How are USB 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 USB butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 26.92%), the computed maximum profit is $213.88 per contract and the computed maximum loss is -$69.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.

What is the breakeven for a USB butterfly?

The breakeven for the USB butterfly priced on this page is roughly $57.69 and $62.31 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 USB market-implied 1-standard-deviation expected move is approximately 7.72%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.

How does current USB implied volatility affect this butterfly?

USB ATM IV is at 26.92% with IV rank near 41.55%, 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.

USB Butterfly Strategy

USB (U.S. Bancorp), in the Financial Services sector, (Banks - Diversified industry), listed on NYSE.

U.S. Bancorp (USB) functions as a broad-based financial services holding company, delivering a comprehensive spectrum of banking and financial solutions throughout the United States. Its diverse customer base includes individual consumers, various businesses, institutional organizations, governmental bodies, and other financial entities. The company organizes its operations across key segments: Corporate and Commercial Banking, Consumer and Business Banking, Wealth Management and Investment Services, Payment Services, and Treasury and Corporate Support. Its offerings encompass fundamental depository services such as checking accounts, savings accounts, and time certificates. U.S.

USB (U.S. Bancorp) trades in the Financial Services sector, specifically Banks - Diversified, with a market capitalization of approximately $94.55B, a trailing P/E of 12.12, a beta of 1.00 versus the broader market, a 52-week range of 43.46-61.88, average daily share volume of 9.2M, a public-listing history dating back to 1973, approximately 70K full-time employees. These structural characteristics shape how USB stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.

A beta of 1.00 places USB roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline. USB pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.

What is a butterfly on USB?

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 USB snapshot

As of June 30, 2026, spot at $60.47, ATM IV 26.92%, IV rank 41.55%, expected move 7.72%. The butterfly on USB 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 USB specifically: USB IV at 26.92% 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 7.72% (roughly $4.67 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 USB expiries trade a higher absolute premium for lower per-day decay. Position sizing on USB should anchor to the underlying notional of $60.47 per share and to the trader's directional view on USB stock.

USB butterfly setup

The USB 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 USB near $60.47, the first option leg uses a $57.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed USB 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 USB shares for the stock leg in covered calls and collars).

Action	Type	Strike / Basis	Premium (est)
Buy 1	Call	$57.00	$4.45
Sell 2	Call	$60.00	$2.39
Buy 1	Call	$63.00	$1.01

USB butterfly risk and reward

Net Premium / Debit: -$69.00
Max Profit (per contract): $213.88
Max Loss (per contract): -$69.00
Breakeven(s): $57.69, $62.31
Risk / Reward Ratio: 3.100

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.

USB butterfly payoff curve

Modeled P&L at expiration across a range of underlying prices for the butterfly on USB. 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%	-$69.00
$13.38	-77.9%	-$69.00
$26.75	-55.8%	-$69.00
$40.12	-33.7%	-$69.00
$53.49	-11.5%	-$69.00
$66.86	+10.6%	-$69.00
$80.22	+32.7%	-$69.00
$93.59	+54.8%	-$69.00
$106.96	+76.9%	-$69.00
$120.33	+99.0%	-$69.00

When traders use butterfly on USB

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

USB thesis for this butterfly

The market-implied 1-standard-deviation range for USB extends from approximately $55.80 on the downside to $65.14 on the upside. A USB long call butterfly is a pinning play: it pays maximum at the middle strike if USB settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current USB IV rank near 41.55% is mid-range against its 1-year distribution, so the IV signal is neutral; the butterfly thesis on USB should anchor more to the directional view and the expected-move geometry. As a Financial Services name, USB options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to USB-specific events.

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

Frequently asked questions

What is a butterfly on USB?: A butterfly on USB is the butterfly strategy applied to USB (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 USB stock trading near $60.47, the strikes shown on this page are snapped to the nearest listed USB chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
How are USB 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 USB butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 26.92%), the computed maximum profit is $213.88 per contract and the computed maximum loss is -$69.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.
What is the breakeven for a USB butterfly?: The breakeven for the USB butterfly priced on this page is roughly $57.69 and $62.31 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 USB market-implied 1-standard-deviation expected move is approximately 7.72%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
When should you consider a butterfly on USB?: Butterflies on USB are pinning bets - traders use them when they expect USB 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 USB implied volatility affect this butterfly?: USB ATM IV is at 26.92% with IV rank near 41.55%, 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.