NNE Butterfly Strategy
NNE (Nano Nuclear Energy Inc), in the Industrials sector, (Industrial - Machinery industry), listed on NASDAQ.
NANO Nuclear Energy Inc. operates as a microreactor technology company. The company is developing ZEUS, a solid-core battery reactor, and ODIN, a low-pressure coolant reactor. It is also developing a high-assay low-enriched uranium fabrication facility to supply fuel to the nuclear reactor industry and fuel transportation and nuclear consultation businesses. The company was founded in 2021 and is based in New York, New York.
NNE (Nano Nuclear Energy Inc) trades in the Industrials sector, specifically Industrial - Machinery, with a market capitalization of approximately $1.12B, a beta of 5.14 versus the broader market, a 52-week range of 18.93-60.87, average daily share volume of 2.0M, a public-listing history dating back to 2000, approximately 5 full-time employees. These structural characteristics shape how NNE stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 5.14 indicates NNE 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 NNE?
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 NNE snapshot
As of May 15, 2026, spot at $24.84, ATM IV 97.57%, IV rank 39.98%, expected move 27.97%. The butterfly on NNE 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 28-day expiry.
Why this butterfly structure on NNE specifically: NNE IV at 97.57% 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 27.97% (roughly $6.95 on the underlying). The 28-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated NNE expiries trade a higher absolute premium for lower per-day decay. Position sizing on NNE should anchor to the underlying notional of $24.84 per share and to the trader's directional view on NNE stock.
NNE butterfly setup
The NNE 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 NNE near $24.84, the first option leg uses a $23.50 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed NNE chain at a 28-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 NNE shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $23.50 | $3.55 |
| Sell 2 | Call | $25.00 | $2.63 |
| Buy 1 | Call | $26.00 | $2.23 |
NNE butterfly risk and reward
- Net Premium / Debit
- -$52.50
- Max Profit (per contract)
- $94.48
- Max Loss (per contract)
- -$52.50
- Breakeven(s)
- $24.03, $26.02
- Risk / Reward Ratio
- 1.800
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.
NNE butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on NNE. 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 | -100.0% | -$52.50 |
| $5.50 | -77.9% | -$52.50 |
| $10.99 | -55.7% | -$52.50 |
| $16.48 | -33.6% | -$52.50 |
| $21.97 | -11.5% | -$52.50 |
| $27.47 | +10.6% | -$2.50 |
| $32.96 | +32.7% | -$2.50 |
| $38.45 | +54.8% | -$2.50 |
| $43.94 | +76.9% | -$2.50 |
| $49.43 | +99.0% | -$2.50 |
When traders use butterfly on NNE
Butterflies on NNE are pinning bets - traders use them when they expect NNE 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.
NNE thesis for this butterfly
The market-implied 1-standard-deviation range for NNE extends from approximately $17.89 on the downside to $31.79 on the upside. A NNE long call butterfly is a pinning play: it pays maximum at the middle strike if NNE settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current NNE IV rank near 39.98% is mid-range against its 1-year distribution, so the IV signal is neutral; the butterfly thesis on NNE should anchor more to the directional view and the expected-move geometry. As a Industrials name, NNE options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to NNE-specific events.
NNE 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. NNE positions also carry Industrials sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move NNE alongside the broader basket even when NNE-specific fundamentals are unchanged. Always rebuild the position from current NNE chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on NNE?
- A butterfly on NNE is the butterfly strategy applied to NNE (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 NNE stock trading near $24.84, the strikes shown on this page are snapped to the nearest listed NNE chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are NNE 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 NNE butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 97.57%), the computed maximum profit is $94.48 per contract and the computed maximum loss is -$52.50 per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a NNE butterfly?
- The breakeven for the NNE butterfly priced on this page is roughly $24.03 and $26.02 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 NNE market-implied 1-standard-deviation expected move is approximately 27.97%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on NNE?
- Butterflies on NNE are pinning bets - traders use them when they expect NNE 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 NNE implied volatility affect this butterfly?
- NNE ATM IV is at 97.57% with IV rank near 39.98%, 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.