How are GAP 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 GAP butterfly priced from the August 14, 2026 end-of-day chain at a 30-day expiry (ATM IV 58.21%), the computed maximum profit is $87.36 per contract and the computed maximum loss is -$9.50 per contract. Live intraday quotes will differ as the chain moves through the trading session.

What is the breakeven for a GAP butterfly?

The breakeven for the GAP butterfly priced on this page is roughly $19.59 and $21.43 at expiration, derived from the August 14, 2026 end-of-day chain's premiums. Breakeven is the underlying price at which the strategy's P&L crosses zero ignoring transaction costs and assignment risk. The GAP market-implied 1-standard-deviation expected move in the same options snapshot is approximately 16.69%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.

How does current GAP implied volatility affect this butterfly?

GAP ATM IV is at 58.21% with IV rank near 42.97%, 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.

GAP Butterfly Strategy

GAP (The Gap, Inc.), in the Consumer Cyclical sector, (Apparel - Retail industry), listed on NYSE.

The Gap, Inc. operates as a prominent apparel retail enterprise, offering a diverse array of clothing, accessories, and personal care products for men, women, and children. These goods are marketed under its well-known brands: Old Navy, Gap, Banana Republic, and Athleta. Its extensive product line features staples such as denim, t-shirts, fleece wear, and khakis, alongside accessories like eyewear, jewelry, footwear, handbags, and fragrances. Athleta specifically caters to women and girls with fitness and lifestyle products designed for activities including yoga, training, sports, travel, and everyday wear. The company distributes its products through various sales channels, including its own company-operated stores, franchised locations, e-commerce websites, third-party collaborations, and catalogs. Furthermore, The Gap, Inc. has established franchise partnerships with independent operators, enabling the operation of Old Navy, Gap, Athleta, and Banana Republic stores and online platforms across Asia, Europe, Latin America, the Middle East, and Africa.

GAP (The Gap, Inc.) trades in the Consumer Cyclical sector, specifically Apparel - Retail, with a market capitalization of approximately $7.29B, a trailing P/E of 7.73, a beta of 2.05 versus the broader market, a 52-week range of 18.11-29.36, average daily share volume of 7.5M, a public-listing history dating back to 1980, approximately 79K full-time employees. These structural characteristics shape how GAP stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.

A beta of 2.05 indicates GAP has historically moved more than the broader market, amplifying both the directional payoff and the realized volatility relative to an index-equivalent position. The trailing P/E of 7.73 is on the value side, where IV often compresses outside event windows because forward growth expectations are already discounted into the share price. GAP pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.

What is a butterfly on GAP?

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.

GAP snapshot

As of August 14, 2026, spot at $20.63, ATM IV 58.21%, IV rank 42.97%, expected move 16.69%. The butterfly on GAP below is built from the August 14, 2026 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 GAP specifically: GAP IV at 58.21% 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 16.69% (roughly $3.44 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 GAP expiries trade a higher absolute premium for lower per-day decay. Position sizing on GAP should anchor to the underlying notional of $20.63 per share and to the trader's directional view on GAP stock.

GAP butterfly setup

The GAP butterfly below is built from the August 14, 2026 end-of-day chain, with each option leg priced at the bid/ask midpoint of its listed strike. With GAP at $20.63 on that close, the first option leg uses a $19.50 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed GAP 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 GAP shares for the stock leg in covered calls and collars).

Action	Type	Strike / Basis	Premium (est)
Buy 1	Call	$19.50	$1.95
Sell 2	Call	$20.50	$1.39
Buy 1	Call	$21.50	$0.93

GAP butterfly risk and reward

Net Premium / Debit: -$9.50
Max Profit (per contract): $87.36
Max Loss (per contract): -$9.50
Breakeven(s): $19.59, $21.43
Risk / Reward Ratio: 9.196

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.

GAP butterfly payoff curve

Modeled P&L at expiration across a range of underlying prices for the butterfly on GAP. 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%	-$9.50
$4.57	-77.8%	-$9.50
$9.13	-55.7%	-$9.50
$13.69	-33.6%	-$9.50
$18.25	-11.5%	-$9.50
$22.81	+10.6%	-$9.50
$27.37	+32.7%	-$9.50
$31.93	+54.8%	-$9.50
$36.49	+76.9%	-$9.50
$41.05	+99.0%	-$9.50

When traders use butterfly on GAP

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

GAP thesis for this butterfly

The market-implied 1-standard-deviation range for GAP extends from approximately $17.19 on the downside to $24.07 on the upside. A GAP long call butterfly is a pinning play: it pays maximum at the middle strike if GAP settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current GAP IV rank near 42.97% is mid-range against its 1-year distribution, so the IV signal is neutral; the butterfly thesis on GAP should anchor more to the directional view and the expected-move geometry. As a Consumer Cyclical name, GAP options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to GAP-specific events.

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

Frequently asked questions

What is a butterfly on GAP?: A butterfly on GAP is the butterfly strategy applied to GAP (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 GAP stock at $20.63 on the August 14, 2026 close, the strikes shown on this page are snapped to the nearest listed GAP chain strike and the premiums come straight from that session's bid/ask midpoint.
How are GAP 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 GAP butterfly priced from the August 14, 2026 end-of-day chain at a 30-day expiry (ATM IV 58.21%), the computed maximum profit is $87.36 per contract and the computed maximum loss is -$9.50 per contract. Live intraday quotes will differ as the chain moves through the trading session.
What is the breakeven for a GAP butterfly?: The breakeven for the GAP butterfly priced on this page is roughly $19.59 and $21.43 at expiration, derived from the August 14, 2026 end-of-day chain's premiums. Breakeven is the underlying price at which the strategy's P&L crosses zero ignoring transaction costs and assignment risk. The GAP market-implied 1-standard-deviation expected move in the same options snapshot is approximately 16.69%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
When should you consider a butterfly on GAP?: Butterflies on GAP are pinning bets - traders use them when they expect GAP 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 GAP implied volatility affect this butterfly?: GAP ATM IV is at 58.21% with IV rank near 42.97%, 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.