How are LII 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 LII butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 37.20%), the computed maximum profit is $1,713.18 per contract and the computed maximum loss is -$1,050.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.

What is the breakeven for a LII butterfly?

The breakeven for the LII butterfly priced on this page is roughly $478.51 and $519.50 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 LII market-implied 1-standard-deviation expected move is approximately 10.66%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.

How does current LII implied volatility affect this butterfly?

LII ATM IV is at 37.20% with IV rank near 42.31%, 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.

LII Butterfly Strategy

LII (Lennox International Inc.), in the Industrials sector, (Construction industry), listed on NYSE.

Lennox International Inc., together with its subsidiaries, designs, manufactures, and markets a range of products for the heating, ventilation, air conditioning, and refrigeration markets in the United States, Canada, and internationally. It operates through three segments: Residential Heating & Cooling, Commercial Heating & Cooling, and Refrigeration. The Residential Heating & Cooling segment provides furnaces, air conditioners, heat pumps, packaged heating and cooling systems, indoor air quality equipment and accessories, comfort control products, and replacement parts and supplies for residential replacement and new construction markets. The Commercial Heating & Cooling segment offers unitary heating and air conditioning equipment, applied systems, controls, installation and service of commercial heating and cooling equipment, and variable refrigerant flow commercial products for light commercial markets. The Refrigeration segment offers condensing units, unit coolers, fluid coolers, air cooled condensers, air handlers, and refrigeration rack systems for preserving food and other perishables in supermarkets, convenience stores, restaurants, warehouses, and distribution centers, as well as for data centers, machine tooling, and other cooling applications; and compressor racks and industrial process chillers. The company sells its products and services through direct sales, distributors, and company-owned parts and supplies stores.

LII (Lennox International Inc.) trades in the Industrials sector, specifically Construction, with a market capitalization of approximately $17.66B, a trailing P/E of 22.55, a beta of 1.23 versus the broader market, a 52-week range of 434.06-689.44, average daily share volume of 466K, a public-listing history dating back to 1999, approximately 5K full-time employees. These structural characteristics shape how LII stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.

A beta of 1.23 places LII roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline. LII pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.

What is a butterfly on LII?

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 LII snapshot

As of May 15, 2026, spot at $500.14, ATM IV 37.20%, IV rank 42.31%, expected move 10.66%. The butterfly on LII 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 LII specifically: LII IV at 37.20% 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 10.66% (roughly $53.34 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 LII expiries trade a higher absolute premium for lower per-day decay. Position sizing on LII should anchor to the underlying notional of $500.14 per share and to the trader's directional view on LII stock.

LII butterfly setup

The LII 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 LII near $500.14, the first option leg uses a $480.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed LII 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 LII shares for the stock leg in covered calls and collars).

Action	Type	Strike / Basis	Premium (est)
Buy 1	Call	$480.00	$34.85
Sell 2	Call	$500.00	$22.85
Buy 1	Call	$530.00	$11.35

LII butterfly risk and reward

Net Premium / Debit: -$50.00
Max Profit (per contract): $1,713.18
Max Loss (per contract): -$1,050.00
Breakeven(s): $478.51, $519.50
Risk / Reward Ratio: 1.632

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.

LII butterfly payoff curve

Modeled P&L at expiration across a range of underlying prices for the butterfly on LII. 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%	-$50.00
$110.59	-77.9%	-$50.00
$221.18	-55.8%	-$50.00
$331.76	-33.7%	-$50.00
$442.34	-11.6%	-$50.00
$552.92	+10.6%	-$1,050.00
$663.51	+32.7%	-$1,050.00
$774.09	+54.8%	-$1,050.00
$884.67	+76.9%	-$1,050.00
$995.25	+99.0%	-$1,050.00

When traders use butterfly on LII

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

LII thesis for this butterfly

The market-implied 1-standard-deviation range for LII extends from approximately $446.80 on the downside to $553.48 on the upside. A LII long call butterfly is a pinning play: it pays maximum at the middle strike if LII settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current LII IV rank near 42.31% is mid-range against its 1-year distribution, so the IV signal is neutral; the butterfly thesis on LII should anchor more to the directional view and the expected-move geometry. As a Industrials name, LII options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to LII-specific events.

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

Frequently asked questions

What is a butterfly on LII?: A butterfly on LII is the butterfly strategy applied to LII (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 LII stock trading near $500.14, the strikes shown on this page are snapped to the nearest listed LII chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
How are LII 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 LII butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 37.20%), the computed maximum profit is $1,713.18 per contract and the computed maximum loss is -$1,050.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.
What is the breakeven for a LII butterfly?: The breakeven for the LII butterfly priced on this page is roughly $478.51 and $519.50 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 LII market-implied 1-standard-deviation expected move is approximately 10.66%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
When should you consider a butterfly on LII?: Butterflies on LII are pinning bets - traders use them when they expect LII 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 LII implied volatility affect this butterfly?: LII ATM IV is at 37.20% with IV rank near 42.31%, 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.