SEM Butterfly Strategy
SEM (Select Medical Holdings Corporation), in the Healthcare sector, (Medical - Care Facilities industry), listed on NYSE.
Select Medical Holdings Corporation, through its subsidiaries, operates critical illness recovery hospitals, rehabilitation hospitals, outpatient rehabilitation clinics, and occupational health centers in the United States. The company's Critical Illness Recovery Hospital segment consists of hospitals that provide services for heart failure, infectious disease, respiratory failure and pulmonary disease, surgery requiring prolonged recovery, renal disease, neurological events, and trauma. Its Rehabilitation Hospital segment offers therapy and rehabilitation treatments, including rehabilitative services for brain and spinal cord injuries, strokes, amputations, neurological disorders, orthopedic conditions, pediatric congenital or acquired disabilities, and cancer. The company's Outpatient Rehabilitation segment operates rehabilitation clinics that provide physical, occupational, and speech rehabilitation programs and services; and specialized programs, such as functional programs for work related injuries, hand therapy, post-concussion rehabilitation, pediatric and cancer rehabilitation, and athletic training services. Its Concentra segment operates and provides occupational health centers and contract services at employer worksites that deliver occupational medicine, consumer health, physical therapy, and wellness services. As of December 31, 2021, the company operated 104 critical illness recovery hospitals in 28 states; 30 rehabilitation hospitals in 12 states; 1,881 outpatient rehabilitation clinics in 38 states and the District of Columbia; and 518 occupational health centers in 41 states, and 134 onsite clinics at employer worksites states.
SEM (Select Medical Holdings Corporation) trades in the Healthcare sector, specifically Medical - Care Facilities, with a market capitalization of approximately $2.04B, a trailing P/E of 15.23, a beta of 0.80 versus the broader market, a 52-week range of 11.65-16.99, average daily share volume of 2.3M, a public-listing history dating back to 2009, approximately 30K full-time employees. These structural characteristics shape how SEM stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 0.80 places SEM roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline. SEM pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.
What is a butterfly on SEM?
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 SEM snapshot
As of May 15, 2026, spot at $16.51, ATM IV 155.20%, IV rank 45.32%, expected move 2.24%. The butterfly on SEM 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 SEM specifically: SEM IV at 155.20% 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 2.24% (roughly $0.37 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 SEM expiries trade a higher absolute premium for lower per-day decay. Position sizing on SEM should anchor to the underlying notional of $16.51 per share and to the trader's directional view on SEM stock.
SEM butterfly setup
The SEM 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 SEM near $16.51, the first option leg uses a $15.68 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed SEM 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 SEM shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $15.68 | N/A |
| Sell 2 | Call | $16.51 | N/A |
| Buy 1 | Call | $17.34 | N/A |
SEM 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.
SEM butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on SEM. 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 SEM
Butterflies on SEM are pinning bets - traders use them when they expect SEM 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.
SEM thesis for this butterfly
The market-implied 1-standard-deviation range for SEM extends from approximately $16.14 on the downside to $16.88 on the upside. A SEM long call butterfly is a pinning play: it pays maximum at the middle strike if SEM settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current SEM IV rank near 45.32% is mid-range against its 1-year distribution, so the IV signal is neutral; the butterfly thesis on SEM should anchor more to the directional view and the expected-move geometry. As a Healthcare name, SEM options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to SEM-specific events.
SEM 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. SEM positions also carry Healthcare sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move SEM alongside the broader basket even when SEM-specific fundamentals are unchanged. Always rebuild the position from current SEM chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on SEM?
- A butterfly on SEM is the butterfly strategy applied to SEM (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 SEM stock trading near $16.51, the strikes shown on this page are snapped to the nearest listed SEM chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are SEM 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 SEM butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 155.20%), 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 SEM butterfly?
- The breakeven for the SEM 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 SEM market-implied 1-standard-deviation expected move is approximately 2.24%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on SEM?
- Butterflies on SEM are pinning bets - traders use them when they expect SEM 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 SEM implied volatility affect this butterfly?
- SEM ATM IV is at 155.20% with IV rank near 45.32%, 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.