BNS Butterfly Strategy
BNS (The Bank of Nova Scotia), in the Financial Services sector, (Banks - Diversified industry), listed on NYSE.
The Bank of Nova Scotia provides various banking products and services in Canada, the United States, Mexico, Peru, Chile, Colombia, the Caribbean and Central America, and internationally. It operates in four segments: Canadian Banking, International Banking, Global Wealth Management, and Global Banking and Markets. The company offers financial advice and solutions, and day-to-day banking products, including debit and credit cards, chequing and saving accounts, investments, mortgages, loans, and insurance to individuals; and business banking solutions comprising lending, deposit, cash management, and trade finance solutions to small, medium, and large businesses, including automotive financing solutions to dealers and their customers. It also provides wealth management advice and solutions, including online brokerage, mobile investment, full-service brokerage, trust, private banking, and private investment counsel services; and retail mutual funds, exchange traded funds, liquid alternative funds, and institutional funds. In addition, the company offers international banking services for retail, corporate, and commercial customers; and lending and transaction, investment banking advisory, and capital markets access services to corporate customers. Further, it provides online, mobile, and telephone banking services.
BNS (The Bank of Nova Scotia) trades in the Financial Services sector, specifically Banks - Diversified, with a market capitalization of approximately $94.23B, a trailing P/E of 15.51, a beta of 1.22 versus the broader market, a 52-week range of 51-79, average daily share volume of 2.4M, a public-listing history dating back to 2002, approximately 89K full-time employees. These structural characteristics shape how BNS stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 1.22 places BNS roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline. BNS pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.
What is a butterfly on BNS?
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 BNS snapshot
As of May 15, 2026, spot at $77.00, ATM IV 21.30%, IV rank 65.19%, expected move 6.11%. The butterfly on BNS 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 BNS specifically: BNS IV at 21.30% 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 6.11% (roughly $4.70 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 BNS expiries trade a higher absolute premium for lower per-day decay. Position sizing on BNS should anchor to the underlying notional of $77.00 per share and to the trader's directional view on BNS stock.
BNS butterfly setup
The BNS 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 BNS near $77.00, the first option leg uses a $72.50 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed BNS 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 BNS shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $72.50 | $5.10 |
| Sell 2 | Call | $77.50 | $1.78 |
| Buy 1 | Call | $80.00 | $0.83 |
BNS butterfly risk and reward
- Net Premium / Debit
- -$237.50
- Max Profit (per contract)
- $251.69
- Max Loss (per contract)
- -$237.50
- Breakeven(s)
- $74.88
- Risk / Reward Ratio
- 1.060
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.
BNS butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on BNS. 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% | -$237.50 |
| $17.03 | -77.9% | -$237.50 |
| $34.06 | -55.8% | -$237.50 |
| $51.08 | -33.7% | -$237.50 |
| $68.11 | -11.6% | -$237.50 |
| $85.13 | +10.6% | +$12.50 |
| $102.15 | +32.7% | +$12.50 |
| $119.18 | +54.8% | +$12.50 |
| $136.20 | +76.9% | +$12.50 |
| $153.23 | +99.0% | +$12.50 |
When traders use butterfly on BNS
Butterflies on BNS are pinning bets - traders use them when they expect BNS 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.
BNS thesis for this butterfly
The market-implied 1-standard-deviation range for BNS extends from approximately $72.30 on the downside to $81.70 on the upside. A BNS long call butterfly is a pinning play: it pays maximum at the middle strike if BNS settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current BNS IV rank near 65.19% is mid-range against its 1-year distribution, so the IV signal is neutral; the butterfly thesis on BNS should anchor more to the directional view and the expected-move geometry. As a Financial Services name, BNS options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to BNS-specific events.
BNS 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. BNS positions also carry Financial Services sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move BNS alongside the broader basket even when BNS-specific fundamentals are unchanged. Always rebuild the position from current BNS chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on BNS?
- A butterfly on BNS is the butterfly strategy applied to BNS (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 BNS stock trading near $77.00, the strikes shown on this page are snapped to the nearest listed BNS chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are BNS 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 BNS butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 21.30%), the computed maximum profit is $251.69 per contract and the computed maximum loss is -$237.50 per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a BNS butterfly?
- The breakeven for the BNS butterfly priced on this page is roughly $74.88 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 BNS market-implied 1-standard-deviation expected move is approximately 6.11%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on BNS?
- Butterflies on BNS are pinning bets - traders use them when they expect BNS 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 BNS implied volatility affect this butterfly?
- BNS ATM IV is at 21.30% with IV rank near 65.19%, 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.