NGNE Butterfly Strategy
NGNE (Neurogene Inc.), in the Healthcare sector, (Biotechnology industry), listed on NASDAQ.
Neurogene Inc. develops life-changing genetic medicines for patients and their families affected by neurological diseases. Its product candidate includes NGN-401, an investigational AAV9 gene therapy for the treatment of Rett syndrome; and NGN-101 to treat neuronal ceroid lipofuscinosis subtype 5 batten disease. The company is headquartered in New York, New York.
NGNE (Neurogene Inc.) trades in the Healthcare sector, specifically Biotechnology, with a market capitalization of approximately $509.4M, a beta of 2.08 versus the broader market, a 52-week range of 14.65-37.266, average daily share volume of 183K, a public-listing history dating back to 2014, approximately 107 full-time employees. These structural characteristics shape how NGNE stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 2.08 indicates NGNE has historically moved more than the broader market, amplifying both the directional payoff and the realized volatility relative to an index-equivalent position.
What is a butterfly on NGNE?
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 NGNE snapshot
As of May 15, 2026, spot at $29.80, ATM IV 118.80%, IV rank 7.83%, expected move 34.06%. The butterfly on NGNE 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 245-day expiry.
Why this butterfly structure on NGNE specifically: NGNE IV at 118.80% is on the cheap side of its 1-year range, which favors premium-buying structures like a NGNE butterfly, with a market-implied 1-standard-deviation move of approximately 34.06% (roughly $10.15 on the underlying). The 245-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated NGNE expiries trade a higher absolute premium for lower per-day decay. Position sizing on NGNE should anchor to the underlying notional of $29.80 per share and to the trader's directional view on NGNE stock.
NGNE butterfly setup
The NGNE 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 NGNE near $29.80, the first option leg uses a $28.31 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed NGNE chain at a 245-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 NGNE shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $28.31 | N/A |
| Sell 2 | Call | $29.80 | N/A |
| Buy 1 | Call | $31.29 | N/A |
NGNE butterfly risk and reward
- Net Premium / Debit
- N/A
- Max Profit (per contract)
- Unbounded
- Max Loss (per contract)
- Unbounded
- Breakeven(s)
- None on modeled curve
- Risk / Reward Ratio
- N/A
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.
NGNE butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on NGNE. 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.
When traders use butterfly on NGNE
Butterflies on NGNE are pinning bets - traders use them when they expect NGNE 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.
NGNE thesis for this butterfly
The market-implied 1-standard-deviation range for NGNE extends from approximately $19.65 on the downside to $39.95 on the upside. A NGNE long call butterfly is a pinning play: it pays maximum at the middle strike if NGNE settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current NGNE IV rank near 7.83% 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 NGNE at 118.80%. As a Healthcare name, NGNE options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to NGNE-specific events.
NGNE 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. NGNE positions also carry Healthcare sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move NGNE alongside the broader basket even when NGNE-specific fundamentals are unchanged. Always rebuild the position from current NGNE chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on NGNE?
- A butterfly on NGNE is the butterfly strategy applied to NGNE (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 NGNE stock trading near $29.80, the strikes shown on this page are snapped to the nearest listed NGNE chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are NGNE 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 NGNE butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 118.80%), the computed maximum profit is unbounded per contract and the computed maximum loss is unbounded per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a NGNE butterfly?
- The breakeven for the NGNE 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 NGNE market-implied 1-standard-deviation expected move is approximately 34.06%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on NGNE?
- Butterflies on NGNE are pinning bets - traders use them when they expect NGNE 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 NGNE implied volatility affect this butterfly?
- NGNE ATM IV is at 118.80% with IV rank near 7.83%, 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.