CCRN Butterfly Strategy
CCRN (Cross Country Healthcare, Inc.), in the Healthcare sector, (Medical - Care Facilities industry), listed on NASDAQ.
Cross Country Healthcare, Inc. is a U.S.-based provider specializing in talent management and consultative advisory services for healthcare organizations. The company operates through two main divisions: Nurse and Allied Staffing, and Physician Staffing. The Nurse and Allied Staffing segment offers a broad range of recruitment and personnel solutions under the Cross Country brand. This includes both temporary and direct-hire placements for travel nurses, local nurses, and various allied health professionals. It sources registered nurses, licensed practical nurses, certified nurse assistants, practitioners, and pharmacists for per diem or short-term engagements, as well as clinical and non-clinical specialists for longer contract durations. Additionally, this segment delivers comprehensive workforce solutions, including Managed Service Programs (MSP), Recruitment Process Outsourcing (RPO), and consulting, alongside retained and contingent search services for healthcare professionals.
CCRN (Cross Country Healthcare, Inc.) trades in the Healthcare sector, specifically Medical - Care Facilities, with a market capitalization of approximately $427.1M, a beta of 0.45 versus the broader market, a 52-week range of 7.43-14.99, average daily share volume of 666K, a public-listing history dating back to 2001, approximately 10K full-time employees. These structural characteristics shape how CCRN stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 0.45 indicates CCRN 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 CCRN?
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 CCRN snapshot
As of June 29, 2026, spot at $13.21, ATM IV 358.70%, IV rank 76.99%, expected move 102.84%. The butterfly on CCRN 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 18-day expiry.
Why this butterfly structure on CCRN specifically: CCRN IV at 358.70% is rich versus its 1-year range, which makes a premium-buying CCRN butterfly relatively expensive in absolute-cost terms, with a market-implied 1-standard-deviation move of approximately 102.84% (roughly $13.58 on the underlying). The 18-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated CCRN expiries trade a higher absolute premium for lower per-day decay. Position sizing on CCRN should anchor to the underlying notional of $13.21 per share and to the trader's directional view on CCRN stock.
CCRN butterfly setup
The CCRN 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 CCRN near $13.21, the first option leg uses a $12.55 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed CCRN chain at a 18-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 CCRN shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $12.55 | N/A |
| Sell 2 | Call | $13.21 | N/A |
| Buy 1 | Call | $13.87 | N/A |
CCRN 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.
CCRN butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on CCRN. 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 CCRN
Butterflies on CCRN are pinning bets - traders use them when they expect CCRN 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.
CCRN thesis for this butterfly
The market-implied 1-standard-deviation range for CCRN extends from approximately $-0.37 on the downside to $26.79 on the upside. A CCRN long call butterfly is a pinning play: it pays maximum at the middle strike if CCRN settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current CCRN IV rank near 76.99% sits in the upper third of its 1-year distribution, which historically reverts; this raises the bar for premium-buying structures and lowers it for premium-selling structures on CCRN at 358.70%. As a Healthcare name, CCRN options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to CCRN-specific events.
CCRN 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. CCRN positions also carry Healthcare sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move CCRN alongside the broader basket even when CCRN-specific fundamentals are unchanged. Always rebuild the position from current CCRN chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on CCRN?
- A butterfly on CCRN is the butterfly strategy applied to CCRN (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 CCRN stock trading near $13.21, the strikes shown on this page are snapped to the nearest listed CCRN chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are CCRN 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 CCRN butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 358.70%), 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 CCRN butterfly?
- The breakeven for the CCRN 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 CCRN market-implied 1-standard-deviation expected move is approximately 102.84%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on CCRN?
- Butterflies on CCRN are pinning bets - traders use them when they expect CCRN 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 CCRN implied volatility affect this butterfly?
- CCRN ATM IV is at 358.70% with IV rank near 76.99%, which is elevated relative to its 1-year range. Premium-selling structures (covered call, cash-secured put, iron condor) generally look more attractive when IV rank is high; premium-buying structures (long call, long put, debit spreads) are more expensive in that regime.