BSX Butterfly Strategy
BSX (Boston Scientific Corporation), in the Healthcare sector, (Medical - Devices industry), listed on NYSE.
Boston Scientific Corporation develops, manufactures, and markets medical devices for use in various interventional medical specialties worldwide. It operates through three segments: MedSurg, Rhythm and Neuro, and Cardiovascular. The company offers devices to diagnose and treat gastrointestinal and pulmonary conditions; devices to treat various urological and pelvic conditions; implantable cardioverter and implantable cardiac resynchronization therapy defibrillators; pacemakers and implantable cardiac resynchronization therapy pacemakers; and remote patient management systems. It also provides medical technologies to diagnose and treat rate and rhythm disorders of the heart comprising 3-D cardiac mapping and navigation solutions, ablation catheters, diagnostic catheters, mapping catheters, intracardiac ultrasound catheters, delivery sheaths, and other accessories; spinal cord stimulator systems for the management of chronic pain; indirect decompression systems; and deep brain stimulation systems. In addition, the company offers interventional cardiology products, including drug-eluting coronary stent systems used in the treatment of coronary artery disease; percutaneous coronary interventions products to treat atherosclerosis; intravascular catheter-directed ultrasound imaging catheters, fractional flow reserve devices, and systems for use in coronary arteries and heart chambers, as well as various peripheral vessels; and structural heart therapies. Further, it provides stents, balloon catheters, wires, and atherectomy systems to treat arterial diseases; thrombectomy and acoustic pulse thrombolysis systems, wires, and stents to treat venous diseases; and peripheral embolization devices, radioactive microspheres, ablation systems, cryotherapy ablation systems, and micro and drainage catheters to treat cancer.
BSX (Boston Scientific Corporation) trades in the Healthcare sector, specifically Medical - Devices, with a market capitalization of approximately $78.87B, a trailing P/E of 22.18, a beta of 0.62 versus the broader market, a 52-week range of 52.81-109.5, average daily share volume of 16.1M, a public-listing history dating back to 1992, approximately 53K full-time employees. These structural characteristics shape how BSX stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 0.62 indicates BSX 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 BSX?
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 BSX snapshot
As of May 15, 2026, spot at $52.70, ATM IV 36.50%, IV rank 54.52%, expected move 10.46%. The butterfly on BSX 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 28-day expiry.
Why this butterfly structure on BSX specifically: BSX IV at 36.50% 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 10.46% (roughly $5.51 on the underlying). The 28-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated BSX expiries trade a higher absolute premium for lower per-day decay. Position sizing on BSX should anchor to the underlying notional of $52.70 per share and to the trader's directional view on BSX stock.
BSX butterfly setup
The BSX 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 BSX near $52.70, the first option leg uses a $50.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed BSX chain at a 28-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 BSX shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $50.00 | $3.85 |
| Sell 2 | Call | $53.00 | $2.08 |
| Buy 1 | Call | $55.00 | $1.25 |
BSX butterfly risk and reward
- Net Premium / Debit
- -$95.00
- Max Profit (per contract)
- $201.98
- Max Loss (per contract)
- -$95.00
- Breakeven(s)
- $50.95
- Risk / Reward Ratio
- 2.126
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.
BSX butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on BSX. 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% | -$95.00 |
| $11.66 | -77.9% | -$95.00 |
| $23.31 | -55.8% | -$95.00 |
| $34.96 | -33.7% | -$95.00 |
| $46.61 | -11.5% | -$95.00 |
| $58.27 | +10.6% | +$5.00 |
| $69.92 | +32.7% | +$5.00 |
| $81.57 | +54.8% | +$5.00 |
| $93.22 | +76.9% | +$5.00 |
| $104.87 | +99.0% | +$5.00 |
When traders use butterfly on BSX
Butterflies on BSX are pinning bets - traders use them when they expect BSX 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.
BSX thesis for this butterfly
The market-implied 1-standard-deviation range for BSX extends from approximately $47.19 on the downside to $58.21 on the upside. A BSX long call butterfly is a pinning play: it pays maximum at the middle strike if BSX settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current BSX IV rank near 54.52% is mid-range against its 1-year distribution, so the IV signal is neutral; the butterfly thesis on BSX should anchor more to the directional view and the expected-move geometry. As a Healthcare name, BSX options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to BSX-specific events.
BSX 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. BSX positions also carry Healthcare sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move BSX alongside the broader basket even when BSX-specific fundamentals are unchanged. Always rebuild the position from current BSX chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on BSX?
- A butterfly on BSX is the butterfly strategy applied to BSX (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 BSX stock trading near $52.70, the strikes shown on this page are snapped to the nearest listed BSX chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are BSX 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 BSX butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 36.50%), the computed maximum profit is $201.98 per contract and the computed maximum loss is -$95.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a BSX butterfly?
- The breakeven for the BSX butterfly priced on this page is roughly $50.95 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 BSX market-implied 1-standard-deviation expected move is approximately 10.46%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on BSX?
- Butterflies on BSX are pinning bets - traders use them when they expect BSX 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 BSX implied volatility affect this butterfly?
- BSX ATM IV is at 36.50% with IV rank near 54.52%, 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.