CON Butterfly Strategy
CON (Concentra Group Holdings Parent, Inc.), in the Healthcare sector, (Medical - Equipment & Services industry), listed on NYSE.
Concentra Group Holdings Parent, Inc. provides occupational health services in the United States. The company offers occupational and consumer health services, including workers' compensation injury care, urgent care, clinical testing, preventative care, and employer services, as well as wellness programs through occupational health centers and onsite clinics. It also provides Concentra Telemed, a telemedicine solution for the treatment of work-related injuries and illnesses, and employer services; pharmacy solution under the Concentra Pharmacy name; and Concentra Medical Compliance Administration, a third-party administrator that helps to manage abuse testing programs for employers with regulated or non-regulated workforces. The company was founded in 1979 and is based in Mechanicsburg, Pennsylvania. Concentra Group Holdings Parent, Inc. operates as a subsidiary of Select Medical Corporation.
CON (Concentra Group Holdings Parent, Inc.) trades in the Healthcare sector, specifically Medical - Equipment & Services, with a market capitalization of approximately $3.31B, a trailing P/E of 18.41, a beta of 0.72 versus the broader market, a 52-week range of 18.545-25.87, average daily share volume of 774K, a public-listing history dating back to 2010, approximately 9K full-time employees. These structural characteristics shape how CON stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 0.72 places CON roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline. CON pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.
What is a butterfly on CON?
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 CON snapshot
As of May 15, 2026, spot at $25.95, ATM IV 36.50%, IV rank 7.05%, expected move 10.46%. The butterfly on CON 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 34-day expiry.
Why this butterfly structure on CON specifically: CON IV at 36.50% is on the cheap side of its 1-year range, which favors premium-buying structures like a CON butterfly, with a market-implied 1-standard-deviation move of approximately 10.46% (roughly $2.72 on the underlying). The 34-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated CON expiries trade a higher absolute premium for lower per-day decay. Position sizing on CON should anchor to the underlying notional of $25.95 per share and to the trader's directional view on CON stock.
CON butterfly setup
The CON 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 CON near $25.95, the first option leg uses a $24.65 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed CON chain at a 34-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 CON shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $24.65 | N/A |
| Sell 2 | Call | $25.95 | N/A |
| Buy 1 | Call | $27.25 | N/A |
CON 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.
CON butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on CON. 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 CON
Butterflies on CON are pinning bets - traders use them when they expect CON 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.
CON thesis for this butterfly
The market-implied 1-standard-deviation range for CON extends from approximately $23.23 on the downside to $28.67 on the upside. A CON long call butterfly is a pinning play: it pays maximum at the middle strike if CON settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current CON IV rank near 7.05% 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 CON at 36.50%. As a Healthcare name, CON options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to CON-specific events.
CON 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. CON positions also carry Healthcare sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move CON alongside the broader basket even when CON-specific fundamentals are unchanged. Always rebuild the position from current CON chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on CON?
- A butterfly on CON is the butterfly strategy applied to CON (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 CON stock trading near $25.95, the strikes shown on this page are snapped to the nearest listed CON chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are CON 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 CON butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 36.50%), 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 CON butterfly?
- The breakeven for the CON butterfly priced on this page is no defined breakeven on the modeled curve 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 CON market-implied 1-standard-deviation expected move is approximately 10.46%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on CON?
- Butterflies on CON are pinning bets - traders use them when they expect CON 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 CON implied volatility affect this butterfly?
- CON ATM IV is at 36.50% with IV rank near 7.05%, 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.