How are SO 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 SO butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 18.45%), the computed maximum profit is $209.98 per contract and the computed maximum loss is -$285.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.

What is the breakeven for a SO butterfly?

The breakeven for the SO butterfly priced on this page is roughly $90.85 and $95.15 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 SO market-implied 1-standard-deviation expected move is approximately 5.29%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.

How does current SO implied volatility affect this butterfly?

SO ATM IV is at 18.45% with IV rank near 48.12%, 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.

SO Butterfly Strategy

SO (The Southern Company), in the Utilities sector, (Regulated Electric industry), listed on NYSE.

The Southern Company, through its subsidiaries, engages in the generation, transmission, and distribution of electricity. It operates through Gas Distribution Operations, Gas Pipeline Investments, Wholesale Gas Services, and Gas Marketing Services segments. The company also develops, constructs, acquires, owns, and manages power generation assets, including renewable energy projects and sells electricity in the wholesale market; and distributes natural gas in Illinois, Georgia, Virginia, and Tennessee, as well as provides gas marketing services, wholesale gas services, and gas pipeline investments operations. In addition, it owns and/or operates 30 hydroelectric generating stations, 24 fossil fuel generating stations, three nuclear generating stations, 13 combined cycle/cogeneration stations, 45 solar facilities, 15 wind facilities, one fuel cell facility, and four battery storage facility; and constructs, operates, and maintains 76,289 miles of natural gas pipelines and 14 storage facilities with total capacity of 157 Bcf to provide natural gas to residential, commercial, and industrial customers. The company serves approximately 8.7 million electric and gas utility customers. Further, the company offers digital wireless communications and fiber optics services.

SO (The Southern Company) trades in the Utilities sector, specifically Regulated Electric, with a market capitalization of approximately $105.00B, a trailing P/E of 23.99, a beta of 0.36 versus the broader market, a 52-week range of 83.8-100.84, average daily share volume of 5.7M, a public-listing history dating back to 1981, approximately 28K full-time employees. These structural characteristics shape how SO stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.

A beta of 0.36 indicates SO has historically moved less than the broader market, dampening realized volatility and producing tighter expected-move bands per unit of dollar exposure. SO pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.

What is a butterfly on SO?

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 SO snapshot

As of May 15, 2026, spot at $92.58, ATM IV 18.45%, IV rank 48.12%, expected move 5.29%. The butterfly on SO 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 28-day expiry.

Why this butterfly structure on SO specifically: SO IV at 18.45% 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 5.29% (roughly $4.90 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 SO expiries trade a higher absolute premium for lower per-day decay. Position sizing on SO should anchor to the underlying notional of $92.58 per share and to the trader's directional view on SO stock.

SO butterfly setup

The SO 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 SO near $92.58, the first option leg uses a $88.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed SO 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 SO shares for the stock leg in covered calls and collars).

Action	Type	Strike / Basis	Premium (est)
Buy 1	Call	$88.00	$5.30
Sell 2	Call	$93.00	$1.43
Buy 1	Call	$97.00	$0.40

SO butterfly risk and reward

Net Premium / Debit: -$285.00
Max Profit (per contract): $209.98
Max Loss (per contract): -$285.00
Breakeven(s): $90.85, $95.15
Risk / Reward Ratio: 0.737

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.

SO butterfly payoff curve

Modeled P&L at expiration across a range of underlying prices for the butterfly on SO. 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	-100.0%	-$285.00
$20.48	-77.9%	-$285.00
$40.95	-55.8%	-$285.00
$61.42	-33.7%	-$285.00
$81.89	-11.6%	-$285.00
$102.35	+10.6%	-$185.00
$122.82	+32.7%	-$185.00
$143.29	+54.8%	-$185.00
$163.76	+76.9%	-$185.00
$184.23	+99.0%	-$185.00

When traders use butterfly on SO

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

SO thesis for this butterfly

The market-implied 1-standard-deviation range for SO extends from approximately $87.68 on the downside to $97.48 on the upside. A SO long call butterfly is a pinning play: it pays maximum at the middle strike if SO settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current SO IV rank near 48.12% is mid-range against its 1-year distribution, so the IV signal is neutral; the butterfly thesis on SO should anchor more to the directional view and the expected-move geometry. As a Utilities name, SO options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to SO-specific events.

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

Frequently asked questions

What is a butterfly on SO?: A butterfly on SO is the butterfly strategy applied to SO (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 SO stock trading near $92.58, the strikes shown on this page are snapped to the nearest listed SO chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
How are SO 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 SO butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 18.45%), the computed maximum profit is $209.98 per contract and the computed maximum loss is -$285.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.
What is the breakeven for a SO butterfly?: The breakeven for the SO butterfly priced on this page is roughly $90.85 and $95.15 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 SO market-implied 1-standard-deviation expected move is approximately 5.29%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
When should you consider a butterfly on SO?: Butterflies on SO are pinning bets - traders use them when they expect SO 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 SO implied volatility affect this butterfly?: SO ATM IV is at 18.45% with IV rank near 48.12%, 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.