VRNS Butterfly Strategy
VRNS (Varonis Systems, Inc.), in the Technology sector, (Software - Infrastructure industry), listed on NASDAQ.
Varonis Systems, Inc. specializes in delivering software solutions and associated services designed to help large organizations oversee, analyze, identify threats in, and protect their critical digital information across North America, Europe, the Middle East, Africa, and other international markets. Their technology safeguards sensitive data, whether stored on-premises or in cloud environments, encompassing proprietary files and communications, private customer, patient, and employee information, financial documents, strategic plans, product roadmaps, and other intellectual assets. Among their offerings, DatAdvantage meticulously tracks, consolidates, standardizes, and evaluates every instance of data access by users across a wide array of platforms, such as Windows and UNIX/Linux servers, storage systems, email platforms, internal networks, cloud applications, and data repositories. Complementing this, DatAlert establishes profiles for users, devices, and their behaviors regarding systems and data. It is engineered to detect and issue warnings about unusual activities that could signal a breach, presenting this information via an intuitive web-based control panel for investigations. The Data Classification Engine is another key component, enabling the identification and categorization of data using predefined metadata criteria, supplying actionable insights to both business and IT teams.
VRNS (Varonis Systems, Inc.) trades in the Technology sector, specifically Software - Infrastructure, with a market capitalization of approximately $4.73B, a beta of 0.87 versus the broader market, a 52-week range of 19.7-63.9, average daily share volume of 2.4M, a public-listing history dating back to 2014, approximately 2K full-time employees. These structural characteristics shape how VRNS stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 0.87 places VRNS roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline.
What is a butterfly on VRNS?
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 VRNS snapshot
As of June 30, 2026, spot at $41.67, ATM IV 50.80%, IV rank 32.69%, expected move 14.56%. The butterfly on VRNS 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 VRNS specifically: VRNS IV at 50.80% 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 14.56% (roughly $6.07 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 VRNS expiries trade a higher absolute premium for lower per-day decay. Position sizing on VRNS should anchor to the underlying notional of $41.67 per share and to the trader's directional view on VRNS stock.
VRNS butterfly setup
The VRNS 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 VRNS near $41.67, the first option leg uses a $39.59 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed VRNS 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 VRNS shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $39.59 | N/A |
| Sell 2 | Call | $41.67 | N/A |
| Buy 1 | Call | $43.75 | N/A |
VRNS 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.
VRNS butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on VRNS. 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 VRNS
Butterflies on VRNS are pinning bets - traders use them when they expect VRNS 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.
VRNS thesis for this butterfly
The market-implied 1-standard-deviation range for VRNS extends from approximately $35.60 on the downside to $47.74 on the upside. A VRNS long call butterfly is a pinning play: it pays maximum at the middle strike if VRNS settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current VRNS IV rank near 32.69% is mid-range against its 1-year distribution, so the IV signal is neutral; the butterfly thesis on VRNS should anchor more to the directional view and the expected-move geometry. As a Technology name, VRNS options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to VRNS-specific events.
VRNS 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. VRNS positions also carry Technology sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move VRNS alongside the broader basket even when VRNS-specific fundamentals are unchanged. Always rebuild the position from current VRNS chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on VRNS?
- A butterfly on VRNS is the butterfly strategy applied to VRNS (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 VRNS stock trading near $41.67, the strikes shown on this page are snapped to the nearest listed VRNS chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are VRNS 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 VRNS butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 50.80%), 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 VRNS butterfly?
- The breakeven for the VRNS 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 VRNS market-implied 1-standard-deviation expected move is approximately 14.56%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on VRNS?
- Butterflies on VRNS are pinning bets - traders use them when they expect VRNS 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 VRNS implied volatility affect this butterfly?
- VRNS ATM IV is at 50.80% with IV rank near 32.69%, 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.