How are CNI 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 CNI butterfly priced from the August 14, 2026 end-of-day chain at a 30-day expiry (ATM IV 19.20%), the computed maximum profit is $368.90 per contract and the computed maximum loss is -$617.50 per contract. Live intraday quotes will differ as the chain moves through the trading session.

What is the breakeven for a CNI butterfly?

The breakeven for the CNI butterfly priced on this page is roughly $121.18 and $128.83 at expiration, derived from the August 14, 2026 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 CNI market-implied 1-standard-deviation expected move in the same options snapshot is approximately 5.50%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.

How does current CNI implied volatility affect this butterfly?

CNI ATM IV is at 19.20% with IV rank near 0.86%, 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.

CNI Butterfly Strategy

CNI (Canadian National Railway Company), in the Industrials sector, (Railroads industry), listed on NYSE.

Canadian National Railway Company (CNI), together with its subsidiary operations, functions as a key player in the railway and related logistics industry. The firm handles a wide array of freight, including petroleum products and chemicals, agricultural commodities such as grain and fertilizers, various minerals like coal and metals, timber and paper goods, intermodal containers, and finished automobiles. Its services cater to a broad base of clients, from international exporters and importers to retail chains, agricultural growers, and industrial manufacturers. CNI boasts a substantial rail infrastructure, with approximately 19,500 miles of track extending across both Canada and the United States. Additionally, the company provides diverse ancillary services, encompassing marine terminal management (vessels and docks), cargo transshipment and distribution, specialized automotive supply chain solutions, and comprehensive freight management and forwarding. Founded in 1919, Canadian National Railway Company is based in Montreal, Canada.

CNI (Canadian National Railway Company) trades in the Industrials sector, specifically Railroads, with a market capitalization of approximately $76.41B, a trailing P/E of 22.32, a beta of 0.96 versus the broader market, a 52-week range of 90.74-131.55, average daily share volume of 1.5M, a public-listing history dating back to 1996, approximately 24K full-time employees. These structural characteristics shape how CNI stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.

A beta of 0.96 places CNI roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline. CNI pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.

What is a butterfly on CNI?

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.

CNI snapshot

As of August 14, 2026, spot at $126.77, ATM IV 19.20%, IV rank 0.86%, expected move 5.50%. The butterfly on CNI below is built from the August 14, 2026 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 CNI specifically: CNI IV at 19.20% is on the cheap side of its 1-year range, which favors premium-buying structures like a CNI butterfly, with a market-implied 1-standard-deviation move of approximately 5.50% (roughly $6.98 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 CNI expiries trade a higher absolute premium for lower per-day decay. Position sizing on CNI should anchor to the underlying notional of $126.77 per share and to the trader's directional view on CNI stock.

CNI butterfly setup

The CNI butterfly below is built from the August 14, 2026 end-of-day chain, with each option leg priced at the bid/ask midpoint of its listed strike. With CNI at $126.77 on that close, the first option leg uses a $120.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed CNI 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 CNI shares for the stock leg in covered calls and collars).

Action	Type	Strike / Basis	Premium (est)
Buy 1	Call	$120.00	$8.40
Sell 2	Call	$125.00	$3.95
Buy 1	Call	$135.00	$0.68

CNI butterfly risk and reward

Net Premium / Debit: -$117.50
Max Profit (per contract): $368.90
Max Loss (per contract): -$617.50
Breakeven(s): $121.18, $128.83
Risk / Reward Ratio: 0.597

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.

CNI butterfly payoff curve

Modeled P&L at expiration across a range of underlying prices for the butterfly on CNI. 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%	-$117.50
$28.04	-77.9%	-$117.50
$56.07	-55.8%	-$117.50
$84.10	-33.7%	-$117.50
$112.12	-11.6%	-$117.50
$140.15	+10.6%	-$617.50
$168.18	+32.7%	-$617.50
$196.21	+54.8%	-$617.50
$224.24	+76.9%	-$617.50
$252.27	+99.0%	-$617.50

When traders use butterfly on CNI

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

CNI thesis for this butterfly

The market-implied 1-standard-deviation range for CNI extends from approximately $119.79 on the downside to $133.75 on the upside. A CNI long call butterfly is a pinning play: it pays maximum at the middle strike if CNI settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current CNI IV rank near 0.86% 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 CNI at 19.20%. As a Industrials name, CNI options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to CNI-specific events.

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

Frequently asked questions

What is a butterfly on CNI?: A butterfly on CNI is the butterfly strategy applied to CNI (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 CNI stock at $126.77 on the August 14, 2026 close, the strikes shown on this page are snapped to the nearest listed CNI chain strike and the premiums come straight from that session's bid/ask midpoint.
How are CNI 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 CNI butterfly priced from the August 14, 2026 end-of-day chain at a 30-day expiry (ATM IV 19.20%), the computed maximum profit is $368.90 per contract and the computed maximum loss is -$617.50 per contract. Live intraday quotes will differ as the chain moves through the trading session.
What is the breakeven for a CNI butterfly?: The breakeven for the CNI butterfly priced on this page is roughly $121.18 and $128.83 at expiration, derived from the August 14, 2026 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 CNI market-implied 1-standard-deviation expected move in the same options snapshot is approximately 5.50%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
When should you consider a butterfly on CNI?: Butterflies on CNI are pinning bets - traders use them when they expect CNI 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 CNI implied volatility affect this butterfly?: CNI ATM IV is at 19.20% with IV rank near 0.86%, 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.