CVI Butterfly Strategy
CVI (CVR Energy, Inc.), in the Energy sector, (Oil & Gas Refining & Marketing industry), listed on NYSE.
CVR Energy, Inc., together with its subsidiaries, engages in the petroleum refining and nitrogen fertilizer manufacturing activities in the United States. It operates in two segments, Petroleum and Nitrogen Fertilizer. The Petroleum segment refines and markets gasoline, diesel fuel, and other refined products. It also owns and operates a coking medium-sour crude oil refinery in southeast Kansas; and a crude oil refinery in Wynnewood, Oklahoma, as well as supporting logistics assets. This segment primarily serves retailers, railroads, farm co-operatives, and other refiners/marketers. The Nitrogen Fertilizer segment owns and operates a nitrogen fertilizer plant in North America that utilizes a pet coke gasification process to produce nitrogen fertilizer products; and a nitrogen fertilizer facility in East Dubuque, Illinois that produces nitrogen fertilizers in the form of ammonia and urea ammonium nitrate (UAN).
CVI (CVR Energy, Inc.) trades in the Energy sector, specifically Oil & Gas Refining & Marketing, with a market capitalization of approximately $3.40B, a beta of 0.79 versus the broader market, a 52-week range of 19.62-41.67, average daily share volume of 1.4M, a public-listing history dating back to 2007, approximately 2K full-time employees. These structural characteristics shape how CVI stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 0.79 places CVI roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline. CVI pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.
What is a butterfly on CVI?
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 CVI snapshot
As of May 15, 2026, spot at $34.08, ATM IV 61.00%, IV rank 45.98%, expected move 17.49%. The butterfly on CVI 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 CVI specifically: CVI IV at 61.00% 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 17.49% (roughly $5.96 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 CVI expiries trade a higher absolute premium for lower per-day decay. Position sizing on CVI should anchor to the underlying notional of $34.08 per share and to the trader's directional view on CVI stock.
CVI butterfly setup
The CVI 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 CVI near $34.08, the first option leg uses a $32.38 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed CVI 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 CVI shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $32.38 | N/A |
| Sell 2 | Call | $34.08 | N/A |
| Buy 1 | Call | $35.78 | N/A |
CVI 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.
CVI butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on CVI. 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 CVI
Butterflies on CVI are pinning bets - traders use them when they expect CVI 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.
CVI thesis for this butterfly
The market-implied 1-standard-deviation range for CVI extends from approximately $28.12 on the downside to $40.04 on the upside. A CVI long call butterfly is a pinning play: it pays maximum at the middle strike if CVI settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current CVI IV rank near 45.98% is mid-range against its 1-year distribution, so the IV signal is neutral; the butterfly thesis on CVI should anchor more to the directional view and the expected-move geometry. As a Energy name, CVI options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to CVI-specific events.
CVI 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. CVI positions also carry Energy sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move CVI alongside the broader basket even when CVI-specific fundamentals are unchanged. Always rebuild the position from current CVI chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on CVI?
- A butterfly on CVI is the butterfly strategy applied to CVI (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 CVI stock trading near $34.08, the strikes shown on this page are snapped to the nearest listed CVI chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are CVI 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 CVI butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 61.00%), 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 CVI butterfly?
- The breakeven for the CVI 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 CVI market-implied 1-standard-deviation expected move is approximately 17.49%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on CVI?
- Butterflies on CVI are pinning bets - traders use them when they expect CVI 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 CVI implied volatility affect this butterfly?
- CVI ATM IV is at 61.00% with IV rank near 45.98%, 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.