How are CNC 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 CNC butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 59.73%), the computed maximum profit is $251.41 per contract and the computed maximum loss is -$130.50 per contract. Live intraday quotes will differ as the chain moves through the trading session.

What is the breakeven for a CNC butterfly?

The breakeven for the CNC butterfly priced on this page is roughly $61.28 and $66.70 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 CNC market-implied 1-standard-deviation expected move is approximately 17.12%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.

How does current CNC implied volatility affect this butterfly?

CNC ATM IV is at 59.73% with IV rank near 58.05%, 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.

CNC Butterfly Strategy

CNC (Centene Corp.), in the Healthcare sector, (Medical - Healthcare Plans industry), listed on NYSE.

Centene Corporation operates as a managed care company that provides programs and services to under-insured families, and commercial organizations in the United States. It operates through four segments: Medicaid, Medicare, Commercial, and Other. The Medicaid segment offers the temporary assistance for needy families; medicaid expansion; aged, blind, or disabled; and children's health insurance programs, as well as long-term services and supports; foster care; and medicare-medicaid plans. This segment also provides healthcare products and services. The Medicare segment offers special needs and medicare supplement, and prescription drug plans. The Commercial segment provides health insurance marketplace product for individual and commercial group.

CNC (Centene Corp.) trades in the Healthcare sector, specifically Medical - Healthcare Plans, with a market capitalization of approximately $32.44B, a beta of 1.09 versus the broader market, a 52-week range of 25.08-66.55, average daily share volume of 6.0M, a public-listing history dating back to 2001, approximately 61K full-time employees. These structural characteristics shape how CNC stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.

A beta of 1.09 places CNC roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline.

What is a butterfly on CNC?

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 CNC snapshot

As of June 29, 2026, spot at $64.50, ATM IV 59.73%, IV rank 58.05%, expected move 17.12%. The butterfly on CNC 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 32-day expiry.

Why this butterfly structure on CNC specifically: CNC IV at 59.73% 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 17.12% (roughly $11.04 on the underlying). The 32-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated CNC expiries trade a higher absolute premium for lower per-day decay. Position sizing on CNC should anchor to the underlying notional of $64.50 per share and to the trader's directional view on CNC stock.

CNC butterfly setup

The CNC 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 CNC near $64.50, the first option leg uses a $61.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed CNC chain at a 32-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 CNC shares for the stock leg in covered calls and collars).

Action	Type	Strike / Basis	Premium (est)
Buy 1	Call	$61.00	$6.75
Sell 2	Call	$64.00	$4.98
Buy 1	Call	$68.00	$3.51

CNC butterfly risk and reward

Net Premium / Debit: -$30.50
Max Profit (per contract): $251.41
Max Loss (per contract): -$130.50
Breakeven(s): $61.28, $66.70
Risk / Reward Ratio: 1.927

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.

CNC butterfly payoff curve

Modeled P&L at expiration across a range of underlying prices for the butterfly on CNC. 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%	-$30.50
$14.27	-77.9%	-$30.50
$28.53	-55.8%	-$30.50
$42.79	-33.7%	-$30.50
$57.05	-11.5%	-$30.50
$71.31	+10.6%	-$130.50
$85.57	+32.7%	-$130.50
$99.83	+54.8%	-$130.50
$114.09	+76.9%	-$130.50
$128.35	+99.0%	-$130.50

When traders use butterfly on CNC

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

CNC thesis for this butterfly

The market-implied 1-standard-deviation range for CNC extends from approximately $53.46 on the downside to $75.54 on the upside. A CNC long call butterfly is a pinning play: it pays maximum at the middle strike if CNC settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current CNC IV rank near 58.05% is mid-range against its 1-year distribution, so the IV signal is neutral; the butterfly thesis on CNC should anchor more to the directional view and the expected-move geometry. As a Healthcare name, CNC options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to CNC-specific events.

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

Frequently asked questions

What is a butterfly on CNC?: A butterfly on CNC is the butterfly strategy applied to CNC (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 CNC stock trading near $64.50, the strikes shown on this page are snapped to the nearest listed CNC chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
How are CNC 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 CNC butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 59.73%), the computed maximum profit is $251.41 per contract and the computed maximum loss is -$130.50 per contract. Live intraday quotes will differ as the chain moves through the trading session.
What is the breakeven for a CNC butterfly?: The breakeven for the CNC butterfly priced on this page is roughly $61.28 and $66.70 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 CNC market-implied 1-standard-deviation expected move is approximately 17.12%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
When should you consider a butterfly on CNC?: Butterflies on CNC are pinning bets - traders use them when they expect CNC 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 CNC implied volatility affect this butterfly?: CNC ATM IV is at 59.73% with IV rank near 58.05%, 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.