How are LOCO 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 LOCO butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 43.00%), the computed maximum profit is $64.49 per contract and the computed maximum loss is -$32.50 per contract. Live intraday quotes will differ as the chain moves through the trading session.

What is the breakeven for a LOCO butterfly?

The breakeven for the LOCO butterfly priced on this page is roughly $16.33 and $17.68 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 LOCO market-implied 1-standard-deviation expected move is approximately 12.33%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.

How does current LOCO implied volatility affect this butterfly?

LOCO ATM IV is at 43.00% with IV rank near 14.44%, 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.

LOCO Butterfly Strategy

LOCO (El Pollo Loco Holdings, Inc.), in the Consumer Cyclical sector, (Restaurants industry), listed on NASDAQ.

El Pollo Loco Holdings, Inc., primarily operating through its El Pollo Loco, Inc. subsidiary, is engaged in the development, franchising, licensing, and direct management of quick-service restaurants under the El Pollo Loco brand. By May 4, 2022, its network encompassed 480 establishments: 189 company-owned locations and 291 franchised outlets situated across California, Nevada, Arizona, Texas, Utah, and Louisiana. The company also licenses a single restaurant operating in the Philippines. Founded in 1975 and headquartered in Costa Mesa, California, the company adopted its current name, El Pollo Loco Holdings, Inc., in April 2014, having previously been known as Chicken Acquisition Corp.

LOCO (El Pollo Loco Holdings, Inc.) trades in the Consumer Cyclical sector, specifically Restaurants, with a market capitalization of approximately $512.3M, a trailing P/E of 16.96, a beta of 0.71 versus the broader market, a 52-week range of 8.985-16.91, average daily share volume of 332K, a public-listing history dating back to 2014, approximately 4K full-time employees. These structural characteristics shape how LOCO stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.

A beta of 0.71 places LOCO roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline.

What is a butterfly on LOCO?

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 LOCO snapshot

As of June 30, 2026, spot at $16.94, ATM IV 43.00%, IV rank 14.44%, expected move 12.33%. The butterfly on LOCO 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 80-day expiry.

Why this butterfly structure on LOCO specifically: LOCO IV at 43.00% is on the cheap side of its 1-year range, which favors premium-buying structures like a LOCO butterfly, with a market-implied 1-standard-deviation move of approximately 12.33% (roughly $2.09 on the underlying). The 80-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated LOCO expiries trade a higher absolute premium for lower per-day decay. Position sizing on LOCO should anchor to the underlying notional of $16.94 per share and to the trader's directional view on LOCO stock.

LOCO butterfly setup

The LOCO 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 LOCO near $16.94, 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 LOCO chain at a 80-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 LOCO shares for the stock leg in covered calls and collars).

Action	Type	Strike / Basis	Premium (est)
Buy 1	Call	$16.00	$1.88
Sell 2	Call	$17.00	$1.08
Buy 1	Call	$18.00	$0.60

LOCO butterfly risk and reward

Net Premium / Debit: -$32.50
Max Profit (per contract): $64.49
Max Loss (per contract): -$32.50
Breakeven(s): $16.33, $17.68
Risk / Reward Ratio: 1.984

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.

LOCO butterfly payoff curve

Modeled P&L at expiration across a range of underlying prices for the butterfly on LOCO. 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.

P&L at expiration across the modeled underlying-price range. Green shading marks profitable regions, red shading marks loss regions. Dotted purple verticals mark breakevens; the solid dark vertical marks current spot.

Underlying Price	% From Spot	P&L at Expiration
$0.01	-99.9%	-$32.50
$3.75	-77.8%	-$32.50
$7.50	-55.7%	-$32.50
$11.24	-33.6%	-$32.50
$14.99	-11.5%	-$32.50
$18.73	+10.6%	-$32.50
$22.48	+32.7%	-$32.50
$26.22	+54.8%	-$32.50
$29.97	+76.9%	-$32.50
$33.71	+99.0%	-$32.50

When traders use butterfly on LOCO

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

LOCO thesis for this butterfly

The market-implied 1-standard-deviation range for LOCO extends from approximately $14.85 on the downside to $19.03 on the upside. A LOCO long call butterfly is a pinning play: it pays maximum at the middle strike if LOCO settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current LOCO IV rank near 14.44% 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 LOCO at 43.00%. As a Consumer Cyclical name, LOCO options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to LOCO-specific events.

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

Frequently asked questions

What is a butterfly on LOCO?: A butterfly on LOCO is the butterfly strategy applied to LOCO (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 LOCO stock trading near $16.94, the strikes shown on this page are snapped to the nearest listed LOCO chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
How are LOCO 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 LOCO butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 43.00%), the computed maximum profit is $64.49 per contract and the computed maximum loss is -$32.50 per contract. Live intraday quotes will differ as the chain moves through the trading session.
What is the breakeven for a LOCO butterfly?: The breakeven for the LOCO butterfly priced on this page is roughly $16.33 and $17.68 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 LOCO market-implied 1-standard-deviation expected move is approximately 12.33%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
When should you consider a butterfly on LOCO?: Butterflies on LOCO are pinning bets - traders use them when they expect LOCO 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 LOCO implied volatility affect this butterfly?: LOCO ATM IV is at 43.00% with IV rank near 14.44%, 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.