SMR Butterfly Strategy
SMR (NuScale Power Corporation), in the Industrials sector, (Electrical Equipment & Parts industry), listed on NYSE.
NuScale Power Corporation provides proprietary and innovative small modular reactor (SMR) nuclear technology. The company's mission is to help power the global energy transition by delivering safe, scalable, and reliable carbon-free energy. Its primary products are its VOYGR SMR plants which utilize NuScale Power Modules (NPM), a light water nuclear reactor that can generate 77 megawatts of electricity.
SMR (NuScale Power Corporation) trades in the Industrials sector, specifically Electrical Equipment & Parts, with a market capitalization of approximately $2.36B, a beta of 2.31 versus the broader market, a 52-week range of 7.21-57.42, average daily share volume of 34.4M, a public-listing history dating back to 2022, approximately 428 full-time employees. These structural characteristics shape how SMR stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 2.31 indicates SMR 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 SMR?
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.
SMR snapshot
As of September 29, 2026, spot at $7.79, ATM IV 73.76%, IV rank 0.70%, expected move 21.15%. The butterfly on SMR below is built from the September 29, 2026 end-of-day chain, with strikes snapped to listed contracts and premiums pulled from the bid/ask midpoint at a 31-day expiry.
Why this butterfly structure on SMR specifically: SMR IV at 73.76% is on the cheap side of its 1-year range, which favors premium-buying structures like a SMR butterfly, with a market-implied 1-standard-deviation move of approximately 21.15% (roughly $1.65 on the underlying). The 31-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated SMR expiries trade a higher absolute premium for lower per-day decay. Position sizing on SMR should anchor to the underlying notional of $7.79 per share and to the trader's directional view on SMR stock.
SMR butterfly setup
The SMR butterfly below is built from the September 29, 2026 end-of-day chain, with each option leg priced at the bid/ask midpoint of its listed strike. With SMR at $7.79 on that close, the first option leg uses a $7.50 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed SMR chain at a 31-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 SMR shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $7.50 | $0.82 |
| Sell 2 | Call | $8.00 | $0.60 |
| Buy 1 | Call | $8.00 | $0.60 |
SMR butterfly risk and reward
- Net Premium / Debit
- -$22.00
- Max Profit (per contract)
- $28.00
- Max Loss (per contract)
- -$22.00
- Breakeven(s)
- $7.72
- Risk / Reward Ratio
- 1.273
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.
SMR butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on SMR. 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.
| Underlying Price | % From Spot | P&L at Expiration |
|---|---|---|
| $0.01 | -99.9% | -$22.00 |
| $1.73 | -77.8% | -$22.00 |
| $3.45 | -55.7% | -$22.00 |
| $5.17 | -33.6% | -$22.00 |
| $6.90 | -11.5% | -$22.00 |
| $8.62 | +10.6% | +$28.00 |
| $10.34 | +32.7% | +$28.00 |
| $12.06 | +54.8% | +$28.00 |
| $13.78 | +76.9% | +$28.00 |
| $15.50 | +99.0% | +$28.00 |
When traders use butterfly on SMR
Butterflies on SMR are pinning bets - traders use them when they expect SMR 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.
SMR thesis for this butterfly
The market-implied 1-standard-deviation range for SMR extends from approximately $6.14 on the downside to $9.44 on the upside. A SMR long call butterfly is a pinning play: it pays maximum at the middle strike if SMR settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current SMR IV rank near 0.70% 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 SMR at 73.76%. As a Industrials name, SMR options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to SMR-specific events.
SMR 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. SMR positions also carry Industrials sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move SMR alongside the broader basket even when SMR-specific fundamentals are unchanged. Always rebuild the position from current SMR chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on SMR?
- A butterfly on SMR is the butterfly strategy applied to SMR (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 SMR stock at $7.79 on the September 29, 2026 close, the strikes shown on this page are snapped to the nearest listed SMR chain strike and the premiums come straight from that session's bid/ask midpoint.
- How are SMR 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 SMR butterfly priced from the September 29, 2026 end-of-day chain at a 30-day expiry (ATM IV 73.76%), the computed maximum profit is $28.00 per contract and the computed maximum loss is -$22.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a SMR butterfly?
- The breakeven for the SMR butterfly priced on this page is roughly $7.72 at expiration, derived from the September 29, 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 SMR market-implied 1-standard-deviation expected move in the same options snapshot is approximately 21.15%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on SMR?
- Butterflies on SMR are pinning bets - traders use them when they expect SMR 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 SMR implied volatility affect this butterfly?
- SMR ATM IV is at 73.76% with IV rank near 0.70%, 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.