CALC Butterfly Strategy
CALC (CalciMedica, Inc.), in the Healthcare sector, (Biotechnology industry), listed on NASDAQ.
CalciMedica, Inc., a clinical-stage biotechnology company, focuses on developing therapies for life-threatening inflammatory diseases with unmet needs. Its proprietary technology targets the inhibition of calcium release-activated (CRAC) channels designs to modulate the immune response and protect against tissue cell injury in life-threatening inflammatory diseases. Its lead product candidate is Auxora, a proprietary intravenous-formulated CRAC channel inhibitor for the treatment of acute pancreatitis, asparaginase-associated acute pancreatitis, and acute kidney injury. The company is based in La Jolla, California.
CALC (CalciMedica, Inc.) trades in the Healthcare sector, specifically Biotechnology, with a market capitalization of approximately $10.9M, a beta of 1.03 versus the broader market, a 52-week range of 0.461-7.2, average daily share volume of 307K, a public-listing history dating back to 2023, approximately 14 full-time employees. These structural characteristics shape how CALC stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 1.03 places CALC roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline.
What is a butterfly on CALC?
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 CALC snapshot
As of May 15, 2026, spot at $0.67, ATM IV 199.10%, expected move 57.08%. The butterfly on CALC 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 63-day expiry.
Why this butterfly structure on CALC specifically: IV rank is unavailable in the current snapshot, so regime-based timing for CALC is inferred from ATM IV at 199.10% alone, with a market-implied 1-standard-deviation move of approximately 57.08% (roughly $0.38 on the underlying). The 63-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated CALC expiries trade a higher absolute premium for lower per-day decay. Position sizing on CALC should anchor to the underlying notional of $0.67 per share and to the trader's directional view on CALC stock.
CALC butterfly setup
The CALC 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 CALC near $0.67, the first option leg uses a $0.64 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed CALC chain at a 63-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 CALC shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $0.64 | N/A |
| Sell 2 | Call | $0.67 | N/A |
| Buy 1 | Call | $0.70 | N/A |
CALC 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.
CALC butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on CALC. 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 CALC
Butterflies on CALC are pinning bets - traders use them when they expect CALC 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.
CALC thesis for this butterfly
The market-implied 1-standard-deviation range for CALC extends from approximately $0.29 on the downside to $1.05 on the upside. A CALC long call butterfly is a pinning play: it pays maximum at the middle strike if CALC settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. As a Healthcare name, CALC options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to CALC-specific events.
CALC 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. CALC positions also carry Healthcare sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move CALC alongside the broader basket even when CALC-specific fundamentals are unchanged. Always rebuild the position from current CALC chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on CALC?
- A butterfly on CALC is the butterfly strategy applied to CALC (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 CALC stock trading near $0.67, the strikes shown on this page are snapped to the nearest listed CALC chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are CALC 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 CALC butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 199.10%), 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 CALC butterfly?
- The breakeven for the CALC butterfly priced on this page is no defined breakeven on the modeled curve 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 CALC market-implied 1-standard-deviation expected move is approximately 57.08%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on CALC?
- Butterflies on CALC are pinning bets - traders use them when they expect CALC 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 CALC implied volatility affect this butterfly?
- Current CALC ATM IV is 199.10%; IV rank context is unavailable in the current snapshot.