.50
$7.51	-55.7%	-$22.50
$11.26	-33.6%	-$22.50
$15.01	-11.5%	-$22.50
$18.77	+10.6%	-$22.50
$22.52	+32.7%	-$22.50
$26.27	+54.8%	-$22.50
$30.02	+76.9%	-$22.50
$33.77	+99.0%	-$22.50

When traders use butterfly on BLCO

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

BLCO thesis for this butterfly

The market-implied 1-standard-deviation range for BLCO extends from approximately $14.71 on the downside to $19.23 on the upside. A BLCO long call butterfly is a pinning play: it pays maximum at the middle strike if BLCO settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current BLCO IV rank near 9.33% 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 BLCO at 46.40%. As a Healthcare name, BLCO options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to BLCO-specific events.

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

Frequently asked questions

What is a butterfly on BLCO?: A butterfly on BLCO is the butterfly strategy applied to BLCO (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 BLCO stock at $16.97 on the August 14, 2026 close, the strikes shown on this page are snapped to the nearest listed BLCO chain strike and the premiums come straight from that session's bid/ask midpoint.
How are BLCO 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 BLCO butterfly priced from the August 14, 2026 end-of-day chain at a 30-day expiry (ATM IV 46.40%), the computed maximum profit is $71.47 per contract and the computed maximum loss is -$22.50 per contract. Live intraday quotes will differ as the chain moves through the trading session.
What is the breakeven for a BLCO butterfly?: The breakeven for the BLCO butterfly priced on this page is roughly $16.23 and $17.78 at expiration, derived from the August 14, 2026 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 BLCO market-implied 1-standard-deviation expected move in the same options snapshot is approximately 13.30%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
When should you consider a butterfly on BLCO?: Butterflies on BLCO are pinning bets - traders use them when they expect BLCO 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 BLCO implied volatility affect this butterfly?: BLCO ATM IV is at 46.40% with IV rank near 9.33%, 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.