CNC Butterfly Strategy
CNC (Centene Corporation), in the Healthcare sector, (Medical - Healthcare Plans industry), listed on NYSE.
Centene Corporation operates as a multi-national healthcare enterprise that provides programs and services to under-insured and uninsured individuals in the United States. Its Managed Care segment offers health plan coverage to individuals through government subsidized programs, including Medicaid, the State children's health insurance program, long-term services and support, foster care, and medicare-medicaid plans, which cover dually eligible individuals, as well as aged, blind, or disabled programs. Its health plans include primary and specialty physician care, inpatient and outpatient hospital care, emergency and urgent care, prenatal care, laboratory and X-ray, home-based primary care, transportation assistance, vision care, dental care, telehealth, immunization, specialty pharmacy, therapy, social work, nurse advisory, and care coordination services, as well as prescriptions and limited over-the-counter drugs, medical equipment, and behavioral health and abuse services. This segment also offers various individual, small group, and large group commercial healthcare products to employers and directly to members. The company's Specialty Services segment provides pharmacy benefits management services; nurse advice line and after-hours support services; vision and dental services, as well as staffing services to correctional systems and other government agencies; and services to Military Health System eligible beneficiaries. This segment offers its services and products to state programs, correctional facilities, healthcare organizations, employer groups, and other commercial organizations.
CNC (Centene Corporation) trades in the Healthcare sector, specifically Medical - Healthcare Plans, with a market capitalization of approximately $29.04B, a beta of 1.06 versus the broader market, a 52-week range of 25.08-62.21, average daily share volume of 6.6M, a public-listing history dating back to 2001, approximately 60K 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 1.06 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 May 15, 2026, spot at $57.95, ATM IV 39.58%, IV rank 23.81%, expected move 11.35%. 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 28-day expiry.
Why this butterfly structure on CNC specifically: CNC IV at 39.58% is on the cheap side of its 1-year range, which favors premium-buying structures like a CNC butterfly, with a market-implied 1-standard-deviation move of approximately 11.35% (roughly $6.58 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 CNC expiries trade a higher absolute premium for lower per-day decay. Position sizing on CNC should anchor to the underlying notional of $57.95 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 $57.95, the first option leg uses a $55.00 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 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 CNC shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $55.00 | $4.53 |
| Sell 2 | Call | $58.00 | $2.63 |
| Buy 1 | Call | $61.00 | $1.37 |
CNC butterfly risk and reward
- Net Premium / Debit
- -$63.50
- Max Profit (per contract)
- $211.88
- Max Loss (per contract)
- -$63.50
- Breakeven(s)
- $55.64, $60.37
- Risk / Reward Ratio
- 3.337
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.
| Underlying Price | % From Spot | P&L at Expiration |
|---|---|---|
| $0.01 | -100.0% | -$63.50 |
| $12.82 | -77.9% | -$63.50 |
| $25.63 | -55.8% | -$63.50 |
| $38.45 | -33.7% | -$63.50 |
| $51.26 | -11.5% | -$63.50 |
| $64.07 | +10.6% | -$63.50 |
| $76.88 | +32.7% | -$63.50 |
| $89.69 | +54.8% | -$63.50 |
| $102.51 | +76.9% | -$63.50 |
| $115.32 | +99.0% | -$63.50 |
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 $51.37 on the downside to $64.53 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 23.81% 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 CNC at 39.58%. 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 $57.95, 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 39.58%), the computed maximum profit is $211.88 per contract and the computed maximum loss is -$63.50 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 $55.64 and $60.37 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 11.35%; 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 39.58% with IV rank near 23.81%, 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.