CNH Butterfly Strategy
CNH (CNH Industrial N.V.), in the Industrials sector, (Agricultural - Machinery industry), listed on NYSE.
CNH Industrial N.V. operates as a multinational producer of heavy-duty industrial machinery, specializing in a diverse portfolio that includes both agricultural and construction equipment. A testament to its legacy, the highly recognized Case IH brand has been a trusted partner to farmers for generations. The company's reach is extensive, supported by a robust global distribution network comprising over 3,600 dealer and distribution outlets. To boost accessibility and sales, CNH also operates a dedicated financial services division, offering retail financing directly to end-customers and crucial wholesale funding to its widespread dealer base.
CNH (CNH Industrial N.V.) trades in the Industrials sector, specifically Agricultural - Machinery, with a market capitalization of approximately $13.30B, a trailing P/E of 42.78, a beta of 1.16 versus the broader market, a 52-week range of 9-13.31, average daily share volume of 13.5M, a public-listing history dating back to 1996, approximately 34K full-time employees. These structural characteristics shape how CNH stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 1.16 places CNH roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline. The trailing P/E of 42.78 is on the rich side, which tends to correlate with higher earnings-window IV expansion as the market debates whether forward growth supports the multiple. CNH pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.
What is a butterfly on CNH?
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.
CNH snapshot
As of August 14, 2026, spot at $10.45, ATM IV 353.30%, IV rank 70.27%, expected move 101.29%. The butterfly on CNH below is built from the end-of-day chain, with strikes snapped to listed contracts and premiums pulled from the bid/ask midpoint at a 35-day expiry.
Why this butterfly structure on CNH specifically: CNH IV at 353.30% is rich versus its 1-year range, which makes a premium-buying CNH butterfly relatively expensive in absolute-cost terms, with a market-implied 1-standard-deviation move of approximately 101.29% (roughly $10.58 on the underlying). The 35-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated CNH expiries trade a higher absolute premium for lower per-day decay. Position sizing on CNH should anchor to the underlying notional of $10.45 per share and to the trader's directional view on CNH stock.
CNH butterfly setup
The CNH 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 CNH at $10.45 on that close, the first option leg uses a $9.93 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed CNH chain at a 35-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 CNH shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $9.93 | N/A |
| Sell 2 | Call | $10.45 | N/A |
| Buy 1 | Call | $10.97 | N/A |
CNH butterfly risk and reward
- Net Premium / Debit
- N/A
- Max Profit (per contract)
- Unbounded
- Max Loss (per contract)
- Unbounded
- Breakeven(s)
- None on modeled curve
- Risk / Reward Ratio
- N/A
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.
CNH butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on CNH. 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.
When traders use butterfly on CNH
Butterflies on CNH are pinning bets - traders use them when they expect CNH 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.
CNH thesis for this butterfly
The market-implied 1-standard-deviation range for CNH extends from approximately $-0.13 on the downside to $21.03 on the upside. A CNH long call butterfly is a pinning play: it pays maximum at the middle strike if CNH settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current CNH IV rank near 70.27% 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 CNH at 353.30%. As a Industrials name, CNH options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to CNH-specific events.
CNH 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. CNH positions also carry Industrials sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move CNH alongside the broader basket even when CNH-specific fundamentals are unchanged. Always rebuild the position from current CNH chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on CNH?
- A butterfly on CNH is the butterfly strategy applied to CNH (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 CNH stock at $10.45 on the most recent close, the strikes shown on this page are snapped to the nearest listed CNH chain strike and the premiums come straight from that session's bid/ask midpoint.
- How are CNH 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 CNH butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 353.30%), the computed maximum profit is unbounded per contract and the computed maximum loss is unbounded per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a CNH butterfly?
- The breakeven for the CNH butterfly priced on this page is no defined breakeven on the modeled curve at expiration, derived from the 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 CNH market-implied 1-standard-deviation expected move in the same options snapshot is approximately 101.29%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on CNH?
- Butterflies on CNH are pinning bets - traders use them when they expect CNH 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 CNH implied volatility affect this butterfly?
- CNH ATM IV is at 353.30% with IV rank near 70.27%, 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.