TSHA Butterfly Strategy
TSHA (Taysha Gene Therapies, Inc.), in the Healthcare sector, (Biotechnology industry), listed on NASDAQ.
Taysha Gene Therapies, Inc. is a biotech firm specializing in the creation and market introduction of gene therapies that utilize adeno-associated virus (AAV) vectors. Its core mission is to tackle inherited diseases affecting the central nervous system (CNS). The company's development pipeline features several key programs: TSHA-120 is aimed at giant axonal neuropathy; TSHA-102 is in development for Rett syndrome; TSHA-121 and TSHA-118 are both being advanced for CLN1 disease; TSHA-105 addresses SLC13A5 Deficiency; and TSHA-101 targets GM2 gangliosidosis. Furthermore, Taysha has forged a strategic alliance with The University of Texas Southwestern Medical Center to jointly advance and bring to market innovative gene therapy solutions. Founded in 2019, the company operates from its headquarters in Dallas, Texas.
TSHA (Taysha Gene Therapies, Inc.) trades in the Healthcare sector, specifically Biotechnology, with a market capitalization of approximately $1.59B, a beta of 1.18 versus the broader market, a 52-week range of 2.25-7.3, average daily share volume of 2.9M, a public-listing history dating back to 2020, approximately 73 full-time employees. These structural characteristics shape how TSHA stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 1.18 places TSHA roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline.
What is a butterfly on TSHA?
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 TSHA snapshot
As of June 30, 2026, spot at $6.83, ATM IV 123.80%, IV rank 18.69%, expected move 35.49%. The butterfly on TSHA 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 17-day expiry.
Why this butterfly structure on TSHA specifically: TSHA IV at 123.80% is on the cheap side of its 1-year range, which favors premium-buying structures like a TSHA butterfly, with a market-implied 1-standard-deviation move of approximately 35.49% (roughly $2.42 on the underlying). The 17-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated TSHA expiries trade a higher absolute premium for lower per-day decay. Position sizing on TSHA should anchor to the underlying notional of $6.83 per share and to the trader's directional view on TSHA stock.
TSHA butterfly setup
The TSHA 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 TSHA near $6.83, the first option leg uses a $6.49 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed TSHA chain at a 17-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 TSHA shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $6.49 | N/A |
| Sell 2 | Call | $6.83 | N/A |
| Buy 1 | Call | $7.17 | N/A |
TSHA butterfly risk and reward
- Net Premium / Debit
- N/A
- Max Profit (per contract)
- Unbounded
- Max Loss (per contract)
- Unbounded
- Breakeven(s)
- None on modeled curve
- Risk / Reward Ratio
- N/A
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.
TSHA butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on TSHA. 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.
When traders use butterfly on TSHA
Butterflies on TSHA are pinning bets - traders use them when they expect TSHA 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.
TSHA thesis for this butterfly
The market-implied 1-standard-deviation range for TSHA extends from approximately $4.41 on the downside to $9.25 on the upside. A TSHA long call butterfly is a pinning play: it pays maximum at the middle strike if TSHA settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current TSHA IV rank near 18.69% 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 TSHA at 123.80%. As a Healthcare name, TSHA options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to TSHA-specific events.
TSHA 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. TSHA positions also carry Healthcare sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move TSHA alongside the broader basket even when TSHA-specific fundamentals are unchanged. Always rebuild the position from current TSHA chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on TSHA?
- A butterfly on TSHA is the butterfly strategy applied to TSHA (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 TSHA stock trading near $6.83, the strikes shown on this page are snapped to the nearest listed TSHA chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are TSHA 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 TSHA butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 123.80%), the computed maximum profit is unbounded per contract and the computed maximum loss is unbounded per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a TSHA butterfly?
- The breakeven for the TSHA butterfly priced on this page is no defined breakeven on the modeled curve 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 TSHA market-implied 1-standard-deviation expected move is approximately 35.49%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on TSHA?
- Butterflies on TSHA are pinning bets - traders use them when they expect TSHA 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 TSHA implied volatility affect this butterfly?
- TSHA ATM IV is at 123.80% with IV rank near 18.69%, 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.