How are CBOE 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 CBOE butterfly priced from the August 14, 2026 end-of-day chain at a 30-day expiry (ATM IV 32.70%), the computed maximum profit is $1,210.86 per contract and the computed maximum loss is -$220.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.

What is the breakeven for a CBOE butterfly?

The breakeven for the CBOE butterfly priced on this page is roughly $282.15 and $307.80 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 CBOE market-implied 1-standard-deviation expected move in the same options snapshot is approximately 9.37%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.

How does current CBOE implied volatility affect this butterfly?

CBOE ATM IV is at 32.70% with IV rank near 58.52%, 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.

CBOE Butterfly Strategy

CBOE (Cboe Global Markets, Inc.), in the Financial Services sector, (Financial - Data & Stock Exchanges industry), listed on CBOE.

Cboe Global Markets, Inc. functions as a global operator of various financial exchanges, primarily renowned for its options trading platforms, all managed through its numerous subsidiaries. The company organizes its expansive business activities into five distinct segments. The Options segment specializes in the trading of listed market indices. Its North American Equities division facilitates transactions for listed stocks in the United States and Canada, also offering services for exchange-traded products (ETPs), encompassing both trading and listing. The Futures segment is dedicated to futures trading. The Europe and Asia Pacific division delivers a broad range of services, including transactions for pan-European listed equities and derivatives, ETPs, exchange-traded commodities, and international depository receipts, along with ETP listing and clearing provisions.

CBOE (Cboe Global Markets, Inc.) trades in the Financial Services sector, specifically Financial - Data & Stock Exchanges, with a market capitalization of approximately $30.45B, a trailing P/E of 22.52, a beta of 0.42 versus the broader market, a 52-week range of 227.15-371.18, average daily share volume of 1.3M, a public-listing history dating back to 2010, approximately 2K full-time employees. These structural characteristics shape how CBOE stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.

A beta of 0.42 indicates CBOE has historically moved less than the broader market, dampening realized volatility and producing tighter expected-move bands per unit of dollar exposure. CBOE pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.

What is a butterfly on CBOE?

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.

CBOE snapshot

As of August 14, 2026, spot at $295.79, ATM IV 32.70%, IV rank 58.52%, expected move 9.37%. The butterfly on CBOE 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 28-day expiry.

Why this butterfly structure on CBOE specifically: CBOE IV at 32.70% 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 9.37% (roughly $27.73 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 CBOE expiries trade a higher absolute premium for lower per-day decay. Position sizing on CBOE should anchor to the underlying notional of $295.79 per share and to the trader's directional view on CBOE stock.

CBOE butterfly setup

The CBOE 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 CBOE at $295.79 on that close, the first option leg uses a $280.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed CBOE 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 CBOE shares for the stock leg in covered calls and collars).

Action	Type	Strike / Basis	Premium (est)
Buy 1	Call	$280.00	$20.25
Sell 2	Call	$295.00	$11.50
Buy 1	Call	$310.00	$4.95

CBOE butterfly risk and reward

Net Premium / Debit: -$220.00
Max Profit (per contract): $1,210.86
Max Loss (per contract): -$220.00
Breakeven(s): $282.15, $307.80
Risk / Reward Ratio: 5.504

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.

CBOE butterfly payoff curve

Modeled P&L at expiration across a range of underlying prices for the butterfly on CBOE. 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	-100.0%	-$220.00
$65.41	-77.9%	-$220.00
$130.81	-55.8%	-$220.00
$196.21	-33.7%	-$220.00
$261.61	-11.6%	-$220.00
$327.01	+10.6%	-$220.00
$392.41	+32.7%	-$220.00
$457.81	+54.8%	-$220.00
$523.21	+76.9%	-$220.00
$588.61	+99.0%	-$220.00

When traders use butterfly on CBOE

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

CBOE thesis for this butterfly

The market-implied 1-standard-deviation range for CBOE extends from approximately $268.06 on the downside to $323.52 on the upside. A CBOE long call butterfly is a pinning play: it pays maximum at the middle strike if CBOE settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current CBOE IV rank near 58.52% is mid-range against its 1-year distribution, so the IV signal is neutral; the butterfly thesis on CBOE should anchor more to the directional view and the expected-move geometry. As a Financial Services name, CBOE options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to CBOE-specific events.

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

Frequently asked questions

What is a butterfly on CBOE?: A butterfly on CBOE is the butterfly strategy applied to CBOE (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 CBOE stock at $295.79 on the August 14, 2026 close, the strikes shown on this page are snapped to the nearest listed CBOE chain strike and the premiums come straight from that session's bid/ask midpoint.
How are CBOE 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 CBOE butterfly priced from the August 14, 2026 end-of-day chain at a 30-day expiry (ATM IV 32.70%), the computed maximum profit is $1,210.86 per contract and the computed maximum loss is -$220.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.
What is the breakeven for a CBOE butterfly?: The breakeven for the CBOE butterfly priced on this page is roughly $282.15 and $307.80 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 CBOE market-implied 1-standard-deviation expected move in the same options snapshot is approximately 9.37%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
When should you consider a butterfly on CBOE?: Butterflies on CBOE are pinning bets - traders use them when they expect CBOE 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 CBOE implied volatility affect this butterfly?: CBOE ATM IV is at 32.70% with IV rank near 58.52%, 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.