NI Butterfly Strategy
NI (NiSource Inc.), in the Utilities sector, (Regulated Gas industry), listed on NYSE.
NiSource Inc., an energy holding company, operates as a regulated natural gas and electric utility company in the United States. It operates through two segments, Gas Distribution Operations and Electric Operations. The company distributes natural gas to approximately 853,000 customers in northern Indiana, as well as approximately 2.4 million residential, commercial, and industrial customers in Ohio, Pennsylvania, Virginia, Kentucky, and Maryland. It operates approximately 54,600 miles of distribution main pipelines, as well as associated individual customer service lines; and 1,000 miles of transmission main pipelines. The company generates, transmits, and distributes electricity to approximately 483,000 customers in 20 counties in the northern part of Indiana, as well as engages in wholesale electric and transmission transactions. It owns and operates coal-fired electric generating stations with a capacity of 722 megawatts (MW) in Wheatfield and 455 MW in Michigan City; combined cycle gas turbine with a capacity of 563 MW in West Terre Haute; natural gas generating units with a capacity of 155 MW in Wheatfield; hydro generating plants with a capacity of 9 MW in Carroll County and 7 MW in White County; and wind generating units with a capacity of 102 MW and 302 MW in White County, Indiana.
NI (NiSource Inc.) trades in the Utilities sector, specifically Regulated Gas, with a market capitalization of approximately $22.56B, a trailing P/E of 23.43, a beta of 0.57 versus the broader market, a 52-week range of 38.09-48.98, average daily share volume of 4.3M, a public-listing history dating back to 1962, approximately 8K full-time employees. These structural characteristics shape how NI stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 0.57 indicates NI has historically moved less than the broader market, dampening realized volatility and producing tighter expected-move bands per unit of dollar exposure. NI pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.
What is a butterfly on NI?
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 NI snapshot
As of May 15, 2026, spot at $46.44, ATM IV 22.10%, IV rank 2.80%, expected move 6.34%. The butterfly on NI 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 NI specifically: NI IV at 22.10% is on the cheap side of its 1-year range, which favors premium-buying structures like a NI butterfly, with a market-implied 1-standard-deviation move of approximately 6.34% (roughly $2.94 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 NI expiries trade a higher absolute premium for lower per-day decay. Position sizing on NI should anchor to the underlying notional of $46.44 per share and to the trader's directional view on NI stock.
NI butterfly setup
The NI 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 NI near $46.44, the first option leg uses a $44.12 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed NI 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 NI shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $44.12 | N/A |
| Sell 2 | Call | $46.44 | N/A |
| Buy 1 | Call | $48.76 | N/A |
NI 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.
NI butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on NI. 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 NI
Butterflies on NI are pinning bets - traders use them when they expect NI 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.
NI thesis for this butterfly
The market-implied 1-standard-deviation range for NI extends from approximately $43.50 on the downside to $49.38 on the upside. A NI long call butterfly is a pinning play: it pays maximum at the middle strike if NI settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current NI IV rank near 2.80% 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 NI at 22.10%. As a Utilities name, NI options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to NI-specific events.
NI 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. NI positions also carry Utilities sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move NI alongside the broader basket even when NI-specific fundamentals are unchanged. Always rebuild the position from current NI chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on NI?
- A butterfly on NI is the butterfly strategy applied to NI (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 NI stock trading near $46.44, the strikes shown on this page are snapped to the nearest listed NI chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are NI 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 NI butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 22.10%), 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 NI butterfly?
- The breakeven for the NI 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 NI market-implied 1-standard-deviation expected move is approximately 6.34%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on NI?
- Butterflies on NI are pinning bets - traders use them when they expect NI 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 NI implied volatility affect this butterfly?
- NI ATM IV is at 22.10% with IV rank near 2.80%, 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.