How are CF 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 CF butterfly priced from the August 14, 2026 end-of-day chain at a 30-day expiry (ATM IV 35.37%), the computed maximum profit is $508.56 per contract and the computed maximum loss is -$62.50 per contract. Live intraday quotes will differ as the chain moves through the trading session.

What is the breakeven for a CF butterfly?

The breakeven for the CF butterfly priced on this page is roughly $112.54 and $123.38 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 CF market-implied 1-standard-deviation expected move in the same options snapshot is approximately 10.14%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.

How does current CF implied volatility affect this butterfly?

CF ATM IV is at 35.37% with IV rank near 21.78%, which is on the low end of its 1-year range. Premium-buying structures (long call, long put, debit spreads) are relatively cheap in this regime; premium-selling structures collect less credit per unit risk.

CF Butterfly Strategy

CF (CF Industries Holdings, Inc.), in the Basic Materials sector, (Agricultural Inputs industry), listed on NYSE.

CF Industries Holdings, Inc. is a global producer and distributor of hydrogen and nitrogen-based products. These essential chemicals serve a variety of purposes worldwide, including energy generation, agricultural fertilization, environmental emissions reduction, and numerous other industrial applications. The company's core product lineup features vital nitrogen compounds such as anhydrous ammonia, granular urea, urea ammonium nitrate (UAN), and different forms of ammonium nitrate. In addition to these primary offerings, CF Industries also provides specialized chemicals like diesel exhaust fluid, urea liquor, nitric acid, and aqua ammonia, alongside complex fertilizers containing nitrogen, phosphorus, and potassium. Its diverse customer base includes agricultural cooperatives, independent fertilizer distributors, commodity traders, wholesalers, and a wide array of industrial end-users. Founded in 1946, the firm is headquartered in Deerfield, Illinois.

CF (CF Industries Holdings, Inc.) trades in the Basic Materials sector, specifically Agricultural Inputs, with a market capitalization of approximately $18.44B, a trailing P/E of 8.78, a beta of 0.40 versus the broader market, a 52-week range of 75.42-141.96, average daily share volume of 3.0M, a public-listing history dating back to 2005, approximately 3K full-time employees. These structural characteristics shape how CF stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.

A beta of 0.40 indicates CF has historically moved less than the broader market, dampening realized volatility and producing tighter expected-move bands per unit of dollar exposure. The trailing P/E of 8.78 is on the value side, where IV often compresses outside event windows because forward growth expectations are already discounted into the share price. CF pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.

What is a butterfly on CF?

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.

CF snapshot

As of August 14, 2026, spot at $118.30, ATM IV 35.37%, IV rank 21.78%, expected move 10.14%. The butterfly on CF 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 CF specifically: CF IV at 35.37% is on the cheap side of its 1-year range, which favors premium-buying structures like a CF butterfly, with a market-implied 1-standard-deviation move of approximately 10.14% (roughly $12.00 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 CF expiries trade a higher absolute premium for lower per-day decay. Position sizing on CF should anchor to the underlying notional of $118.30 per share and to the trader's directional view on CF stock.

CF butterfly setup

The CF 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 CF at $118.30 on that close, the first option leg uses a $112.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed CF 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 CF shares for the stock leg in covered calls and collars).

Action	Type	Strike / Basis	Premium (est)
Buy 1	Call	$112.00	$8.70
Sell 2	Call	$118.00	$5.20
Buy 1	Call	$124.00	$2.33

CF butterfly risk and reward

Net Premium / Debit: -$62.50
Max Profit (per contract): $508.56
Max Loss (per contract): -$62.50
Breakeven(s): $112.54, $123.38
Risk / Reward Ratio: 8.137

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.

CF butterfly payoff curve

Modeled P&L at expiration across a range of underlying prices for the butterfly on CF. 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%	-$62.50
$26.17	-77.9%	-$62.50
$52.32	-55.8%	-$62.50
$78.48	-33.7%	-$62.50
$104.63	-11.6%	-$62.50
$130.79	+10.6%	-$62.50
$156.94	+32.7%	-$62.50
$183.10	+54.8%	-$62.50
$209.26	+76.9%	-$62.50
$235.41	+99.0%	-$62.50

When traders use butterfly on CF

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

CF thesis for this butterfly

The market-implied 1-standard-deviation range for CF extends from approximately $106.30 on the downside to $130.30 on the upside. A CF long call butterfly is a pinning play: it pays maximum at the middle strike if CF settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current CF IV rank near 21.78% sits in the lower third of its 1-year distribution, where IV often re-expands toward the mean; this favors premium-buying structures and disadvantages premium-selling structures on CF at 35.37%. As a Basic Materials name, CF options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to CF-specific events.

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

Frequently asked questions

What is a butterfly on CF?: A butterfly on CF is the butterfly strategy applied to CF (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 CF stock at $118.30 on the August 14, 2026 close, the strikes shown on this page are snapped to the nearest listed CF chain strike and the premiums come straight from that session's bid/ask midpoint.
How are CF 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 CF butterfly priced from the August 14, 2026 end-of-day chain at a 30-day expiry (ATM IV 35.37%), the computed maximum profit is $508.56 per contract and the computed maximum loss is -$62.50 per contract. Live intraday quotes will differ as the chain moves through the trading session.
What is the breakeven for a CF butterfly?: The breakeven for the CF butterfly priced on this page is roughly $112.54 and $123.38 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 CF market-implied 1-standard-deviation expected move in the same options snapshot is approximately 10.14%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
When should you consider a butterfly on CF?: Butterflies on CF are pinning bets - traders use them when they expect CF 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 CF implied volatility affect this butterfly?: CF ATM IV is at 35.37% with IV rank near 21.78%, which is on the low end of its 1-year range. Premium-buying structures (long call, long put, debit spreads) are relatively cheap in this regime; premium-selling structures collect less credit per unit risk.