CABA Butterfly Strategy
CABA (Cabaletta Bio, Inc.), in the Healthcare sector, (Biotechnology industry), listed on NASDAQ.
Cabaletta Bio, Inc. is a biotechnology firm in the clinical development stage, specializing in the invention and advancement of sophisticated engineered T cell therapies. Its core mission is to treat autoimmune diseases where B cells are implicated in producing harmful autoantibodies. The company's unique chimeric autoantibody receptor (CAAR) T cell platform is engineered to precisely target and eradicate these specific disease-causing B cells. Leading its pipeline is DSG3-CAART, which is currently in Phase I clinical trials. This candidate is being assessed for efficacy in two distinct conditions: mucosal pemphigus vulgaris, an autoimmune blistering skin disorder, and Hemophilia A in patients exhibiting Factor VIII alloantibodies. Cabaletta's broader product candidate portfolio also includes MuSK-CAART, a preclinical asset aimed at a particular subset of myasthenia gravis patients; FVIII-CAART, in the discovery phase for another subgroup of Hemophilia A sufferers; and DSG3/1-CAART, also a discovery-stage program, designed for mucocutaneous pemphigus vulgaris.
CABA (Cabaletta Bio, Inc.) trades in the Healthcare sector, specifically Biotechnology, with a market capitalization of approximately $464.7M, a beta of 3.25 versus the broader market, a 52-week range of 1.4-4.23, average daily share volume of 4.2M, a public-listing history dating back to 2019, approximately 156 full-time employees. These structural characteristics shape how CABA stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 3.25 indicates CABA has historically moved more than the broader market, amplifying both the directional payoff and the realized volatility relative to an index-equivalent position.
What is a butterfly on CABA?
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.
CABA snapshot
As of August 14, 2026, spot at $2.75, ATM IV 198.80%, IV rank 57.96%, expected move 56.99%. The butterfly on CABA 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 35-day expiry.
Why this butterfly structure on CABA specifically: CABA IV at 198.80% 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 56.99% (roughly $1.57 on the underlying). The 35-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated CABA expiries trade a higher absolute premium for lower per-day decay. Position sizing on CABA should anchor to the underlying notional of $2.75 per share and to the trader's directional view on CABA stock.
CABA butterfly setup
The CABA 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 CABA at $2.75 on that close, the first option leg uses a $2.61 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed CABA chain at a 35-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 CABA shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $2.61 | N/A |
| Sell 2 | Call | $2.75 | N/A |
| Buy 1 | Call | $2.89 | N/A |
CABA 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.
CABA butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on CABA. 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 CABA
Butterflies on CABA are pinning bets - traders use them when they expect CABA 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.
CABA thesis for this butterfly
The market-implied 1-standard-deviation range for CABA extends from approximately $1.18 on the downside to $4.32 on the upside. A CABA long call butterfly is a pinning play: it pays maximum at the middle strike if CABA settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current CABA IV rank near 57.96% is mid-range against its 1-year distribution, so the IV signal is neutral; the butterfly thesis on CABA should anchor more to the directional view and the expected-move geometry. As a Healthcare name, CABA options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to CABA-specific events.
CABA 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. CABA positions also carry Healthcare sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move CABA alongside the broader basket even when CABA-specific fundamentals are unchanged. Always rebuild the position from current CABA chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on CABA?
- A butterfly on CABA is the butterfly strategy applied to CABA (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 CABA stock at $2.75 on the most recent close, the strikes shown on this page are snapped to the nearest listed CABA chain strike and the premiums come straight from that session's bid/ask midpoint.
- How are CABA 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 CABA butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 198.80%), 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 CABA butterfly?
- The breakeven for the CABA 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 CABA market-implied 1-standard-deviation expected move in the same options snapshot is approximately 56.99%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on CABA?
- Butterflies on CABA are pinning bets - traders use them when they expect CABA 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 CABA implied volatility affect this butterfly?
- CABA ATM IV is at 198.80% with IV rank near 57.96%, 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.