LYEL Butterfly Strategy
LYEL (Lyell Immunopharma, Inc.), in the Healthcare sector, (Biotechnology industry), listed on NASDAQ.
Lyell Immunopharma, Inc., a clinical-stage cell therapy company, develops chimeric antigen receptor (CAR) T-cell product candidates for patients with hematologic malignancies and solid tumors. The company’s lead product candidate include rondecabtagene autoleucel, an autologous dual-targeting CD19/CD20 CAR T-cell therapy in development, which is in pivotal PiNACLE trial in the 3L+ setting and in a Phase 1/2 clinical trial in the 2L setting, as well as a second pivotal trial, PiNACLE-H2H, which is a Phase 3 head-to-head CAR T cell therapy randomized controlled trial of ronde-cel for LBCL in the 2L setting for the treatment of large B-cell lymphoma; and LYL273, a GCC-targeted CAR T-cell product candidate enhanced with CD19 CAR expression and controlled cytokine release designed to improve CAR T-cell expansion, immune cell infiltration, and cancer cell killing in the hostile solid tumor microenvironment, which is in Phase 1 clinical trial for the treatment of refractory metastatic colorectal cancer. The company develops therapies using various approaches, such as c-Jun overexpression and NR4A3 gene knockout, to endow functional resistance to exhaustion; Epi-R to generate population of stem-like T cells with reduced exhaustion and improved proliferation and antitumor activity; and CD62L positive enrichment to generate CAR T cells with enhanced antitumor activity. 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 $341.8M, a beta of -0.07 versus the broader market, a 52-week range of 10.49-45, average daily share volume of 149K, a public-listing history dating back to 2021, approximately 161 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 -0.07 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.
LYEL snapshot
As of August 14, 2026, spot at $13.87, ATM IV 152.40%, IV rank 34.19%, expected move 43.69%. The butterfly on LYEL below is built from the August 14, 2026 end-of-day chain, with strikes snapped to listed contracts and premiums pulled from the bid/ask midpoint at a 7-day expiry.
Why this butterfly structure on LYEL specifically: LYEL IV at 152.40% 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 43.69% (roughly $6.06 on the underlying). The 7-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 $13.87 per share and to the trader's directional view on LYEL stock.
LYEL butterfly setup
The LYEL butterfly below is built from the August 14, 2026 end-of-day chain, with each option leg priced at the bid/ask midpoint of its listed strike. With LYEL at $13.87 on that close, the first option leg uses a $13.00 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 7-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 | $13.00 | $2.50 |
| Sell 2 | Call | $14.00 | $2.18 |
| Buy 1 | Call | $15.00 | $1.80 |
LYEL butterfly risk and reward
- Net Premium / Debit
- +$6.00
- Max Profit (per contract)
- $100.47
- Max Loss (per contract)
- $6.00
- Breakeven(s)
- None on modeled curve
- Risk / Reward Ratio
- 16.745
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% | +$6.00 |
| $3.08 | -77.8% | +$6.00 |
| $6.14 | -55.7% | +$6.00 |
| $9.21 | -33.6% | +$6.00 |
| $12.27 | -11.5% | +$6.00 |
| $15.34 | +10.6% | +$6.00 |
| $18.40 | +32.7% | +$6.00 |
| $21.47 | +54.8% | +$6.00 |
| $24.54 | +76.9% | +$6.00 |
| $27.60 | +99.0% | +$6.00 |
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 $7.81 on the downside to $19.93 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 34.19% 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 at $13.87 on the August 14, 2026 close, the strikes shown on this page are snapped to the nearest listed LYEL chain strike and the premiums come straight from that session's 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 August 14, 2026 end-of-day chain at a 30-day expiry (ATM IV 152.40%), the computed maximum profit is $100.47 per contract and the computed maximum loss is $6.00 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 the August 14, 2026 end-of-day chain's premiums. Breakeven is the underlying price at which the strategy's P&L crosses zero ignoring transaction costs and assignment risk. The LYEL market-implied 1-standard-deviation expected move in the same options snapshot is approximately 43.69%; 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 152.40% with IV rank near 34.19%, 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.