How are CME 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 CME butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 34.37%), the computed maximum profit is $780.44 per contract and the computed maximum loss is -$210.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.

What is the breakeven for a CME butterfly?

The breakeven for the CME butterfly priced on this page is roughly $212.10 and $227.90 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 CME market-implied 1-standard-deviation expected move is approximately 9.85%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.

How does current CME implied volatility affect this butterfly?

CME ATM IV is at 34.37% with IV rank near 92.76%, 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.

CME Butterfly Strategy

CME (CME Group Inc.), in the Financial Services sector, (Financial - Data & Stock Exchanges industry), listed on NASDAQ.

CME Group Inc., through its various subsidiaries, manages international marketplaces for the exchange of futures and options on futures contracts worldwide. Its extensive array of product offerings includes futures and options linked to a broad spectrum of underlying assets, such as interest rates, equity indices, foreign exchange, agricultural commodities, energy, and metals, alongside fixed-income products. The company additionally furnishes essential clearinghouse services, which entail the verification, settlement, and guarantee of futures, options, and cleared swap agreements traded across its venues. It also offers services for transaction processing and risk mitigation. Furthermore, the organization provides diverse market data services, encompassing both real-time and historical data feeds. Its wide-ranging client base consists of professional traders, financial institutions, both institutional and individual investors, corporations, manufacturers, producers, governments, and central banks.

CME (CME Group Inc.) trades in the Financial Services sector, specifically Financial - Data & Stock Exchanges, with a market capitalization of approximately $80.08B, a trailing P/E of 18.72, a beta of 0.24 versus the broader market, a 52-week range of 220.73-329.16, average daily share volume of 3.1M, a public-listing history dating back to 2002, approximately 4K full-time employees. These structural characteristics shape how CME stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.

A beta of 0.24 indicates CME has historically moved less than the broader market, dampening realized volatility and producing tighter expected-move bands per unit of dollar exposure. CME pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.

What is a butterfly on CME?

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 CME snapshot

As of June 30, 2026, spot at $221.01, ATM IV 34.37%, IV rank 92.76%, expected move 9.85%. The butterfly on CME 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 31-day expiry.

Why this butterfly structure on CME specifically: CME IV at 34.37% is rich versus its 1-year range, which makes a premium-buying CME butterfly relatively expensive in absolute-cost terms, with a market-implied 1-standard-deviation move of approximately 9.85% (roughly $21.78 on the underlying). The 31-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated CME expiries trade a higher absolute premium for lower per-day decay. Position sizing on CME should anchor to the underlying notional of $221.01 per share and to the trader's directional view on CME stock.

CME butterfly setup

The CME 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 CME near $221.01, the first option leg uses a $210.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed CME chain at a 31-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 CME shares for the stock leg in covered calls and collars).

Action	Type	Strike / Basis	Premium (est)
Buy 1	Call	$210.00	$16.05
Sell 2	Call	$220.00	$9.55
Buy 1	Call	$230.00	$5.15

CME butterfly risk and reward

Net Premium / Debit: -$210.00
Max Profit (per contract): $780.44
Max Loss (per contract): -$210.00
Breakeven(s): $212.10, $227.90
Risk / Reward Ratio: 3.716

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.

CME butterfly payoff curve

Modeled P&L at expiration across a range of underlying prices for the butterfly on CME. 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%	-$210.00
$48.88	-77.9%	-$210.00
$97.74	-55.8%	-$210.00
$146.61	-33.7%	-$210.00
$195.47	-11.6%	-$210.00
$244.34	+10.6%	-$210.00
$293.20	+32.7%	-$210.00
$342.07	+54.8%	-$210.00
$390.93	+76.9%	-$210.00
$439.80	+99.0%	-$210.00

When traders use butterfly on CME

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

CME thesis for this butterfly

The market-implied 1-standard-deviation range for CME extends from approximately $199.23 on the downside to $242.79 on the upside. A CME long call butterfly is a pinning play: it pays maximum at the middle strike if CME settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current CME IV rank near 92.76% 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 CME at 34.37%. As a Financial Services name, CME options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to CME-specific events.

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

Frequently asked questions

What is a butterfly on CME?: A butterfly on CME is the butterfly strategy applied to CME (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 CME stock trading near $221.01, the strikes shown on this page are snapped to the nearest listed CME chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
How are CME 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 CME butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 34.37%), the computed maximum profit is $780.44 per contract and the computed maximum loss is -$210.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.
What is the breakeven for a CME butterfly?: The breakeven for the CME butterfly priced on this page is roughly $212.10 and $227.90 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 CME market-implied 1-standard-deviation expected move is approximately 9.85%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
When should you consider a butterfly on CME?: Butterflies on CME are pinning bets - traders use them when they expect CME 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 CME implied volatility affect this butterfly?: CME ATM IV is at 34.37% with IV rank near 92.76%, 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.