GOSS Butterfly Strategy
GOSS (Gossamer Bio, Inc.), in the Healthcare sector, (Biotechnology industry), listed on NASDAQ.
Gossamer Bio, Inc., a clinical-stage biopharmaceutical company, focuses on discovering, acquiring, developing, and commercializing therapeutics in the disease areas of immunology, inflammation, and oncology in the United States. The company is developing GB002, an inhaled, small molecule, platelet-derived growth factor receptor, or PDGFR, colonystimulating factor 1 receptor, or CSF1R, and c-KIT inhibitor for the treatment of pulmonary arterial hypertension; GB004, a gut-targeted, oral small molecule for the treatment of inflammatory bowel disease; GB5121, an oral, irreversible, covalent, small molecule inhibitor of Bruton's Tyrosine Kinase for the treatment of primary central nervous system lymphoma; and GB7208, an oral, small molecule, BTK inhibitor for the treatment of multiple sclerosis. It has license agreements with Pulmokine, Inc. to develop and commercialize GB002 and related backup compounds; and Aerpio Pharmaceuticals, Inc. to develop and commercialize GB004 and related compounds. The company was formerly known as FSG, Bio, Inc. and changed its name to Gossamer Bio, Inc. in 2017. Gossamer Bio, Inc. was incorporated in 2015 and is headquartered in San Diego, California.
GOSS (Gossamer Bio, Inc.) trades in the Healthcare sector, specifically Biotechnology, with a market capitalization of approximately $80.6M, a beta of 2.15 versus the broader market, a 52-week range of 0.314-3.87, average daily share volume of 16.3M, a public-listing history dating back to 2019, approximately 144 full-time employees. These structural characteristics shape how GOSS stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 2.15 indicates GOSS 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 GOSS?
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 GOSS snapshot
As of May 15, 2026, spot at $0.33, ATM IV 24.70%, IV rank 2.99%, expected move 7.08%. The butterfly on GOSS 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 GOSS specifically: GOSS IV at 24.70% is on the cheap side of its 1-year range, which favors premium-buying structures like a GOSS butterfly, with a market-implied 1-standard-deviation move of approximately 7.08% (roughly $0.02 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 GOSS expiries trade a higher absolute premium for lower per-day decay. Position sizing on GOSS should anchor to the underlying notional of $0.33 per share and to the trader's directional view on GOSS stock.
GOSS butterfly setup
The GOSS 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 GOSS near $0.33, the first option leg uses a $0.31 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed GOSS 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 GOSS shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $0.31 | N/A |
| Sell 2 | Call | $0.33 | N/A |
| Buy 1 | Call | $0.35 | N/A |
GOSS 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.
GOSS butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on GOSS. 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 GOSS
Butterflies on GOSS are pinning bets - traders use them when they expect GOSS 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.
GOSS thesis for this butterfly
The market-implied 1-standard-deviation range for GOSS extends from approximately $0.31 on the downside to $0.35 on the upside. A GOSS long call butterfly is a pinning play: it pays maximum at the middle strike if GOSS settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current GOSS IV rank near 2.99% 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 GOSS at 24.70%. As a Healthcare name, GOSS options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to GOSS-specific events.
GOSS 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. GOSS positions also carry Healthcare sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move GOSS alongside the broader basket even when GOSS-specific fundamentals are unchanged. Always rebuild the position from current GOSS chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on GOSS?
- A butterfly on GOSS is the butterfly strategy applied to GOSS (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 GOSS stock trading near $0.33, the strikes shown on this page are snapped to the nearest listed GOSS chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are GOSS 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 GOSS butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 24.70%), 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 GOSS butterfly?
- The breakeven for the GOSS 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 GOSS market-implied 1-standard-deviation expected move is approximately 7.08%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on GOSS?
- Butterflies on GOSS are pinning bets - traders use them when they expect GOSS 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 GOSS implied volatility affect this butterfly?
- GOSS ATM IV is at 24.70% with IV rank near 2.99%, 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.