How are O 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 O butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 18.30%), the computed maximum profit is $214.12 per contract and the computed maximum loss is -$257.50 per contract. Live intraday quotes will differ as the chain moves through the trading session.

What is the breakeven for a O butterfly?

The breakeven for the O butterfly priced on this page is roughly $57.38 and $62.43 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 O market-implied 1-standard-deviation expected move is approximately 5.25%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.

How does current O implied volatility affect this butterfly?

O ATM IV is at 18.30% with IV rank near 50.23%, 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.

O Butterfly Strategy

O (Realty Income Corporation), in the Real Estate sector, (REIT - Retail industry), listed on NYSE.

Realty Income, The Monthly Dividend Company, is an S&P 500 company dedicated to providing stockholders with dependable monthly income. The company is structured as a REIT, and its monthly dividends are supported by the cash flow from over 6,500 real estate properties owned under long-term lease agreements with our commercial clients. To date, the company has declared 608 consecutive common stock monthly dividends throughout its 52-year operating history and increased the dividend 109 times since Realty Income's public listing in 1994 (NYSE: O). The company is a member of the S&P 500 Dividend Aristocrats index. Additional information about the company can be obtained from the corporate website at www.realtyincome.com.

O (Realty Income Corporation) trades in the Real Estate sector, specifically REIT - Retail, with a market capitalization of approximately $57.37B, a trailing P/E of 49.67, a beta of 0.76 versus the broader market, a 52-week range of 54.52-67.94, average daily share volume of 6.0M, a public-listing history dating back to 1994, approximately 468 full-time employees. These structural characteristics shape how O stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.

A beta of 0.76 places O roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline. The trailing P/E of 49.67 is on the rich side, which tends to correlate with higher earnings-window IV expansion as the market debates whether forward growth supports the multiple. O pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.

What is a butterfly on O?

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 O snapshot

As of May 15, 2026, spot at $61.25, ATM IV 18.30%, IV rank 50.23%, expected move 5.25%. The butterfly on O 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 O specifically: O IV at 18.30% 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 5.25% (roughly $3.21 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 O expiries trade a higher absolute premium for lower per-day decay. Position sizing on O should anchor to the underlying notional of $61.25 per share and to the trader's directional view on O stock.

O butterfly setup

The O 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 O near $61.25, the first option leg uses a $57.50 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed O 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 O shares for the stock leg in covered calls and collars).

Action	Type	Strike / Basis	Premium (est)
Buy 1	Call	$57.50	$4.10
Sell 2	Call	$60.00	$2.13
Buy 1	Call	$65.00	$0.23

O butterfly risk and reward

Net Premium / Debit: -$7.50
Max Profit (per contract): $214.12
Max Loss (per contract): -$257.50
Breakeven(s): $57.38, $62.43
Risk / Reward Ratio: 0.832

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.

O butterfly payoff curve

Modeled P&L at expiration across a range of underlying prices for the butterfly on O. 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%	-$7.50
$13.55	-77.9%	-$7.50
$27.09	-55.8%	-$7.50
$40.63	-33.7%	-$7.50
$54.18	-11.5%	-$7.50
$67.72	+10.6%	-$257.50
$81.26	+32.7%	-$257.50
$94.80	+54.8%	-$257.50
$108.34	+76.9%	-$257.50
$121.88	+99.0%	-$257.50

When traders use butterfly on O

Butterflies on O are pinning bets - traders use them when they expect O 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.

O thesis for this butterfly

The market-implied 1-standard-deviation range for O extends from approximately $58.04 on the downside to $64.46 on the upside. A O long call butterfly is a pinning play: it pays maximum at the middle strike if O settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current O IV rank near 50.23% is mid-range against its 1-year distribution, so the IV signal is neutral; the butterfly thesis on O should anchor more to the directional view and the expected-move geometry. As a Real Estate name, O options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to O-specific events.

O 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. O positions also carry Real Estate sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move O alongside the broader basket even when O-specific fundamentals are unchanged. Always rebuild the position from current O chain quotes before placing a trade.

Frequently asked questions

What is a butterfly on O?: A butterfly on O is the butterfly strategy applied to O (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 O stock trading near $61.25, the strikes shown on this page are snapped to the nearest listed O chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
How are O 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 O butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 18.30%), the computed maximum profit is $214.12 per contract and the computed maximum loss is -$257.50 per contract. Live intraday quotes will differ as the chain moves through the trading session.
What is the breakeven for a O butterfly?: The breakeven for the O butterfly priced on this page is roughly $57.38 and $62.43 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 O market-implied 1-standard-deviation expected move is approximately 5.25%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
When should you consider a butterfly on O?: Butterflies on O are pinning bets - traders use them when they expect O 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 O implied volatility affect this butterfly?: O ATM IV is at 18.30% with IV rank near 50.23%, 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.