CMG Butterfly Strategy
CMG (Chipotle Mexican Grill, Inc.), in the Consumer Cyclical sector, (Restaurants industry), listed on NYSE.
Chipotle Mexican Grill, Inc., along with its affiliated companies, oversees the ownership and daily running of Chipotle Mexican Grill eateries. By February 15, 2022, its global presence included roughly 3,000 restaurant locations spread across the United States, Canada, the United Kingdom, France, Germany, and other parts of Europe. The company was established in 1993 and maintains its principal office in Newport Beach, California.
CMG (Chipotle Mexican Grill, Inc.) trades in the Consumer Cyclical sector, specifically Restaurants, with a market capitalization of approximately $42.75B, a trailing P/E of 29.80, a beta of 0.98 versus the broader market, a 52-week range of 28.04-58.42, average daily share volume of 17.7M, a public-listing history dating back to 2006, approximately 131K full-time employees. These structural characteristics shape how CMG stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 0.98 places CMG roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline.
What is a butterfly on CMG?
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 CMG snapshot
As of June 30, 2026, spot at $33.72, ATM IV 46.80%, IV rank 66.84%, expected move 13.42%. The butterfly on CMG 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 CMG specifically: CMG IV at 46.80% 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 13.42% (roughly $4.52 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 CMG expiries trade a higher absolute premium for lower per-day decay. Position sizing on CMG should anchor to the underlying notional of $33.72 per share and to the trader's directional view on CMG stock.
CMG butterfly setup
The CMG 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 CMG near $33.72, the first option leg uses a $32.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed CMG 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 CMG shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $32.00 | $2.92 |
| Sell 2 | Call | $34.00 | $1.77 |
| Buy 1 | Call | $35.00 | $1.42 |
CMG butterfly risk and reward
- Net Premium / Debit
- -$81.00
- Max Profit (per contract)
- $108.44
- Max Loss (per contract)
- -$81.00
- Breakeven(s)
- $32.81
- Risk / Reward Ratio
- 1.339
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.
CMG butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on CMG. 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.
| Underlying Price | % From Spot | P&L at Expiration |
|---|---|---|
| $0.01 | -100.0% | -$81.00 |
| $7.46 | -77.9% | -$81.00 |
| $14.92 | -55.8% | -$81.00 |
| $22.37 | -33.6% | -$81.00 |
| $29.83 | -11.5% | -$81.00 |
| $37.28 | +10.6% | +$19.00 |
| $44.74 | +32.7% | +$19.00 |
| $52.19 | +54.8% | +$19.00 |
| $59.65 | +76.9% | +$19.00 |
| $67.10 | +99.0% | +$19.00 |
When traders use butterfly on CMG
Butterflies on CMG are pinning bets - traders use them when they expect CMG 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.
CMG thesis for this butterfly
The market-implied 1-standard-deviation range for CMG extends from approximately $29.20 on the downside to $38.24 on the upside. A CMG long call butterfly is a pinning play: it pays maximum at the middle strike if CMG settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current CMG IV rank near 66.84% is mid-range against its 1-year distribution, so the IV signal is neutral; the butterfly thesis on CMG should anchor more to the directional view and the expected-move geometry. As a Consumer Cyclical name, CMG options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to CMG-specific events.
CMG 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. CMG positions also carry Consumer Cyclical sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move CMG alongside the broader basket even when CMG-specific fundamentals are unchanged. Always rebuild the position from current CMG chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on CMG?
- A butterfly on CMG is the butterfly strategy applied to CMG (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 CMG stock trading near $33.72, the strikes shown on this page are snapped to the nearest listed CMG chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are CMG 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 CMG butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 46.80%), the computed maximum profit is $108.44 per contract and the computed maximum loss is -$81.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a CMG butterfly?
- The breakeven for the CMG butterfly priced on this page is roughly $32.81 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 CMG market-implied 1-standard-deviation expected move is approximately 13.42%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on CMG?
- Butterflies on CMG are pinning bets - traders use them when they expect CMG 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 CMG implied volatility affect this butterfly?
- CMG ATM IV is at 46.80% with IV rank near 66.84%, 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.