ICE Butterfly Strategy
ICE (Intercontinental Exchange, Inc.), in the Financial Services sector, (Financial - Data & Stock Exchanges industry), listed on NYSE.
Intercontinental Exchange, Inc., together with its subsidiaries, operates regulated exchanges, clearing houses, and listings venues for commodity, financial, fixed income, and equity markets in the United States, the United Kingdom, the European Union, Singapore, Israel, and Canada. It operates through three segments: Exchanges, Fixed Income and Data Services, and Mortgage Technology. The company operates marketplaces for listing, trading, and clearing an array of derivatives contracts and financial securities, such as commodities, interest rates, foreign exchange, and equities, as well as corporate and exchange-traded funds; trading venues, including 13 regulated exchanges and 6 clearing houses; and offers futures and options products for energy, agricultural and metals, financial, cash equities and equity, over-the-counter, and other markets, as well as listings and data and connectivity services. It also provides fixed income data and analytic, fixed income execution, CDS clearing, and other multi-asset class data and network services. In addition, the company offers proprietary and comprehensive mortgage origination platform, which serves residential mortgage loans; closing solutions that provides customers connectivity to the mortgage supply chain and facilitates the secure exchange of information; data and analytics services; and Data as a Service for lenders to access data and origination information. Intercontinental Exchange, Inc. was founded in 2000 and is headquartered in Atlanta, Georgia.
ICE (Intercontinental Exchange, Inc.) trades in the Financial Services sector, specifically Financial - Data & Stock Exchanges, with a market capitalization of approximately $87.54B, a trailing P/E of 22.39, a beta of 0.96 versus the broader market, a 52-week range of 143.17-189.35, average daily share volume of 3.6M, a public-listing history dating back to 2005, approximately 13K full-time employees. These structural characteristics shape how ICE stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 0.96 places ICE roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline. ICE pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.
What is a butterfly on ICE?
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 ICE snapshot
As of May 15, 2026, spot at $154.81, ATM IV 23.85%, IV rank 50.98%, expected move 6.84%. The butterfly on ICE 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 28-day expiry.
Why this butterfly structure on ICE specifically: ICE IV at 23.85% 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 6.84% (roughly $10.59 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 ICE expiries trade a higher absolute premium for lower per-day decay. Position sizing on ICE should anchor to the underlying notional of $154.81 per share and to the trader's directional view on ICE stock.
ICE butterfly setup
The ICE 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 ICE near $154.81, the first option leg uses a $145.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed ICE 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 ICE shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $145.00 | $10.75 |
| Sell 2 | Call | $155.00 | $4.05 |
| Buy 1 | Call | $165.00 | $0.93 |
ICE butterfly risk and reward
- Net Premium / Debit
- -$357.50
- Max Profit (per contract)
- $583.21
- Max Loss (per contract)
- -$357.50
- Breakeven(s)
- $148.58, $161.43
- Risk / Reward Ratio
- 1.631
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.
ICE butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on ICE. 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% | -$357.50 |
| $34.24 | -77.9% | -$357.50 |
| $68.47 | -55.8% | -$357.50 |
| $102.69 | -33.7% | -$357.50 |
| $136.92 | -11.6% | -$357.50 |
| $171.15 | +10.6% | -$357.50 |
| $205.38 | +32.7% | -$357.50 |
| $239.61 | +54.8% | -$357.50 |
| $273.84 | +76.9% | -$357.50 |
| $308.06 | +99.0% | -$357.50 |
When traders use butterfly on ICE
Butterflies on ICE are pinning bets - traders use them when they expect ICE 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.
ICE thesis for this butterfly
The market-implied 1-standard-deviation range for ICE extends from approximately $144.22 on the downside to $165.40 on the upside. A ICE long call butterfly is a pinning play: it pays maximum at the middle strike if ICE settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current ICE IV rank near 50.98% is mid-range against its 1-year distribution, so the IV signal is neutral; the butterfly thesis on ICE should anchor more to the directional view and the expected-move geometry. As a Financial Services name, ICE options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to ICE-specific events.
ICE 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. ICE positions also carry Financial Services sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move ICE alongside the broader basket even when ICE-specific fundamentals are unchanged. Always rebuild the position from current ICE chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on ICE?
- A butterfly on ICE is the butterfly strategy applied to ICE (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 ICE stock trading near $154.81, the strikes shown on this page are snapped to the nearest listed ICE chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are ICE 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 ICE butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 23.85%), the computed maximum profit is $583.21 per contract and the computed maximum loss is -$357.50 per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a ICE butterfly?
- The breakeven for the ICE butterfly priced on this page is roughly $148.58 and $161.43 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 ICE market-implied 1-standard-deviation expected move is approximately 6.84%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on ICE?
- Butterflies on ICE are pinning bets - traders use them when they expect ICE 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 ICE implied volatility affect this butterfly?
- ICE ATM IV is at 23.85% with IV rank near 50.98%, 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.