How are SNOW 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 SNOW butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 57.63%), the computed maximum profit is $1,098.92 per contract and the computed maximum loss is -$385.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.

What is the breakeven for a SNOW butterfly?

The breakeven for the SNOW butterfly priced on this page is roughly $243.85 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 SNOW market-implied 1-standard-deviation expected move is approximately 16.52%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.

How does current SNOW implied volatility affect this butterfly?

SNOW ATM IV is at 57.63% with IV rank near 48.24%, 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.

SNOW Butterfly Strategy

SNOW (Snowflake Inc.), in the Technology sector, (Software - Application industry), listed on NYSE.

Snowflake Inc. delivers a cloud-centric data platform to customers across both the United States and international markets. The company's core offering, known as the Data Cloud, enables users to unify disparate data sources into a singular, reliable foundation. This unified data then facilitates the extraction of crucial business intelligence, the creation of innovative data-driven applications, and secure data sharing. This adaptable platform serves a wide array of organizations, encompassing various sizes and industries. Originating in 2012, the enterprise was initially recognized as Snowflake Computing, Inc., before officially rebranding to Snowflake Inc. in April 2019. Its principal operations are conducted from Bozeman, Montana.

SNOW (Snowflake Inc.) trades in the Technology sector, specifically Software - Application, with a market capitalization of approximately $86.29B, a beta of 1.36 versus the broader market, a 52-week range of 118.3-284.99, average daily share volume of 9.0M, a public-listing history dating back to 2020, approximately 8K full-time employees. These structural characteristics shape how SNOW stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.

A beta of 1.36 indicates SNOW 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 SNOW?

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 SNOW snapshot

As of June 30, 2026, spot at $253.88, ATM IV 57.63%, IV rank 48.24%, expected move 16.52%. The butterfly on SNOW 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 31-day expiry.

Why this butterfly structure on SNOW specifically: SNOW IV at 57.63% 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 16.52% (roughly $41.95 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 SNOW expiries trade a higher absolute premium for lower per-day decay. Position sizing on SNOW should anchor to the underlying notional of $253.88 per share and to the trader's directional view on SNOW stock.

SNOW butterfly setup

The SNOW 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 SNOW near $253.88, the first option leg uses a $240.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed SNOW 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 SNOW shares for the stock leg in covered calls and collars).

Action	Type	Strike / Basis	Premium (est)
Buy 1	Call	$240.00	$25.48
Sell 2	Call	$255.00	$17.30
Buy 1	Call	$265.00	$12.98

SNOW butterfly risk and reward

Net Premium / Debit: -$385.00
Max Profit (per contract): $1,098.92
Max Loss (per contract): -$385.00
Breakeven(s): $243.85
Risk / Reward Ratio: 2.854

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.

SNOW butterfly payoff curve

Modeled P&L at expiration across a range of underlying prices for the butterfly on SNOW. 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	-100.0%	-$385.00
$56.14	-77.9%	-$385.00
$112.28	-55.8%	-$385.00
$168.41	-33.7%	-$385.00
$224.54	-11.6%	-$385.00
$280.68	+10.6%	+$115.00
$336.81	+32.7%	+$115.00
$392.94	+54.8%	+$115.00
$449.08	+76.9%	+$115.00
$505.21	+99.0%	+$115.00

When traders use butterfly on SNOW

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

SNOW thesis for this butterfly

The market-implied 1-standard-deviation range for SNOW extends from approximately $211.93 on the downside to $295.83 on the upside. A SNOW long call butterfly is a pinning play: it pays maximum at the middle strike if SNOW settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current SNOW IV rank near 48.24% is mid-range against its 1-year distribution, so the IV signal is neutral; the butterfly thesis on SNOW should anchor more to the directional view and the expected-move geometry. As a Technology name, SNOW options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to SNOW-specific events.

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

Frequently asked questions

What is a butterfly on SNOW?: A butterfly on SNOW is the butterfly strategy applied to SNOW (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 SNOW stock trading near $253.88, the strikes shown on this page are snapped to the nearest listed SNOW chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
How are SNOW 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 SNOW butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 57.63%), the computed maximum profit is $1,098.92 per contract and the computed maximum loss is -$385.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.
What is the breakeven for a SNOW butterfly?: The breakeven for the SNOW butterfly priced on this page is roughly $243.85 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 SNOW market-implied 1-standard-deviation expected move is approximately 16.52%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
When should you consider a butterfly on SNOW?: Butterflies on SNOW are pinning bets - traders use them when they expect SNOW 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 SNOW implied volatility affect this butterfly?: SNOW ATM IV is at 57.63% with IV rank near 48.24%, 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.