How are CZR 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 CZR butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 53.53%), the computed maximum profit is $215.16 per contract and the computed maximum loss is $18.50 per contract. Live intraday quotes will differ as the chain moves through the trading session.

What is the breakeven for a CZR butterfly?

The breakeven for the CZR 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 CZR market-implied 1-standard-deviation expected move is approximately 15.35%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.

How does current CZR implied volatility affect this butterfly?

CZR ATM IV is at 53.53% with IV rank near 11.04%, 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.

CZR Butterfly Strategy

CZR (Caesars Entertainment, Inc.), in the Consumer Cyclical sector, (Gambling, Resorts & Casinos industry), listed on NASDAQ.

Caesars Entertainment, Inc. stands as a prominent gaming and lodging enterprise with extensive operations throughout the United States. The company manages numerous casinos, offering diverse gambling options like poker, keno, horse racing, and digital sports wagering platforms. Beyond its gaming ventures, Caesars provides a broad spectrum of leisure and accommodation services, including dining establishments, bars, nightclubs, lounges, hotels, and various entertainment facilities. Additionally, it offers staffing and management support, sells merchandise such as accessories and souvenirs via its retail outlets, and operates online sports betting and iGaming services. By the close of 2021, its portfolio encompassed 52 properties located across 16 U.S. states, which were either owned, leased, or managed. These establishments collectively featured approximately 55,700 slot machines, video lottery terminals, and electronic gaming tables; 2,900 traditional table games; and 47,700 guest rooms.

CZR (Caesars Entertainment, Inc.) trades in the Consumer Cyclical sector, specifically Gambling, Resorts & Casinos, with a market capitalization of approximately $6.15B, a beta of 1.77 versus the broader market, a 52-week range of 17.86-31.58, average daily share volume of 6.5M, a public-listing history dating back to 2014, approximately 50K full-time employees. These structural characteristics shape how CZR stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.

A beta of 1.77 indicates CZR has historically moved more than the broader market, amplifying both the directional payoff and the realized volatility relative to an index-equivalent position.

What is a butterfly on CZR?

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 CZR snapshot

As of June 30, 2026, spot at $30.18, ATM IV 53.53%, IV rank 11.04%, expected move 15.35%. The butterfly on CZR 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 31-day expiry.

Why this butterfly structure on CZR specifically: CZR IV at 53.53% is on the cheap side of its 1-year range, which favors premium-buying structures like a CZR butterfly, with a market-implied 1-standard-deviation move of approximately 15.35% (roughly $4.63 on the underlying). The 31-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated CZR expiries trade a higher absolute premium for lower per-day decay. Position sizing on CZR should anchor to the underlying notional of $30.18 per share and to the trader's directional view on CZR stock.

CZR butterfly setup

The CZR 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 CZR near $30.18, the first option leg uses a $29.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed CZR chain at a 31-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 CZR shares for the stock leg in covered calls and collars).

Action	Type	Strike / Basis	Premium (est)
Buy 1	Call	$29.00	$2.53
Sell 2	Call	$30.00	$2.50
Buy 1	Call	$32.00	$1.29

CZR butterfly risk and reward

Net Premium / Debit: +$118.50
Max Profit (per contract): $215.16
Max Loss (per contract): $18.50
Breakeven(s): None on modeled curve
Risk / Reward Ratio: 11.630

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.

CZR butterfly payoff curve

Modeled P&L at expiration across a range of underlying prices for the butterfly on CZR. 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%	+$118.50
$6.68	-77.9%	+$118.50
$13.35	-55.8%	+$118.50
$20.03	-33.6%	+$118.50
$26.70	-11.5%	+$118.50
$33.37	+10.6%	+$18.50
$40.04	+32.7%	+$18.50
$46.71	+54.8%	+$18.50
$53.38	+76.9%	+$18.50
$60.06	+99.0%	+$18.50

When traders use butterfly on CZR

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

CZR thesis for this butterfly

The market-implied 1-standard-deviation range for CZR extends from approximately $25.55 on the downside to $34.81 on the upside. A CZR long call butterfly is a pinning play: it pays maximum at the middle strike if CZR settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current CZR IV rank near 11.04% 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 CZR at 53.53%. As a Consumer Cyclical name, CZR options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to CZR-specific events.

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

Frequently asked questions

What is a butterfly on CZR?: A butterfly on CZR is the butterfly strategy applied to CZR (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 CZR stock trading near $30.18, the strikes shown on this page are snapped to the nearest listed CZR chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
How are CZR 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 CZR butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 53.53%), the computed maximum profit is $215.16 per contract and the computed maximum loss is $18.50 per contract. Live intraday quotes will differ as the chain moves through the trading session.
What is the breakeven for a CZR butterfly?: The breakeven for the CZR 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 CZR market-implied 1-standard-deviation expected move is approximately 15.35%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
When should you consider a butterfly on CZR?: Butterflies on CZR are pinning bets - traders use them when they expect CZR 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 CZR implied volatility affect this butterfly?: CZR ATM IV is at 53.53% with IV rank near 11.04%, 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.