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 August 14, 2026 end-of-day chain at a 30-day expiry (ATM IV 40.00%), the computed maximum profit is $78.45 per contract and the computed maximum loss is -$12.50 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 $18.12 and $19.88 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 PENN market-implied 1-standard-deviation expected move in the same options snapshot is approximately 11.47%; 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 40.00% with IV rank near 23.19%, 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.

PENN Butterfly Strategy

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

PENN Entertainment, Inc., along with its various subsidiaries, offers a comprehensive range of entertainment, sports media, and casino gaming services across North America. Its operations are segmented into five distinct divisions: Northeast, South, West, Midwest, and Interactive. The firm manages 44 physical venues across 20 U.S. states, alongside offering online sports wagering in 13 regions and iCasino services in five, all united under a diverse brand umbrella that includes names like Hollywood Casino, L'Auberge, Barstool Sportsbook, and theScore Bet. Previously known as Penn National Gaming, Inc., the corporation adopted its current name, PENN Entertainment, Inc., in August 2022. Established in 1972, PENN Entertainment, Inc. maintains its headquarters in Wyomissing, Pennsylvania.

PENN (PENN Entertainment, Inc.) trades in the Consumer Cyclical sector, specifically Gambling, Resorts & Casinos, with a market capitalization of approximately $2.51B, a beta of 1.41 versus the broader market, a 52-week range of 11.65-22.36, average daily share volume of 3.6M, 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 1.41 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. PENN pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.

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.

PENN snapshot

As of August 14, 2026, spot at $18.81, ATM IV 40.00%, IV rank 23.19%, expected move 11.47%. The butterfly on PENN 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 35-day expiry.

Why this butterfly structure on PENN specifically: PENN IV at 40.00% is on the cheap side of its 1-year range, which favors premium-buying structures like a PENN butterfly, with a market-implied 1-standard-deviation move of approximately 11.47% (roughly $2.16 on the underlying). The 35-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 $18.81 per share and to the trader's directional view on PENN stock.

PENN butterfly setup

The PENN 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 PENN at $18.81 on that close, the first option leg uses a $18.00 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 35-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	$18.00	$1.45
Sell 2	Call	$19.00	$0.93
Buy 1	Call	$20.00	$0.53

PENN butterfly risk and reward

Net Premium / Debit: -$12.50
Max Profit (per contract): $78.45
Max Loss (per contract): -$12.50
Breakeven(s): $18.12, $19.88
Risk / Reward Ratio: 6.276

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.

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	-99.9%	-$12.50
$4.17	-77.8%	-$12.50
$8.33	-55.7%	-$12.50
$12.48	-33.6%	-$12.50
$16.64	-11.5%	-$12.50
$20.80	+10.6%	-$12.50
$24.96	+32.7%	-$12.50
$29.12	+54.8%	-$12.50
$33.27	+76.9%	-$12.50
$37.43	+99.0%	-$12.50

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 $16.65 on the downside to $20.97 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 23.19% 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 PENN at 40.00%. 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 at $18.81 on the August 14, 2026 close, the strikes shown on this page are snapped to the nearest listed PENN chain strike and the premiums come straight from that session's 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 August 14, 2026 end-of-day chain at a 30-day expiry (ATM IV 40.00%), the computed maximum profit is $78.45 per contract and the computed maximum loss is -$12.50 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 $18.12 and $19.88 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 PENN market-implied 1-standard-deviation expected move in the same options snapshot is approximately 11.47%; 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 40.00% with IV rank near 23.19%, 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.