How are SNAP 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 SNAP butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 66.19%), the computed maximum profit is $21.50 per contract and the computed maximum loss is -$28.50 per contract. Live intraday quotes will differ as the chain moves through the trading session.

What is the breakeven for a SNAP butterfly?

The breakeven for the SNAP butterfly priced on this page is roughly $4.29 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 SNAP market-implied 1-standard-deviation expected move is approximately 18.98%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.

How does current SNAP implied volatility affect this butterfly?

SNAP ATM IV is at 66.19% with IV rank near 35.73%, 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.

SNAP Butterfly Strategy

SNAP (Snap Inc.), in the Communication Services sector, (Internet Content & Information industry), listed on NYSE.

Snap Inc. is a global technology company focused on cameras, serving users across North America, Europe, and other international regions. Its primary product is Snapchat, a powerful camera application that facilitates visual communication through short videos and images. This app boasts several key features, including its Camera function, Communication tools, Snap Map, Stories, and Spotlight. In addition to its software, Snap Inc. develops Spectacles, smart glasses designed to integrate with Snapchat for capturing media from a first-person perspective. The company also offers a comprehensive suite of advertising products, encompassing augmented reality (AR) ads and various Snap ad formats like single image/video, story, collection, and dynamic ads, as well as commercials. Founded in 2010, the company initially operated as Snapchat, Inc. before adopting the name Snap Inc. in September 2016.

SNAP (Snap Inc.) trades in the Communication Services sector, specifically Internet Content & Information, with a market capitalization of approximately $7.50B, a beta of 1.02 versus the broader market, a 52-week range of 3.81-10.41, average daily share volume of 52.9M, a public-listing history dating back to 2017, approximately 5K full-time employees. These structural characteristics shape how SNAP stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.

A beta of 1.02 places SNAP roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline.

What is a butterfly on SNAP?

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 SNAP snapshot

As of June 29, 2026, spot at $4.41, ATM IV 66.19%, IV rank 35.73%, expected move 18.98%. The butterfly on SNAP 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 18-day expiry.

Why this butterfly structure on SNAP specifically: SNAP IV at 66.19% 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 18.98% (roughly $0.84 on the underlying). The 18-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated SNAP expiries trade a higher absolute premium for lower per-day decay. Position sizing on SNAP should anchor to the underlying notional of $4.41 per share and to the trader's directional view on SNAP stock.

SNAP butterfly setup

The SNAP 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 SNAP near $4.41, the first option leg uses a $4.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed SNAP chain at a 18-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 SNAP shares for the stock leg in covered calls and collars).

Action	Type	Strike / Basis	Premium (est)
Buy 1	Call	$4.00	$0.48
Sell 2	Call	$4.50	$0.20
Buy 1	Call	$4.50	$0.20

SNAP butterfly risk and reward

Net Premium / Debit: -$28.50
Max Profit (per contract): $21.50
Max Loss (per contract): -$28.50
Breakeven(s): $4.29
Risk / Reward Ratio: 0.754

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.

SNAP butterfly payoff curve

Modeled P&L at expiration across a range of underlying prices for the butterfly on SNAP. 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	-99.8%	-$28.50
$0.98	-77.7%	-$28.50
$1.96	-55.6%	-$28.50
$2.93	-33.5%	-$28.50
$3.91	-11.4%	-$28.50
$4.88	+10.7%	+$21.50
$5.85	+32.7%	+$21.50
$6.83	+54.8%	+$21.50
$7.80	+76.9%	+$21.50
$8.78	+99.0%	+$21.50

When traders use butterfly on SNAP

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

SNAP thesis for this butterfly

The market-implied 1-standard-deviation range for SNAP extends from approximately $3.57 on the downside to $5.25 on the upside. A SNAP long call butterfly is a pinning play: it pays maximum at the middle strike if SNAP settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current SNAP IV rank near 35.73% is mid-range against its 1-year distribution, so the IV signal is neutral; the butterfly thesis on SNAP should anchor more to the directional view and the expected-move geometry. As a Communication Services name, SNAP options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to SNAP-specific events.

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

Frequently asked questions

What is a butterfly on SNAP?: A butterfly on SNAP is the butterfly strategy applied to SNAP (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 SNAP stock trading near $4.41, the strikes shown on this page are snapped to the nearest listed SNAP chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
How are SNAP 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 SNAP butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 66.19%), the computed maximum profit is $21.50 per contract and the computed maximum loss is -$28.50 per contract. Live intraday quotes will differ as the chain moves through the trading session.
What is the breakeven for a SNAP butterfly?: The breakeven for the SNAP butterfly priced on this page is roughly $4.29 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 SNAP market-implied 1-standard-deviation expected move is approximately 18.98%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
When should you consider a butterfly on SNAP?: Butterflies on SNAP are pinning bets - traders use them when they expect SNAP 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 SNAP implied volatility affect this butterfly?: SNAP ATM IV is at 66.19% with IV rank near 35.73%, 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.