GRPN Butterfly Strategy
GRPN (Groupon, Inc.), in the Communication Services sector, (Internet Content & Information industry), listed on NASDAQ.
Groupon, Inc., together with its subsidiaries, operates a marketplace that connects consumers to merchants. It operates in two segments, North America and International. The company sells goods or services on behalf of third-party merchants; and first-party goods inventory. It serves customers through its mobile applications and websites. The company was formerly known as ThePoint.com, Inc. and changed its name to Groupon, Inc. in October 2008. Groupon, Inc. was incorporated in 2008 and is headquartered in Chicago, Illinois.
GRPN (Groupon, Inc.) trades in the Communication Services sector, specifically Internet Content & Information, with a market capitalization of approximately $698.1M, a beta of 0.11 versus the broader market, a 52-week range of 9.17-43.08, average daily share volume of 1.9M, a public-listing history dating back to 2011, approximately 2K full-time employees. These structural characteristics shape how GRPN stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 0.11 indicates GRPN has historically moved less than the broader market, dampening realized volatility and producing tighter expected-move bands per unit of dollar exposure.
What is a butterfly on GRPN?
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 GRPN snapshot
As of May 15, 2026, spot at $17.35, ATM IV 90.30%, IV rank 31.30%, expected move 25.89%. The butterfly on GRPN 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 GRPN specifically: GRPN IV at 90.30% 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 25.89% (roughly $4.49 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 GRPN expiries trade a higher absolute premium for lower per-day decay. Position sizing on GRPN should anchor to the underlying notional of $17.35 per share and to the trader's directional view on GRPN stock.
GRPN butterfly setup
The GRPN 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 GRPN near $17.35, the first option leg uses a $16.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed GRPN 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 GRPN shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $16.00 | $2.58 |
| Sell 2 | Call | $17.00 | $2.13 |
| Buy 1 | Call | $18.00 | $1.73 |
GRPN butterfly risk and reward
- Net Premium / Debit
- -$5.00
- Max Profit (per contract)
- $86.92
- Max Loss (per contract)
- -$5.00
- Breakeven(s)
- $16.05, $17.95
- Risk / Reward Ratio
- 17.384
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.
GRPN butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on GRPN. 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 | -99.9% | -$5.00 |
| $3.85 | -77.8% | -$5.00 |
| $7.68 | -55.7% | -$5.00 |
| $11.52 | -33.6% | -$5.00 |
| $15.35 | -11.5% | -$5.00 |
| $19.19 | +10.6% | -$5.00 |
| $23.02 | +32.7% | -$5.00 |
| $26.86 | +54.8% | -$5.00 |
| $30.69 | +76.9% | -$5.00 |
| $34.53 | +99.0% | -$5.00 |
When traders use butterfly on GRPN
Butterflies on GRPN are pinning bets - traders use them when they expect GRPN 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.
GRPN thesis for this butterfly
The market-implied 1-standard-deviation range for GRPN extends from approximately $12.86 on the downside to $21.84 on the upside. A GRPN long call butterfly is a pinning play: it pays maximum at the middle strike if GRPN settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current GRPN IV rank near 31.30% is mid-range against its 1-year distribution, so the IV signal is neutral; the butterfly thesis on GRPN should anchor more to the directional view and the expected-move geometry. As a Communication Services name, GRPN options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to GRPN-specific events.
GRPN 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. GRPN positions also carry Communication Services sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move GRPN alongside the broader basket even when GRPN-specific fundamentals are unchanged. Always rebuild the position from current GRPN chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on GRPN?
- A butterfly on GRPN is the butterfly strategy applied to GRPN (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 GRPN stock trading near $17.35, the strikes shown on this page are snapped to the nearest listed GRPN chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are GRPN 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 GRPN butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 90.30%), the computed maximum profit is $86.92 per contract and the computed maximum loss is -$5.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a GRPN butterfly?
- The breakeven for the GRPN butterfly priced on this page is roughly $16.05 and $17.95 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 GRPN market-implied 1-standard-deviation expected move is approximately 25.89%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on GRPN?
- Butterflies on GRPN are pinning bets - traders use them when they expect GRPN 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 GRPN implied volatility affect this butterfly?
- GRPN ATM IV is at 90.30% with IV rank near 31.30%, 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.