How are SLS 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 SLS butterfly priced from the August 14, 2026 end-of-day chain at a 30-day expiry (ATM IV 124.62%), the computed maximum profit is $8.23 per contract and the computed maximum loss is -$87.50 per contract. Live intraday quotes will differ as the chain moves through the trading session.

What is the breakeven for a SLS butterfly?

The breakeven for the SLS butterfly priced on this page is roughly $12.88 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 SLS market-implied 1-standard-deviation expected move in the same options snapshot is approximately 35.73%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.

How does current SLS implied volatility affect this butterfly?

SLS ATM IV is at 124.62% with IV rank near 29.09%, 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.

SLS Butterfly Strategy

SLS (SELLAS Life Sciences Group, Inc.), in the Healthcare sector, (Biotechnology industry), listed on NASDAQ.

SELLAS Life Sciences Group, Inc., a late-stage clinical biopharmaceutical company, focuses on the development of novel therapeutics for various cancer indications in the United States. The company's lead product candidate is galinpepimut-S (GPS), a peptide immunotherapy directed against the Wilms tumor 1, antigen; and SLS009 (tambiciclib), a selective small molecule cyclin-dependent kinase 9, or CDK9, inhibitor. It has a strategic collaboration with Merck & Co., Inc. to evaluate GPS as it is administered in combination with PD1 blocker pembrolizumab in a Phase 1/2 clinical trial enrolling patients in up to five cancer indications, including hematologic malignancies and solid tumors; GenFleet Therapeutics (Shanghai), Inc. for the development and commercialization of GFH009; and Memorial Sloan Kettering Cancer Center for developing and commercializing MSK's WT1 peptide vaccine technology. SELLAS Life Sciences Group, Inc. is headquartered in New York, New York.

SLS (SELLAS Life Sciences Group, Inc.) trades in the Healthcare sector, specifically Biotechnology, with a market capitalization of approximately $2.19B, a beta of 2.49 versus the broader market, a 52-week range of 1.39-15.88, average daily share volume of 8.2M, a public-listing history dating back to 2008, approximately 13 full-time employees. These structural characteristics shape how SLS stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.

A beta of 2.49 indicates SLS 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 SLS?

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.

SLS snapshot

As of August 14, 2026, spot at $12.76, ATM IV 124.62%, IV rank 29.09%, expected move 35.73%. The butterfly on SLS 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 28-day expiry.

Why this butterfly structure on SLS specifically: SLS IV at 124.62% is on the cheap side of its 1-year range, which favors premium-buying structures like a SLS butterfly, with a market-implied 1-standard-deviation move of approximately 35.73% (roughly $4.56 on the underlying). The 28-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated SLS expiries trade a higher absolute premium for lower per-day decay. Position sizing on SLS should anchor to the underlying notional of $12.76 per share and to the trader's directional view on SLS stock.

SLS butterfly setup

The SLS 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 SLS at $12.76 on that close, the first option leg uses a $12.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed SLS chain at a 28-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 SLS shares for the stock leg in covered calls and collars).

Action	Type	Strike / Basis	Premium (est)
Buy 1	Call	$12.00	$2.40
Sell 2	Call	$13.00	$1.45
Buy 1	Call	$13.50	$1.38

SLS butterfly risk and reward

Net Premium / Debit: -$87.50
Max Profit (per contract): $8.23
Max Loss (per contract): -$87.50
Breakeven(s): $12.88
Risk / Reward Ratio: 0.094

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.

SLS butterfly payoff curve

Modeled P&L at expiration across a range of underlying prices for the butterfly on SLS. 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%	-$87.50
$2.83	-77.8%	-$87.50
$5.65	-55.7%	-$87.50
$8.47	-33.6%	-$87.50
$11.29	-11.5%	-$87.50
$14.11	+10.6%	-$37.50
$16.93	+32.7%	-$37.50
$19.75	+54.8%	-$37.50
$22.57	+76.9%	-$37.50
$25.39	+99.0%	-$37.50

When traders use butterfly on SLS

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

SLS thesis for this butterfly

The market-implied 1-standard-deviation range for SLS extends from approximately $8.20 on the downside to $17.32 on the upside. A SLS long call butterfly is a pinning play: it pays maximum at the middle strike if SLS settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current SLS IV rank near 29.09% 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 SLS at 124.62%. As a Healthcare name, SLS options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to SLS-specific events.

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

Frequently asked questions

What is a butterfly on SLS?: A butterfly on SLS is the butterfly strategy applied to SLS (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 SLS stock at $12.76 on the August 14, 2026 close, the strikes shown on this page are snapped to the nearest listed SLS chain strike and the premiums come straight from that session's bid/ask midpoint.
How are SLS 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 SLS butterfly priced from the August 14, 2026 end-of-day chain at a 30-day expiry (ATM IV 124.62%), the computed maximum profit is $8.23 per contract and the computed maximum loss is -$87.50 per contract. Live intraday quotes will differ as the chain moves through the trading session.
What is the breakeven for a SLS butterfly?: The breakeven for the SLS butterfly priced on this page is roughly $12.88 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 SLS market-implied 1-standard-deviation expected move in the same options snapshot is approximately 35.73%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
When should you consider a butterfly on SLS?: Butterflies on SLS are pinning bets - traders use them when they expect SLS 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 SLS implied volatility affect this butterfly?: SLS ATM IV is at 124.62% with IV rank near 29.09%, 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.