NSC Butterfly Strategy
NSC (Norfolk Southern Corporation), in the Industrials sector, (Railroads industry), listed on NYSE.
Norfolk Southern Corporation, together with its subsidiaries, engages in the rail transportation of raw materials, intermediate products, and finished goods in the United States. The company transports agriculture, forest, and consumer products comprising soybeans, wheat, corn, fertilizers, livestock and poultry feed, food products, food oils, flour, sweeteners, ethanol, lumber and wood products, pulp board and paper products, wood fibers, wood pulp, scrap paper, beverages, canned goods, and consumer products; chemicals consist of sulfur and related chemicals, petroleum products, chlorine and bleaching compounds, plastics, rubber, industrial chemicals, chemical wastes, and sand; metals and construction materials, such as steel, aluminum products, machinery, scrap metals, cement, aggregates, minerals, clay, transportation equipment, and military-related products; and automotive, including finished motor vehicles and automotive parts, as well as coal. It also transports overseas freight through various Atlantic and Gulf Coast ports; and provides commuter rail passenger transportation services and operates an intermodal network. As of December 31, 2021, the company operated approximately 19,300 route miles in 22 states and the District of Columbia. Norfolk Southern Corporation was incorporated in 1980 and is based in Atlanta, Georgia.
NSC (Norfolk Southern Corporation) trades in the Industrials sector, specifically Railroads, with a market capitalization of approximately $69.75B, a trailing P/E of 26.18, a beta of 1.30 versus the broader market, a 52-week range of 236.37-323.37, average daily share volume of 1.3M, a public-listing history dating back to 1982, approximately 20K full-time employees. These structural characteristics shape how NSC stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 1.30 places NSC roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline. NSC pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.
What is a butterfly on NSC?
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 NSC snapshot
As of May 15, 2026, spot at $316.90, ATM IV 22.60%, IV rank 1.90%, expected move 6.48%. The butterfly on NSC 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 NSC specifically: NSC IV at 22.60% is on the cheap side of its 1-year range, which favors premium-buying structures like a NSC butterfly, with a market-implied 1-standard-deviation move of approximately 6.48% (roughly $20.53 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 NSC expiries trade a higher absolute premium for lower per-day decay. Position sizing on NSC should anchor to the underlying notional of $316.90 per share and to the trader's directional view on NSC stock.
NSC butterfly setup
The NSC 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 NSC near $316.90, the first option leg uses a $300.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed NSC 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 NSC shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $300.00 | $20.35 |
| Sell 2 | Call | $320.00 | $7.30 |
| Buy 1 | Call | $330.00 | $3.55 |
NSC butterfly risk and reward
- Net Premium / Debit
- -$930.00
- Max Profit (per contract)
- $919.74
- Max Loss (per contract)
- -$930.00
- Breakeven(s)
- $309.30
- Risk / Reward Ratio
- 0.989
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.
NSC butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on NSC. 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% | -$930.00 |
| $70.08 | -77.9% | -$930.00 |
| $140.14 | -55.8% | -$930.00 |
| $210.21 | -33.7% | -$930.00 |
| $280.28 | -11.6% | -$930.00 |
| $350.35 | +10.6% | +$70.00 |
| $420.41 | +32.7% | +$70.00 |
| $490.48 | +54.8% | +$70.00 |
| $560.55 | +76.9% | +$70.00 |
| $630.62 | +99.0% | +$70.00 |
When traders use butterfly on NSC
Butterflies on NSC are pinning bets - traders use them when they expect NSC 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.
NSC thesis for this butterfly
The market-implied 1-standard-deviation range for NSC extends from approximately $296.37 on the downside to $337.43 on the upside. A NSC long call butterfly is a pinning play: it pays maximum at the middle strike if NSC settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current NSC IV rank near 1.90% 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 NSC at 22.60%. As a Industrials name, NSC options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to NSC-specific events.
NSC 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. NSC positions also carry Industrials sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move NSC alongside the broader basket even when NSC-specific fundamentals are unchanged. Always rebuild the position from current NSC chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on NSC?
- A butterfly on NSC is the butterfly strategy applied to NSC (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 NSC stock trading near $316.90, the strikes shown on this page are snapped to the nearest listed NSC chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are NSC 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 NSC butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 22.60%), the computed maximum profit is $919.74 per contract and the computed maximum loss is -$930.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a NSC butterfly?
- The breakeven for the NSC butterfly priced on this page is roughly $309.30 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 NSC market-implied 1-standard-deviation expected move is approximately 6.48%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on NSC?
- Butterflies on NSC are pinning bets - traders use them when they expect NSC 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 NSC implied volatility affect this butterfly?
- NSC ATM IV is at 22.60% with IV rank near 1.90%, 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.