How are JEF 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 JEF butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 37.50%), the computed maximum profit is $190.75 per contract and the computed maximum loss is -$57.50 per contract. Live intraday quotes will differ as the chain moves through the trading session.

What is the breakeven for a JEF butterfly?

The breakeven for the JEF butterfly priced on this page is roughly $50.58 and $54.43 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 JEF market-implied 1-standard-deviation expected move is approximately 10.75%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.

How does current JEF implied volatility affect this butterfly?

JEF ATM IV is at 37.50% with IV rank near 17.40%, 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.

JEF Butterfly Strategy

JEF (Jefferies Financial Group Inc.), in the Financial Services sector, (Financial - Capital Markets industry), listed on NYSE.

Jefferies Financial Group Inc. engages in the investment banking and capital markets, and asset management businesses in the Americas, Europe, the Middle East, Africa, and Asia. The company operates in Investment Banking and Capital Markets, Asset Management, Merchant Banking, and Corporate segments. It provides investment banking, advisory services with respect to mergers or acquisitions, restructurings or recapitalizations and private capital advisory transactions; equity and debt underwriting; and corporate lending. In addition, the company offers financing, securities lending, and other prime brokerage services; equities research and finance; and wealth management services. Further, it provides clients with sales and trading of investment grade corporate bonds, U.S. and European government and agency securities, municipal bonds, mortgage-backed and asset-backed securities, leveraged loans, consumer loans, high yield and distressed securities, emerging markets debt, interest rate, and credit derivative products, as well as foreign exchange trade execution and securitization; and manages, invests in, and provides services to a diverse group of alternative asset management platforms across a spectrum of investment strategies and asset classes. The company was formerly known as Leucadia National Corporation and changed its name to Jefferies Financial Group Inc. in May 2018.

JEF (Jefferies Financial Group Inc.) trades in the Financial Services sector, specifically Financial - Capital Markets, with a market capitalization of approximately $10.90B, a trailing P/E of 15.47, a beta of 1.53 versus the broader market, a 52-week range of 35.53-71.04, average daily share volume of 3.1M, a public-listing history dating back to 1980, approximately 8K full-time employees. These structural characteristics shape how JEF stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.

A beta of 1.53 indicates JEF has historically moved more than the broader market, amplifying both the directional payoff and the realized volatility relative to an index-equivalent position. JEF pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.

What is a butterfly on JEF?

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 JEF snapshot

As of May 15, 2026, spot at $52.25, ATM IV 37.50%, IV rank 17.40%, expected move 10.75%. The butterfly on JEF 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 JEF specifically: JEF IV at 37.50% is on the cheap side of its 1-year range, which favors premium-buying structures like a JEF butterfly, with a market-implied 1-standard-deviation move of approximately 10.75% (roughly $5.62 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 JEF expiries trade a higher absolute premium for lower per-day decay. Position sizing on JEF should anchor to the underlying notional of $52.25 per share and to the trader's directional view on JEF stock.

JEF butterfly setup

The JEF 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 JEF near $52.25, the first option leg uses a $50.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed JEF 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 JEF shares for the stock leg in covered calls and collars).

Action	Type	Strike / Basis	Premium (est)
Buy 1	Call	$50.00	$3.65
Sell 2	Call	$52.50	$2.13
Buy 1	Call	$55.00	$1.18

JEF butterfly risk and reward

Net Premium / Debit: -$57.50
Max Profit (per contract): $190.75
Max Loss (per contract): -$57.50
Breakeven(s): $50.58, $54.43
Risk / Reward Ratio: 3.317

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.

JEF butterfly payoff curve

Modeled P&L at expiration across a range of underlying prices for the butterfly on JEF. 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%	-$57.50
$11.56	-77.9%	-$57.50
$23.11	-55.8%	-$57.50
$34.66	-33.7%	-$57.50
$46.22	-11.5%	-$57.50
$57.77	+10.6%	-$57.50
$69.32	+32.7%	-$57.50
$80.87	+54.8%	-$57.50
$92.42	+76.9%	-$57.50
$103.97	+99.0%	-$57.50

When traders use butterfly on JEF

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

JEF thesis for this butterfly

The market-implied 1-standard-deviation range for JEF extends from approximately $46.63 on the downside to $57.87 on the upside. A JEF long call butterfly is a pinning play: it pays maximum at the middle strike if JEF settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current JEF IV rank near 17.40% 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 JEF at 37.50%. As a Financial Services name, JEF options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to JEF-specific events.

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

Frequently asked questions

What is a butterfly on JEF?: A butterfly on JEF is the butterfly strategy applied to JEF (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 JEF stock trading near $52.25, the strikes shown on this page are snapped to the nearest listed JEF chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
How are JEF 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 JEF butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 37.50%), the computed maximum profit is $190.75 per contract and the computed maximum loss is -$57.50 per contract. Live intraday quotes will differ as the chain moves through the trading session.
What is the breakeven for a JEF butterfly?: The breakeven for the JEF butterfly priced on this page is roughly $50.58 and $54.43 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 JEF market-implied 1-standard-deviation expected move is approximately 10.75%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
When should you consider a butterfly on JEF?: Butterflies on JEF are pinning bets - traders use them when they expect JEF 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 JEF implied volatility affect this butterfly?: JEF ATM IV is at 37.50% with IV rank near 17.40%, 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.