VREX Butterfly Strategy
VREX (Varex Imaging Corporation), in the Healthcare sector, (Medical - Devices industry), listed on NASDAQ.
Varex Imaging Corporation designs and manufactures X-ray imaging components. The company operates in two segments, Medical and Industrial. The Medical segment designs, manufactures, sells, and services X-ray imaging components comprising X-ray tubes, digital detectors, high voltage connectors, image-processing software and workstations, 3D reconstruction and computer-aided diagnostic software, collimators, automatic exposure control devices, generators, heat exchangers, ionization chambers, and buckys. This segment's products are used in a range of applications, including radiographic and fluoroscopic imaging, mammography, computed tomography, radiation therapy, oncology, CT, cardiac, surgery, dental, computer-aided detection, and other diagnostic radiography uses. The Industrial segment designs, manufactures, sells, and services Linatron X-ray accelerators, X-ray tubes, digital detectors, and high voltage connectors for use in security and industrial inspection applications, such as airport security, cargo screening at ports and borders, and nondestructive testing and examination in various applications. Varex Imaging Corporation sells its products through imaging system original equipment manufacturers, independent service companies, and distributors, as well as directly to end-users.
VREX (Varex Imaging Corporation) trades in the Healthcare sector, specifically Medical - Devices, with a market capitalization of approximately $423.9M, a beta of 0.96 versus the broader market, a 52-week range of 6.76-14.565, average daily share volume of 320K, a public-listing history dating back to 2017, approximately 2K full-time employees. These structural characteristics shape how VREX stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 0.96 places VREX roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline.
What is a butterfly on VREX?
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 VREX snapshot
As of May 15, 2026, spot at $9.75, ATM IV 75.20%, IV rank 16.59%, expected move 21.56%. The butterfly on VREX 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 VREX specifically: VREX IV at 75.20% is on the cheap side of its 1-year range, which favors premium-buying structures like a VREX butterfly, with a market-implied 1-standard-deviation move of approximately 21.56% (roughly $2.10 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 VREX expiries trade a higher absolute premium for lower per-day decay. Position sizing on VREX should anchor to the underlying notional of $9.75 per share and to the trader's directional view on VREX stock.
VREX butterfly setup
The VREX 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 VREX near $9.75, the first option leg uses a $9.26 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed VREX 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 VREX shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $9.26 | N/A |
| Sell 2 | Call | $9.75 | N/A |
| Buy 1 | Call | $10.24 | N/A |
VREX 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.
VREX butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on VREX. 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 VREX
Butterflies on VREX are pinning bets - traders use them when they expect VREX 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.
VREX thesis for this butterfly
The market-implied 1-standard-deviation range for VREX extends from approximately $7.65 on the downside to $11.85 on the upside. A VREX long call butterfly is a pinning play: it pays maximum at the middle strike if VREX settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current VREX IV rank near 16.59% 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 VREX at 75.20%. As a Healthcare name, VREX options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to VREX-specific events.
VREX 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. VREX positions also carry Healthcare sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move VREX alongside the broader basket even when VREX-specific fundamentals are unchanged. Always rebuild the position from current VREX chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on VREX?
- A butterfly on VREX is the butterfly strategy applied to VREX (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 VREX stock trading near $9.75, the strikes shown on this page are snapped to the nearest listed VREX chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are VREX 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 VREX butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 75.20%), 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 VREX butterfly?
- The breakeven for the VREX 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 VREX market-implied 1-standard-deviation expected move is approximately 21.56%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on VREX?
- Butterflies on VREX are pinning bets - traders use them when they expect VREX 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 VREX implied volatility affect this butterfly?
- VREX ATM IV is at 75.20% with IV rank near 16.59%, 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.