GRAL Butterfly Strategy
GRAL (GRAIL, Inc.), in the Healthcare sector, (Medical - Diagnostics & Research industry), listed on NASDAQ.
GRAIL, Inc., a biotechnology company, focuses on developing technologies for early cancer detection. The company develops Galleri, a screening test for asymptomatic individuals over 50 years of age; and DAC, a diagnostic aid for cancer tests to accelerate diagnostic resolution for patients for whom there is a clinical suspicion of cancer. It is also developing minimal residual disease and other post-diagnostic tests. The company was incorporated in 2015 and is based in Menlo Park, California. GRAIL, Inc. operates as a former subsidiary of Illumina, Inc.
GRAL (GRAIL, Inc.) trades in the Healthcare sector, specifically Medical - Diagnostics & Research, with a market capitalization of approximately $2.60B, a beta of 3.04 versus the broader market, a 52-week range of 29.95-118.84, average daily share volume of 1.3M, a public-listing history dating back to 2024, approximately 1K full-time employees. These structural characteristics shape how GRAL stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 3.04 indicates GRAL 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 GRAL?
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 GRAL snapshot
As of May 15, 2026, spot at $59.75, ATM IV 91.70%, IV rank 16.08%, expected move 26.29%. The butterfly on GRAL 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 63-day expiry.
Why this butterfly structure on GRAL specifically: GRAL IV at 91.70% is on the cheap side of its 1-year range, which favors premium-buying structures like a GRAL butterfly, with a market-implied 1-standard-deviation move of approximately 26.29% (roughly $15.71 on the underlying). The 63-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated GRAL expiries trade a higher absolute premium for lower per-day decay. Position sizing on GRAL should anchor to the underlying notional of $59.75 per share and to the trader's directional view on GRAL stock.
GRAL butterfly setup
The GRAL 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 GRAL near $59.75, the first option leg uses a $55.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed GRAL chain at a 63-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 GRAL shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $55.00 | $11.15 |
| Sell 2 | Call | $60.00 | $8.85 |
| Buy 1 | Call | $65.00 | $6.55 |
GRAL butterfly risk and reward
- Net Premium / Debit
- $0.00
- Max Profit (per contract)
- $494.48
- Max Loss (per contract)
- -$0.00
- Breakeven(s)
- $65.46
- Risk / Reward Ratio
- 1,087,367,273,213,932.900
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.
GRAL butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on GRAL. 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% | $0.00 |
| $13.22 | -77.9% | $0.00 |
| $26.43 | -55.8% | $0.00 |
| $39.64 | -33.7% | $0.00 |
| $52.85 | -11.5% | $0.00 |
| $66.06 | +10.6% | -$0.00 |
| $79.27 | +32.7% | $0.00 |
| $92.48 | +54.8% | $0.00 |
| $105.69 | +76.9% | +$0.00 |
| $118.90 | +99.0% | $0.00 |
When traders use butterfly on GRAL
Butterflies on GRAL are pinning bets - traders use them when they expect GRAL 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.
GRAL thesis for this butterfly
The market-implied 1-standard-deviation range for GRAL extends from approximately $44.04 on the downside to $75.46 on the upside. A GRAL long call butterfly is a pinning play: it pays maximum at the middle strike if GRAL settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current GRAL IV rank near 16.08% 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 GRAL at 91.70%. As a Healthcare name, GRAL options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to GRAL-specific events.
GRAL 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. GRAL positions also carry Healthcare sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move GRAL alongside the broader basket even when GRAL-specific fundamentals are unchanged. Always rebuild the position from current GRAL chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on GRAL?
- A butterfly on GRAL is the butterfly strategy applied to GRAL (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 GRAL stock trading near $59.75, the strikes shown on this page are snapped to the nearest listed GRAL chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are GRAL 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 GRAL butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 91.70%), the computed maximum profit is $494.48 per contract and the computed maximum loss is -$0.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a GRAL butterfly?
- The breakeven for the GRAL butterfly priced on this page is roughly $65.46 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 GRAL market-implied 1-standard-deviation expected move is approximately 26.29%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on GRAL?
- Butterflies on GRAL are pinning bets - traders use them when they expect GRAL 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 GRAL implied volatility affect this butterfly?
- GRAL ATM IV is at 91.70% with IV rank near 16.08%, 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.