VOR Butterfly Strategy
VOR (Vor Biopharma Inc.), in the Healthcare sector, (Biotechnology industry), listed on NASDAQ.
Vor Biopharma, Inc., a clinical-stage company, develops engineered hematopoietic stem cell (eHSC) therapies for cancer patients. It is developing VOR33, an eHSC product candidate that is in phase 1/2 to treat acute myeloid leukemia (AML) and other hematological malignancies. The company's VOR33 eHSCs lacks CD33, a protein that is expressed by AML blood cancer cells. The company's eHSCs targeted therapies, such as CAR-Ts, bispecific antibodies, and antibody-drug conjugates provide treatment for blood cancers. Vor Biopharma, Inc. has a collaboration agreement with Akron BioProducts to develop and manufacture cGMP nucleases. The company was incorporated in 2015 and is headquartered in Cambridge, Massachusetts.
VOR (Vor Biopharma Inc.) trades in the Healthcare sector, specifically Biotechnology, with a market capitalization of approximately $109.0M, a beta of 1.75 versus the broader market, a 52-week range of 3.2-65.8, average daily share volume of 1.0M, a public-listing history dating back to 2021, approximately 159 full-time employees. These structural characteristics shape how VOR stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 1.75 indicates VOR 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 VOR?
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 VOR snapshot
As of May 15, 2026, spot at $14.84, ATM IV 113.50%, IV rank 17.26%, expected move 32.54%. The butterfly on VOR 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 245-day expiry.
Why this butterfly structure on VOR specifically: VOR IV at 113.50% is on the cheap side of its 1-year range, which favors premium-buying structures like a VOR butterfly, with a market-implied 1-standard-deviation move of approximately 32.54% (roughly $4.83 on the underlying). The 245-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated VOR expiries trade a higher absolute premium for lower per-day decay. Position sizing on VOR should anchor to the underlying notional of $14.84 per share and to the trader's directional view on VOR stock.
VOR butterfly setup
The VOR 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 VOR near $14.84, the first option leg uses a $14.10 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed VOR chain at a 245-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 VOR shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $14.10 | N/A |
| Sell 2 | Call | $14.84 | N/A |
| Buy 1 | Call | $15.58 | N/A |
VOR 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.
VOR butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on VOR. 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 VOR
Butterflies on VOR are pinning bets - traders use them when they expect VOR 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.
VOR thesis for this butterfly
The market-implied 1-standard-deviation range for VOR extends from approximately $10.01 on the downside to $19.67 on the upside. A VOR long call butterfly is a pinning play: it pays maximum at the middle strike if VOR settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current VOR IV rank near 17.26% 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 VOR at 113.50%. As a Healthcare name, VOR options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to VOR-specific events.
VOR 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. VOR positions also carry Healthcare sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move VOR alongside the broader basket even when VOR-specific fundamentals are unchanged. Always rebuild the position from current VOR chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on VOR?
- A butterfly on VOR is the butterfly strategy applied to VOR (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 VOR stock trading near $14.84, the strikes shown on this page are snapped to the nearest listed VOR chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are VOR 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 VOR butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 113.50%), 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 VOR butterfly?
- The breakeven for the VOR 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 VOR market-implied 1-standard-deviation expected move is approximately 32.54%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on VOR?
- Butterflies on VOR are pinning bets - traders use them when they expect VOR 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 VOR implied volatility affect this butterfly?
- VOR ATM IV is at 113.50% with IV rank near 17.26%, 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.