VANI Butterfly Strategy
VANI (Vivani Medical, Inc.), in the Healthcare sector, (Medical - Devices industry), listed on NASDAQ.
Vivani Medical, Inc., a clinical stage company, develops various implants that treat chronic diseases with high unmet medical need. It engages in developing a portfolio of miniature drug implants to deliver minimally fluctuating drug profiles; and implantable visual prostheses devices to deliver useful artificial vision to blind individuals. The company is headquartered in Emeryville, California.
VANI (Vivani Medical, Inc.) trades in the Healthcare sector, specifically Medical - Devices, with a market capitalization of approximately $68.5M, a beta of 3.37 versus the broader market, a 52-week range of 0.923-1.92, average daily share volume of 247K, a public-listing history dating back to 2014, approximately 37 full-time employees. These structural characteristics shape how VANI stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 3.37 indicates VANI 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 VANI?
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 VANI snapshot
As of May 15, 2026, spot at $1.19, ATM IV 190.80%, IV rank 35.50%, expected move 54.70%. The butterfly on VANI 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 VANI specifically: VANI IV at 190.80% 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 54.70% (roughly $0.65 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 VANI expiries trade a higher absolute premium for lower per-day decay. Position sizing on VANI should anchor to the underlying notional of $1.19 per share and to the trader's directional view on VANI stock.
VANI butterfly setup
The VANI 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 VANI near $1.19, the first option leg uses a $1.13 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed VANI 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 VANI shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $1.13 | N/A |
| Sell 2 | Call | $1.19 | N/A |
| Buy 1 | Call | $1.25 | N/A |
VANI 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.
VANI butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on VANI. 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 VANI
Butterflies on VANI are pinning bets - traders use them when they expect VANI 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.
VANI thesis for this butterfly
The market-implied 1-standard-deviation range for VANI extends from approximately $0.54 on the downside to $1.84 on the upside. A VANI long call butterfly is a pinning play: it pays maximum at the middle strike if VANI settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current VANI IV rank near 35.50% is mid-range against its 1-year distribution, so the IV signal is neutral; the butterfly thesis on VANI should anchor more to the directional view and the expected-move geometry. As a Healthcare name, VANI options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to VANI-specific events.
VANI 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. VANI positions also carry Healthcare sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move VANI alongside the broader basket even when VANI-specific fundamentals are unchanged. Always rebuild the position from current VANI chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on VANI?
- A butterfly on VANI is the butterfly strategy applied to VANI (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 VANI stock trading near $1.19, the strikes shown on this page are snapped to the nearest listed VANI chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are VANI 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 VANI butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 190.80%), 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 VANI butterfly?
- The breakeven for the VANI 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 VANI market-implied 1-standard-deviation expected move is approximately 54.70%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on VANI?
- Butterflies on VANI are pinning bets - traders use them when they expect VANI 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 VANI implied volatility affect this butterfly?
- VANI ATM IV is at 190.80% with IV rank near 35.50%, 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.