RSI Butterfly Strategy
RSI (Rush Street Interactive, Inc.), in the Consumer Cyclical sector, (Gambling, Resorts & Casinos industry), listed on NYSE.
Rush Street Interactive, Inc. operates as an online casino and sports betting company in the United States and Latin America. It provides real-money online casino, online and retail sports betting, and social gaming services. In addition, the company offers full suite of games comprising of bricks-and-mortar casinos, table games, and slot machines. The company markets its online casino and sports betting under BetRivers.com, PlaySugarHouse.com, and RushBet.co brands. Rush Street Interactive, Inc. was founded in 2012 and is headquartered in Chicago, Illinois.
RSI (Rush Street Interactive, Inc.) trades in the Consumer Cyclical sector, specifically Gambling, Resorts & Casinos, with a market capitalization of approximately $6.42B, a trailing P/E of 74.48, a beta of 1.65 versus the broader market, a 52-week range of 11.5-29.24, average daily share volume of 2.0M, a public-listing history dating back to 2020, approximately 883 full-time employees. These structural characteristics shape how RSI stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 1.65 indicates RSI has historically moved more than the broader market, amplifying both the directional payoff and the realized volatility relative to an index-equivalent position. The trailing P/E of 74.48 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.
What is a butterfly on RSI?
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 RSI snapshot
As of May 15, 2026, spot at $26.86, ATM IV 54.50%, IV rank 10.59%, expected move 15.62%. The butterfly on RSI 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 RSI specifically: RSI IV at 54.50% is on the cheap side of its 1-year range, which favors premium-buying structures like a RSI butterfly, with a market-implied 1-standard-deviation move of approximately 15.62% (roughly $4.20 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 RSI expiries trade a higher absolute premium for lower per-day decay. Position sizing on RSI should anchor to the underlying notional of $26.86 per share and to the trader's directional view on RSI stock.
RSI butterfly setup
The RSI 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 RSI near $26.86, the first option leg uses a $25.52 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed RSI 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 RSI shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $25.52 | N/A |
| Sell 2 | Call | $26.86 | N/A |
| Buy 1 | Call | $28.20 | N/A |
RSI butterfly risk and reward
- Net Premium / Debit
- N/A
- Max Profit (per contract)
- Unbounded
- Max Loss (per contract)
- Unbounded
- Breakeven(s)
- None on modeled curve
- Risk / Reward Ratio
- N/A
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.
RSI butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on RSI. 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.
When traders use butterfly on RSI
Butterflies on RSI are pinning bets - traders use them when they expect RSI 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.
RSI thesis for this butterfly
The market-implied 1-standard-deviation range for RSI extends from approximately $22.66 on the downside to $31.06 on the upside. A RSI long call butterfly is a pinning play: it pays maximum at the middle strike if RSI settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current RSI IV rank near 10.59% 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 RSI at 54.50%. As a Consumer Cyclical name, RSI options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to RSI-specific events.
RSI 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. RSI positions also carry Consumer Cyclical sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move RSI alongside the broader basket even when RSI-specific fundamentals are unchanged. Always rebuild the position from current RSI chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on RSI?
- A butterfly on RSI is the butterfly strategy applied to RSI (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 RSI stock trading near $26.86, the strikes shown on this page are snapped to the nearest listed RSI chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are RSI 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 RSI butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 54.50%), the computed maximum profit is unbounded per contract and the computed maximum loss is unbounded per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a RSI butterfly?
- The breakeven for the RSI butterfly priced on this page is no defined breakeven on the modeled curve 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 RSI market-implied 1-standard-deviation expected move is approximately 15.62%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on RSI?
- Butterflies on RSI are pinning bets - traders use them when they expect RSI 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 RSI implied volatility affect this butterfly?
- RSI ATM IV is at 54.50% with IV rank near 10.59%, 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.