How are PENN 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 PENN butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 47.30%), the computed maximum profit is $87.07 per contract and the computed maximum loss is -$10.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.

What is the breakeven for a PENN butterfly?

The breakeven for the PENN butterfly priced on this page is roughly $15.10 and $16.90 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 PENN market-implied 1-standard-deviation expected move is approximately 13.56%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.

How does current PENN implied volatility affect this butterfly?

PENN ATM IV is at 47.30% with IV rank near 36.86%, 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.

PENN Butterfly Strategy

PENN (PENN Entertainment, Inc.), in the Consumer Cyclical sector, (Gambling, Resorts & Casinos industry), listed on NASDAQ.

PENN Entertainment, Inc., together with its subsidiaries, provides integrated entertainment, sports content, and casino gaming experiences in North America. The company operates through five segments: Northeast, South, West, Midwest, and Interactive. It operates 44 properties in 20 states; online sports betting in 13 jurisdictions; and iCasino in five under a portfolio of brands, including Hollywood Casino, L'Auberge, Barstool Sportsbook, and theScore Bet. The company was formerly known as Penn National Gaming, Inc. and changed its name to PENN Entertainment, Inc. in August 2022. PENN Entertainment, Inc. was founded in 1972 and is based in Wyomissing, Pennsylvania.

PENN (PENN Entertainment, Inc.) trades in the Consumer Cyclical sector, specifically Gambling, Resorts & Casinos, with a market capitalization of approximately $2.11B, a beta of 1.44 versus the broader market, a 52-week range of 11.65-20.61, average daily share volume of 4.4M, a public-listing history dating back to 1994, approximately 23K full-time employees. These structural characteristics shape how PENN stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.

A beta of 1.44 indicates PENN 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 PENN?

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 PENN snapshot

As of May 15, 2026, spot at $16.21, ATM IV 47.30%, IV rank 36.86%, expected move 13.56%. The butterfly on PENN 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 PENN specifically: PENN IV at 47.30% 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 13.56% (roughly $2.20 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 PENN expiries trade a higher absolute premium for lower per-day decay. Position sizing on PENN should anchor to the underlying notional of $16.21 per share and to the trader's directional view on PENN stock.

PENN butterfly setup

The PENN 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 PENN near $16.21, the first option leg uses a $15.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed PENN 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 PENN shares for the stock leg in covered calls and collars).

Action	Type	Strike / Basis	Premium (est)
Buy 1	Call	$15.00	$1.73
Sell 2	Call	$16.00	$1.13
Buy 1	Call	$17.00	$0.63

PENN butterfly risk and reward

Net Premium / Debit: -$10.00
Max Profit (per contract): $87.07
Max Loss (per contract): -$10.00
Breakeven(s): $15.10, $16.90
Risk / Reward Ratio: 8.707

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.

PENN butterfly payoff curve

Modeled P&L at expiration across a range of underlying prices for the butterfly on PENN. 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	-99.9%	-$10.00
$3.59	-77.8%	-$10.00
$7.18	-55.7%	-$10.00
$10.76	-33.6%	-$10.00
$14.34	-11.5%	-$10.00
$17.93	+10.6%	-$10.00
$21.51	+32.7%	-$10.00
$25.09	+54.8%	-$10.00
$28.67	+76.9%	-$10.00
$32.26	+99.0%	-$10.00

When traders use butterfly on PENN

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

PENN thesis for this butterfly

The market-implied 1-standard-deviation range for PENN extends from approximately $14.01 on the downside to $18.41 on the upside. A PENN long call butterfly is a pinning play: it pays maximum at the middle strike if PENN settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current PENN IV rank near 36.86% is mid-range against its 1-year distribution, so the IV signal is neutral; the butterfly thesis on PENN should anchor more to the directional view and the expected-move geometry. As a Consumer Cyclical name, PENN options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to PENN-specific events.

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

Frequently asked questions

What is a butterfly on PENN?: A butterfly on PENN is the butterfly strategy applied to PENN (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 PENN stock trading near $16.21, the strikes shown on this page are snapped to the nearest listed PENN chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
How are PENN 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 PENN butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 47.30%), the computed maximum profit is $87.07 per contract and the computed maximum loss is -$10.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.
What is the breakeven for a PENN butterfly?: The breakeven for the PENN butterfly priced on this page is roughly $15.10 and $16.90 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 PENN market-implied 1-standard-deviation expected move is approximately 13.56%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
When should you consider a butterfly on PENN?: Butterflies on PENN are pinning bets - traders use them when they expect PENN 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 PENN implied volatility affect this butterfly?: PENN ATM IV is at 47.30% with IV rank near 36.86%, 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.