How are PEGA 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 PEGA butterfly priced from the August 14, 2026 end-of-day chain at a 30-day expiry (ATM IV 51.10%), the computed maximum profit is $228.71 per contract and the computed maximum loss is -$15.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.

What is the breakeven for a PEGA butterfly?

The breakeven for the PEGA butterfly priced on this page is roughly $30.13 and $34.87 at expiration, derived from the August 14, 2026 end-of-day chain's premiums. Breakeven is the underlying price at which the strategy's P&L crosses zero ignoring transaction costs and assignment risk. The PEGA market-implied 1-standard-deviation expected move in the same options snapshot is approximately 14.65%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.

How does current PEGA implied volatility affect this butterfly?

PEGA ATM IV is at 51.10% with IV rank near 9.13%, 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.

PEGA Butterfly Strategy

PEGA (Pegasystems Inc.), in the Technology sector, (Software - Application industry), listed on NASDAQ.

Pegasystems Inc., founded in 1983 and headquartered in Cambridge, Massachusetts, is a global provider of enterprise software solutions. The company's operations span the United States, the wider Americas, the United Kingdom, other European nations, the Middle East, Africa, and the Asia-Pacific region, encompassing development, marketing, licensing, hosting, and support services. Their product portfolio includes the Pega Platform, designed for application development, and Pega Infinity, an integrated software suite that merges customer engagement capabilities with digital process automation. Pegasystems also offers specialized customer engagement applications such as the Pega Customer Decision Hub, which helps businesses enhance customer acquisition and overall experience across various digital and traditional channels. Other key applications include Pega Sales Automation, which streamlines sales workflows, and Pega Customer Service, engineered to anticipate client needs, facilitate connections between customers and company resources, automate service interactions, and ultimately improve both the customer experience and employee productivity. Further expanding its offerings, Pegasystems provides intelligent automation software and Pega Cloud, an internet-based infrastructure enabling clients to develop, test, and deploy applications, including the Pega Platform itself.

PEGA (Pegasystems Inc.) trades in the Technology sector, specifically Software - Application, with a market capitalization of approximately $5.15B, a trailing P/E of 16.18, a beta of 0.87 versus the broader market, a 52-week range of 25.1-68.1, average daily share volume of 2.6M, a public-listing history dating back to 1996, approximately 6K full-time employees. These structural characteristics shape how PEGA stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.

A beta of 0.87 places PEGA roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline. PEGA pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.

What is a butterfly on PEGA?

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.

PEGA snapshot

As of August 14, 2026, spot at $32.27, ATM IV 51.10%, IV rank 9.13%, expected move 14.65%. The butterfly on PEGA below is built from the August 14, 2026 end-of-day chain, with strikes snapped to listed contracts and premiums pulled from the bid/ask midpoint at a 126-day expiry.

Why this butterfly structure on PEGA specifically: PEGA IV at 51.10% is on the cheap side of its 1-year range, which favors premium-buying structures like a PEGA butterfly, with a market-implied 1-standard-deviation move of approximately 14.65% (roughly $4.73 on the underlying). The 126-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated PEGA expiries trade a higher absolute premium for lower per-day decay. Position sizing on PEGA should anchor to the underlying notional of $32.27 per share and to the trader's directional view on PEGA stock.

PEGA butterfly setup

The PEGA butterfly below is built from the August 14, 2026 end-of-day chain, with each option leg priced at the bid/ask midpoint of its listed strike. With PEGA at $32.27 on that close, the first option leg uses a $30.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed PEGA chain at a 126-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 PEGA shares for the stock leg in covered calls and collars).

Action	Type	Strike / Basis	Premium (est)
Buy 1	Call	$30.00	$5.85
Sell 2	Call	$32.50	$4.55
Buy 1	Call	$35.00	$3.40

PEGA butterfly risk and reward

Net Premium / Debit: -$15.00
Max Profit (per contract): $228.71
Max Loss (per contract): -$15.00
Breakeven(s): $30.13, $34.87
Risk / Reward Ratio: 15.248

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.

PEGA butterfly payoff curve

Modeled P&L at expiration across a range of underlying prices for the butterfly on PEGA. 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.

P&L at expiration across the modeled underlying-price range. Green shading marks profitable regions, red shading marks loss regions. Dotted purple verticals mark breakevens; the solid dark vertical marks current spot.

Underlying Price	% From Spot	P&L at Expiration
$0.01	-100.0%	-$15.00
$7.14	-77.9%	-$15.00
$14.28	-55.8%	-$15.00
$21.41	-33.6%	-$15.00
$28.55	-11.5%	-$15.00
$35.68	+10.6%	-$15.00
$42.81	+32.7%	-$15.00
$49.95	+54.8%	-$15.00
$57.08	+76.9%	-$15.00
$64.22	+99.0%	-$15.00

When traders use butterfly on PEGA

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

PEGA thesis for this butterfly

The market-implied 1-standard-deviation range for PEGA extends from approximately $27.54 on the downside to $37.00 on the upside. A PEGA long call butterfly is a pinning play: it pays maximum at the middle strike if PEGA settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current PEGA IV rank near 9.13% 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 PEGA at 51.10%. As a Technology name, PEGA options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to PEGA-specific events.

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

Frequently asked questions

What is a butterfly on PEGA?: A butterfly on PEGA is the butterfly strategy applied to PEGA (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 PEGA stock at $32.27 on the August 14, 2026 close, the strikes shown on this page are snapped to the nearest listed PEGA chain strike and the premiums come straight from that session's bid/ask midpoint.
How are PEGA 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 PEGA butterfly priced from the August 14, 2026 end-of-day chain at a 30-day expiry (ATM IV 51.10%), the computed maximum profit is $228.71 per contract and the computed maximum loss is -$15.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.
What is the breakeven for a PEGA butterfly?: The breakeven for the PEGA butterfly priced on this page is roughly $30.13 and $34.87 at expiration, derived from the August 14, 2026 end-of-day chain's premiums. Breakeven is the underlying price at which the strategy's P&L crosses zero ignoring transaction costs and assignment risk. The PEGA market-implied 1-standard-deviation expected move in the same options snapshot is approximately 14.65%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
When should you consider a butterfly on PEGA?: Butterflies on PEGA are pinning bets - traders use them when they expect PEGA 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 PEGA implied volatility affect this butterfly?: PEGA ATM IV is at 51.10% with IV rank near 9.13%, 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.