How are COP 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 COP butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 33.37%), the computed maximum profit is $515.99 per contract and the computed maximum loss is -$164.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.

What is the breakeven for a COP butterfly?

The breakeven for the COP butterfly priced on this page is roughly $116.54 and $127.36 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 COP market-implied 1-standard-deviation expected move is approximately 9.57%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.

How does current COP implied volatility affect this butterfly?

COP ATM IV is at 33.37% with IV rank near 56.61%, 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.

COP Butterfly Strategy

COP (ConocoPhillips), in the Energy sector, (Oil & Gas Exploration & Production industry), listed on NYSE.

ConocoPhillips explores for, produces, transports, and markets crude oil, bitumen, natural gas, liquefied natural gas (LNG), and natural gas liquids worldwide. It primarily engages in the conventional and tight oil reservoirs, shale gas, heavy oil, LNG, oil sands, and other production operations. The company's portfolio includes unconventional plays in North America; conventional assets in North America, Europe, Asia, and Australia; various LNG developments; oil sands assets in Canada; and an inventory of conventional and unconventional exploration prospects. ConocoPhillips was founded in 1917 and is headquartered in Houston, Texas.

COP (ConocoPhillips) trades in the Energy sector, specifically Oil & Gas Exploration & Production, with a market capitalization of approximately $143.03B, a trailing P/E of 19.63, a beta of 0.15 versus the broader market, a 52-week range of 84.28-135.87, average daily share volume of 9.8M, a public-listing history dating back to 1981, approximately 12K full-time employees. These structural characteristics shape how COP stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.

A beta of 0.15 indicates COP has historically moved less than the broader market, dampening realized volatility and producing tighter expected-move bands per unit of dollar exposure. COP pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.

What is a butterfly on COP?

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 COP snapshot

As of May 15, 2026, spot at $122.41, ATM IV 33.37%, IV rank 56.61%, expected move 9.57%. The butterfly on COP 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 COP specifically: COP IV at 33.37% 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 9.57% (roughly $11.71 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 COP expiries trade a higher absolute premium for lower per-day decay. Position sizing on COP should anchor to the underlying notional of $122.41 per share and to the trader's directional view on COP stock.

COP butterfly setup

The COP 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 COP near $122.41, the first option leg uses a $116.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed COP 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 COP shares for the stock leg in covered calls and collars).

Action	Type	Strike / Basis	Premium (est)
Buy 1	Call	$116.00	$8.23
Sell 2	Call	$122.00	$4.80
Buy 1	Call	$129.00	$2.02

COP butterfly risk and reward

Net Premium / Debit: -$64.00
Max Profit (per contract): $515.99
Max Loss (per contract): -$164.00
Breakeven(s): $116.54, $127.36
Risk / Reward Ratio: 3.146

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.

COP butterfly payoff curve

Modeled P&L at expiration across a range of underlying prices for the butterfly on COP. 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%	-$64.00
$27.07	-77.9%	-$64.00
$54.14	-55.8%	-$64.00
$81.20	-33.7%	-$64.00
$108.27	-11.6%	-$64.00
$135.33	+10.6%	-$164.00
$162.40	+32.7%	-$164.00
$189.46	+54.8%	-$164.00
$216.53	+76.9%	-$164.00
$243.59	+99.0%	-$164.00

When traders use butterfly on COP

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

COP thesis for this butterfly

The market-implied 1-standard-deviation range for COP extends from approximately $110.70 on the downside to $134.12 on the upside. A COP long call butterfly is a pinning play: it pays maximum at the middle strike if COP settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current COP IV rank near 56.61% is mid-range against its 1-year distribution, so the IV signal is neutral; the butterfly thesis on COP should anchor more to the directional view and the expected-move geometry. As a Energy name, COP options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to COP-specific events.

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

Frequently asked questions

What is a butterfly on COP?: A butterfly on COP is the butterfly strategy applied to COP (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 COP stock trading near $122.41, the strikes shown on this page are snapped to the nearest listed COP chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
How are COP 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 COP butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 33.37%), the computed maximum profit is $515.99 per contract and the computed maximum loss is -$164.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.
What is the breakeven for a COP butterfly?: The breakeven for the COP butterfly priced on this page is roughly $116.54 and $127.36 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 COP market-implied 1-standard-deviation expected move is approximately 9.57%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
When should you consider a butterfly on COP?: Butterflies on COP are pinning bets - traders use them when they expect COP 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 COP implied volatility affect this butterfly?: COP ATM IV is at 33.37% with IV rank near 56.61%, 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.