How are LC 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 LC butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 44.80%), the computed maximum profit is $52.50 per contract and the computed maximum loss is -$47.50 per contract. Live intraday quotes will differ as the chain moves through the trading session.

What is the breakeven for a LC butterfly?

The breakeven for the LC butterfly priced on this page is roughly $15.48 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 LC market-implied 1-standard-deviation expected move is approximately 12.84%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.

How does current LC implied volatility affect this butterfly?

LC ATM IV is at 44.80% with IV rank near 19.43%, 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.

LC Butterfly Strategy

LC (LendingClub Corporation), in the Financial Services sector, (Financial - Credit Services industry), listed on NYSE.

LendingClub Corporation, operates as a bank holding company for LendingClub Bank, National Association that provides range of financial products and services through a technology-driven platform in the United States. The company provides commercial and industrial, commercial real estate, small business, and equipment loans, as well as leases equipment; and unsecured personal and auto, patient finance, and education finance loans. It also operates an online lending marketplace platform that connects borrowers and investors. LendingClub Corporation was incorporated in 2006 and is headquartered in San Francisco, California.

LC (LendingClub Corporation) trades in the Financial Services sector, specifically Financial - Credit Services, with a market capitalization of approximately $1.77B, a trailing P/E of 10.07, a beta of 2.01 versus the broader market, a 52-week range of 9.7-21.67, average daily share volume of 2.1M, a public-listing history dating back to 2014, approximately 1K full-time employees. These structural characteristics shape how LC stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.

A beta of 2.01 indicates LC has historically moved more than the broader market, amplifying both the directional payoff and the realized volatility relative to an index-equivalent position. The trailing P/E of 10.07 is on the value side, where IV often compresses outside event windows because forward growth expectations are already discounted into the share price.

What is a butterfly on LC?

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 LC snapshot

As of May 15, 2026, spot at $15.56, ATM IV 44.80%, IV rank 19.43%, expected move 12.84%. The butterfly on LC 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 LC specifically: LC IV at 44.80% is on the cheap side of its 1-year range, which favors premium-buying structures like a LC butterfly, with a market-implied 1-standard-deviation move of approximately 12.84% (roughly $2.00 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 LC expiries trade a higher absolute premium for lower per-day decay. Position sizing on LC should anchor to the underlying notional of $15.56 per share and to the trader's directional view on LC stock.

LC butterfly setup

The LC 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 LC near $15.56, the first option leg uses a $15.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed LC 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 LC shares for the stock leg in covered calls and collars).

Action	Type	Strike / Basis	Premium (est)
Buy 1	Call	$15.00	$1.48
Sell 2	Call	$16.00	$1.00
Buy 1	Call	$16.00	$1.00

LC butterfly risk and reward

Net Premium / Debit: -$47.50
Max Profit (per contract): $52.50
Max Loss (per contract): -$47.50
Breakeven(s): $15.48
Risk / Reward Ratio: 1.105

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.

LC butterfly payoff curve

Modeled P&L at expiration across a range of underlying prices for the butterfly on LC. 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%	-$47.50
$3.45	-77.8%	-$47.50
$6.89	-55.7%	-$47.50
$10.33	-33.6%	-$47.50
$13.77	-11.5%	-$47.50
$17.21	+10.6%	+$52.50
$20.65	+32.7%	+$52.50
$24.09	+54.8%	+$52.50
$27.52	+76.9%	+$52.50
$30.96	+99.0%	+$52.50

When traders use butterfly on LC

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

LC thesis for this butterfly

The market-implied 1-standard-deviation range for LC extends from approximately $13.56 on the downside to $17.56 on the upside. A LC long call butterfly is a pinning play: it pays maximum at the middle strike if LC settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current LC IV rank near 19.43% 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 LC at 44.80%. As a Financial Services name, LC options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to LC-specific events.

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

Frequently asked questions

What is a butterfly on LC?: A butterfly on LC is the butterfly strategy applied to LC (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 LC stock trading near $15.56, the strikes shown on this page are snapped to the nearest listed LC chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
How are LC 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 LC butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 44.80%), the computed maximum profit is $52.50 per contract and the computed maximum loss is -$47.50 per contract. Live intraday quotes will differ as the chain moves through the trading session.
What is the breakeven for a LC butterfly?: The breakeven for the LC butterfly priced on this page is roughly $15.48 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 LC market-implied 1-standard-deviation expected move is approximately 12.84%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
When should you consider a butterfly on LC?: Butterflies on LC are pinning bets - traders use them when they expect LC 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 LC implied volatility affect this butterfly?: LC ATM IV is at 44.80% with IV rank near 19.43%, 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.