How are LYEL 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 LYEL butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 151.00%), the computed maximum profit is $100.45 per contract and the computed maximum loss is $8.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.

What is the breakeven for a LYEL butterfly?

The breakeven for the LYEL butterfly priced on this page is no defined breakeven on the modeled curve 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 LYEL market-implied 1-standard-deviation expected move is approximately 43.29%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.

How does current LYEL implied volatility affect this butterfly?

LYEL ATM IV is at 151.00% with IV rank near 30.79%, 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.

LYEL Butterfly Strategy

LYEL (Lyell Immunopharma, Inc.), in the Healthcare sector, (Biotechnology industry), listed on NASDAQ.

Lyell Immunopharma, Inc., a T cell reprogramming company, engages in developing T cell therapies for patients with solid tumors. The company develops therapies using technology platforms, such as Gen-R, an ex vivo genetic reprogramming technology to overcome T cell exhaustion; and Epi-R, an ex vivo epigenetic reprogramming technology to generate population of T cells with durable stemness. Its pipeline includes LYL797, a T cell product candidate for the treatment of non-small cell lung cancer and triple negative breast cancers; LYL845, that targets multiple solid tumors; and NY-ESO-1 for synovial sarcoma and other solid tumor indications. The company entered into research and development collaboration and license agreement with GlaxoSmithKline for NY-ESO-1 program. Lyell Immunopharma, Inc. was incorporated in 2018 and is headquartered in South San Francisco, California.

LYEL (Lyell Immunopharma, Inc.) trades in the Healthcare sector, specifically Biotechnology, with a market capitalization of approximately $448.9M, a beta of -0.06 versus the broader market, a 52-week range of 7.65-45, average daily share volume of 95K, a public-listing history dating back to 2021, approximately 300 full-time employees. These structural characteristics shape how LYEL stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.

A beta of -0.06 indicates LYEL has historically moved less than the broader market, dampening realized volatility and producing tighter expected-move bands per unit of dollar exposure.

What is a butterfly on LYEL?

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 LYEL snapshot

As of May 15, 2026, spot at $18.01, ATM IV 151.00%, IV rank 30.79%, expected move 43.29%. The butterfly on LYEL 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 LYEL specifically: LYEL IV at 151.00% 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 43.29% (roughly $7.80 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 LYEL expiries trade a higher absolute premium for lower per-day decay. Position sizing on LYEL should anchor to the underlying notional of $18.01 per share and to the trader's directional view on LYEL stock.

LYEL butterfly setup

The LYEL 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 LYEL near $18.01, the first option leg uses a $17.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed LYEL 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 LYEL shares for the stock leg in covered calls and collars).

Action	Type	Strike / Basis	Premium (est)
Buy 1	Call	$17.00	$2.80
Sell 2	Call	$18.00	$2.95
Buy 1	Call	$19.00	$3.02

LYEL butterfly risk and reward

Net Premium / Debit: +$8.00
Max Profit (per contract): $100.45
Max Loss (per contract): $8.00
Breakeven(s): None on modeled curve
Risk / Reward Ratio: 12.557

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.

LYEL butterfly payoff curve

Modeled P&L at expiration across a range of underlying prices for the butterfly on LYEL. 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%	+$8.00
$3.99	-77.8%	+$8.00
$7.97	-55.7%	+$8.00
$11.95	-33.6%	+$8.00
$15.93	-11.5%	+$8.00
$19.92	+10.6%	+$8.00
$23.90	+32.7%	+$8.00
$27.88	+54.8%	+$8.00
$31.86	+76.9%	+$8.00
$35.84	+99.0%	+$8.00

When traders use butterfly on LYEL

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

LYEL thesis for this butterfly

The market-implied 1-standard-deviation range for LYEL extends from approximately $10.21 on the downside to $25.81 on the upside. A LYEL long call butterfly is a pinning play: it pays maximum at the middle strike if LYEL settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current LYEL IV rank near 30.79% is mid-range against its 1-year distribution, so the IV signal is neutral; the butterfly thesis on LYEL should anchor more to the directional view and the expected-move geometry. As a Healthcare name, LYEL options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to LYEL-specific events.

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

Frequently asked questions

What is a butterfly on LYEL?: A butterfly on LYEL is the butterfly strategy applied to LYEL (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 LYEL stock trading near $18.01, the strikes shown on this page are snapped to the nearest listed LYEL chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
How are LYEL 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 LYEL butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 151.00%), the computed maximum profit is $100.45 per contract and the computed maximum loss is $8.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.
What is the breakeven for a LYEL butterfly?: The breakeven for the LYEL butterfly priced on this page is no defined breakeven on the modeled curve 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 LYEL market-implied 1-standard-deviation expected move is approximately 43.29%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
When should you consider a butterfly on LYEL?: Butterflies on LYEL are pinning bets - traders use them when they expect LYEL 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 LYEL implied volatility affect this butterfly?: LYEL ATM IV is at 151.00% with IV rank near 30.79%, 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.