CRAI Butterfly Strategy
CRAI (CRA International, Inc.), in the Industrials sector, (Consulting Services industry), listed on NASDAQ.
CRA International, Inc., along with its affiliated entities, delivers specialized advisory services across the domains of economics, finance, and management in the United States, the United Kingdom, and globally. The firm provides expert guidance to clients on economic and financial considerations arising from legal disputes and regulatory challenges. Additionally, it collaborates with corporations to address matters of business strategy and operational effectiveness. Its comprehensive consulting offerings encompass in-depth research and analysis, expert witness testimony, and robust support for corporate clients and legal practitioners navigating litigation and regulatory proceedings. These services cover critical areas such as finance, accounting, economics, insurance, and forensic accounting and investigations. Moreover, CRA International's management consulting capabilities are extensive, covering areas like strategy formulation, performance enhancement, corporate strategic planning, portfolio analysis, market demand forecasting, new product pricing strategies, valuation of intellectual property and other assets, competitive intelligence, and the evaluation of new supply chain opportunities.
CRAI (CRA International, Inc.) trades in the Industrials sector, specifically Consulting Services, with a market capitalization of approximately $944.5M, a trailing P/E of 19.86, a beta of 0.68 versus the broader market, a 52-week range of 132.17-227.29, average daily share volume of 170K, a public-listing history dating back to 1998, approximately 947 full-time employees. These structural characteristics shape how CRAI stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 0.68 indicates CRAI has historically moved less than the broader market, dampening realized volatility and producing tighter expected-move bands per unit of dollar exposure. CRAI pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.
What is a butterfly on CRAI?
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 CRAI snapshot
As of June 30, 2026, spot at $142.58, ATM IV 44.50%, IV rank 4.84%, expected move 12.76%. The butterfly on CRAI 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 52-day expiry.
Why this butterfly structure on CRAI specifically: CRAI IV at 44.50% is on the cheap side of its 1-year range, which favors premium-buying structures like a CRAI butterfly, with a market-implied 1-standard-deviation move of approximately 12.76% (roughly $18.19 on the underlying). The 52-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated CRAI expiries trade a higher absolute premium for lower per-day decay. Position sizing on CRAI should anchor to the underlying notional of $142.58 per share and to the trader's directional view on CRAI stock.
CRAI butterfly setup
The CRAI 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 CRAI near $142.58, the first option leg uses a $135.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed CRAI chain at a 52-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 CRAI shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $135.00 | $14.50 |
| Sell 2 | Call | $145.00 | $8.50 |
| Buy 1 | Call | $150.00 | $6.50 |
CRAI butterfly risk and reward
- Net Premium / Debit
- -$400.00
- Max Profit (per contract)
- $573.44
- Max Loss (per contract)
- -$400.00
- Breakeven(s)
- $139.00
- Risk / Reward Ratio
- 1.434
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.
CRAI butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on CRAI. 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% | -$400.00 |
| $31.53 | -77.9% | -$400.00 |
| $63.06 | -55.8% | -$400.00 |
| $94.58 | -33.7% | -$400.00 |
| $126.11 | -11.6% | -$400.00 |
| $157.63 | +10.6% | +$100.00 |
| $189.15 | +32.7% | +$100.00 |
| $220.68 | +54.8% | +$100.00 |
| $252.20 | +76.9% | +$100.00 |
| $283.73 | +99.0% | +$100.00 |
When traders use butterfly on CRAI
Butterflies on CRAI are pinning bets - traders use them when they expect CRAI 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.
CRAI thesis for this butterfly
The market-implied 1-standard-deviation range for CRAI extends from approximately $124.39 on the downside to $160.77 on the upside. A CRAI long call butterfly is a pinning play: it pays maximum at the middle strike if CRAI settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current CRAI IV rank near 4.84% 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 CRAI at 44.50%. As a Industrials name, CRAI options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to CRAI-specific events.
CRAI 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. CRAI positions also carry Industrials sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move CRAI alongside the broader basket even when CRAI-specific fundamentals are unchanged. Always rebuild the position from current CRAI chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on CRAI?
- A butterfly on CRAI is the butterfly strategy applied to CRAI (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 CRAI stock trading near $142.58, the strikes shown on this page are snapped to the nearest listed CRAI chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are CRAI 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 CRAI butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 44.50%), the computed maximum profit is $573.44 per contract and the computed maximum loss is -$400.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a CRAI butterfly?
- The breakeven for the CRAI butterfly priced on this page is roughly $139.00 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 CRAI market-implied 1-standard-deviation expected move is approximately 12.76%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on CRAI?
- Butterflies on CRAI are pinning bets - traders use them when they expect CRAI 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 CRAI implied volatility affect this butterfly?
- CRAI ATM IV is at 44.50% with IV rank near 4.84%, 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.