SPG Butterfly Strategy
SPG (Simon Property Group, Inc.), in the Real Estate sector, (REIT - Retail industry), listed on NYSE.
Simon is a real estate investment trust engaged in the ownership of premier shopping, dining, entertainment and mixed-use destinations and an S&P 100 company (Simon Property Group, NYSE: SPG). Our properties across North America, Europe and Asia provide community gathering places for millions of people every day and generate billions in annual sales.
SPG (Simon Property Group, Inc.) trades in the Real Estate sector, specifically REIT - Retail, with a market capitalization of approximately $65.15B, a trailing P/E of 13.63, a beta of 1.36 versus the broader market, a 52-week range of 155.44-208.28, average daily share volume of 1.5M, a public-listing history dating back to 1993, approximately 4K full-time employees. These structural characteristics shape how SPG stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 1.36 indicates SPG has historically moved more than the broader market, amplifying both the directional payoff and the realized volatility relative to an index-equivalent position. SPG pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.
What is a butterfly on SPG?
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 SPG snapshot
As of May 15, 2026, spot at $199.91, ATM IV 23.20%, IV rank 23.84%, expected move 6.65%. The butterfly on SPG 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 34-day expiry.
Why this butterfly structure on SPG specifically: SPG IV at 23.20% is on the cheap side of its 1-year range, which favors premium-buying structures like a SPG butterfly, with a market-implied 1-standard-deviation move of approximately 6.65% (roughly $13.30 on the underlying). The 34-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated SPG expiries trade a higher absolute premium for lower per-day decay. Position sizing on SPG should anchor to the underlying notional of $199.91 per share and to the trader's directional view on SPG stock.
SPG butterfly setup
The SPG 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 SPG near $199.91, the first option leg uses a $190.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed SPG chain at a 34-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 SPG shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $190.00 | $12.00 |
| Sell 2 | Call | $200.00 | $5.10 |
| Buy 1 | Call | $210.00 | $1.43 |
SPG butterfly risk and reward
- Net Premium / Debit
- -$322.50
- Max Profit (per contract)
- $585.55
- Max Loss (per contract)
- -$322.50
- Breakeven(s)
- $193.23, $206.78
- Risk / Reward Ratio
- 1.816
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.
SPG butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on SPG. 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% | -$322.50 |
| $44.21 | -77.9% | -$322.50 |
| $88.41 | -55.8% | -$322.50 |
| $132.61 | -33.7% | -$322.50 |
| $176.81 | -11.6% | -$322.50 |
| $221.01 | +10.6% | -$322.50 |
| $265.21 | +32.7% | -$322.50 |
| $309.41 | +54.8% | -$322.50 |
| $353.61 | +76.9% | -$322.50 |
| $397.81 | +99.0% | -$322.50 |
When traders use butterfly on SPG
Butterflies on SPG are pinning bets - traders use them when they expect SPG 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.
SPG thesis for this butterfly
The market-implied 1-standard-deviation range for SPG extends from approximately $186.61 on the downside to $213.21 on the upside. A SPG long call butterfly is a pinning play: it pays maximum at the middle strike if SPG settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current SPG IV rank near 23.84% 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 SPG at 23.20%. As a Real Estate name, SPG options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to SPG-specific events.
SPG 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. SPG positions also carry Real Estate sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move SPG alongside the broader basket even when SPG-specific fundamentals are unchanged. Always rebuild the position from current SPG chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on SPG?
- A butterfly on SPG is the butterfly strategy applied to SPG (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 SPG stock trading near $199.91, the strikes shown on this page are snapped to the nearest listed SPG chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are SPG 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 SPG butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 23.20%), the computed maximum profit is $585.55 per contract and the computed maximum loss is -$322.50 per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a SPG butterfly?
- The breakeven for the SPG butterfly priced on this page is roughly $193.23 and $206.78 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 SPG market-implied 1-standard-deviation expected move is approximately 6.65%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on SPG?
- Butterflies on SPG are pinning bets - traders use them when they expect SPG 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 SPG implied volatility affect this butterfly?
- SPG ATM IV is at 23.20% with IV rank near 23.84%, 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.