How are REPL 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 REPL butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 182.78%), the computed maximum profit is $80.00 per contract and the computed maximum loss is -$20.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.

What is the breakeven for a REPL butterfly?

The breakeven for the REPL butterfly priced on this page is roughly $11.80 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 REPL market-implied 1-standard-deviation expected move is approximately 52.40%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.

How does current REPL implied volatility affect this butterfly?

REPL ATM IV is at 182.78% with IV rank near 39.72%, 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.

REPL Butterfly Strategy

REPL (Replimune Group, Inc.), in the Healthcare sector, (Biotechnology industry), listed on NASDAQ.

Replimune Group, Inc. is a biotechnology enterprise dedicated to pioneering oncolytic immuno-gene therapies aimed at treating various cancers. The company leverages its proprietary Immunotherapy platform to engineer and advance novel therapeutic candidates designed to activate the body's immune system against malignant cells. Its leading experimental drug, RP1, is a selectively replicating variant of the herpes simplex virus 1. This candidate is presently in Phase I/II clinical trials for a range of solid tumors and has also progressed to Phase II trials specifically for patients with cutaneous squamous cell carcinoma. Replimune is additionally developing RP2, an anti-CTLA-4 antibody-like protein, which is undergoing Phase I clinical assessment. Its purpose is to counteract the immune system's suppression often mediated by CTLA-4.

REPL (Replimune Group, Inc.) trades in the Healthcare sector, specifically Biotechnology, with a market capitalization of approximately $960.3M, a beta of 0.91 versus the broader market, a 52-week range of 1.5-13.24, average daily share volume of 7.8M, a public-listing history dating back to 2018, approximately 479 full-time employees. These structural characteristics shape how REPL stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.

A beta of 0.91 places REPL roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline.

What is a butterfly on REPL?

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 REPL snapshot

As of June 29, 2026, spot at $11.33, ATM IV 182.78%, IV rank 39.72%, expected move 52.40%. The butterfly on REPL 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 32-day expiry.

Why this butterfly structure on REPL specifically: REPL IV at 182.78% 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 52.40% (roughly $5.94 on the underlying). The 32-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated REPL expiries trade a higher absolute premium for lower per-day decay. Position sizing on REPL should anchor to the underlying notional of $11.33 per share and to the trader's directional view on REPL stock.

REPL butterfly setup

The REPL 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 REPL near $11.33, the first option leg uses a $11.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed REPL chain at a 32-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 REPL shares for the stock leg in covered calls and collars).

Action	Type	Strike / Basis	Premium (est)
Buy 1	Call	$11.00	$2.95
Sell 2	Call	$11.00	$2.95
Buy 1	Call	$12.00	$2.15

REPL butterfly risk and reward

Net Premium / Debit: +$80.00
Max Profit (per contract): $80.00
Max Loss (per contract): -$20.00
Breakeven(s): $11.80
Risk / Reward Ratio: 4.000

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.

REPL butterfly payoff curve

Modeled P&L at expiration across a range of underlying prices for the butterfly on REPL. 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%	+$80.00
$2.51	-77.8%	+$80.00
$5.02	-55.7%	+$80.00
$7.52	-33.6%	+$80.00
$10.03	-11.5%	+$80.00
$12.53	+10.6%	-$20.00
$15.03	+32.7%	-$20.00
$17.54	+54.8%	-$20.00
$20.04	+76.9%	-$20.00
$22.55	+99.0%	-$20.00

When traders use butterfly on REPL

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

REPL thesis for this butterfly

The market-implied 1-standard-deviation range for REPL extends from approximately $5.39 on the downside to $17.27 on the upside. A REPL long call butterfly is a pinning play: it pays maximum at the middle strike if REPL settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current REPL IV rank near 39.72% is mid-range against its 1-year distribution, so the IV signal is neutral; the butterfly thesis on REPL should anchor more to the directional view and the expected-move geometry. As a Healthcare name, REPL options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to REPL-specific events.

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

Frequently asked questions

What is a butterfly on REPL?: A butterfly on REPL is the butterfly strategy applied to REPL (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 REPL stock trading near $11.33, the strikes shown on this page are snapped to the nearest listed REPL chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
How are REPL 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 REPL butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 182.78%), the computed maximum profit is $80.00 per contract and the computed maximum loss is -$20.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.
What is the breakeven for a REPL butterfly?: The breakeven for the REPL butterfly priced on this page is roughly $11.80 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 REPL market-implied 1-standard-deviation expected move is approximately 52.40%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
When should you consider a butterfly on REPL?: Butterflies on REPL are pinning bets - traders use them when they expect REPL 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 REPL implied volatility affect this butterfly?: REPL ATM IV is at 182.78% with IV rank near 39.72%, 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.