How are WSO 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 WSO butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 35.90%), the computed maximum profit is $1,518.36 per contract and the computed maximum loss is -$345.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.

What is the breakeven for a WSO butterfly?

The breakeven for the WSO butterfly priced on this page is roughly $383.45 and $416.55 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 WSO market-implied 1-standard-deviation expected move is approximately 10.29%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.

How does current WSO implied volatility affect this butterfly?

WSO ATM IV is at 35.90% with IV rank near 35.45%, 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.

WSO Butterfly Strategy

WSO (Watsco, Inc.), in the Industrials sector, (Industrial - Distribution industry), listed on NYSE.

Watsco, Inc., together with its subsidiaries, distributes air conditioning, heating, refrigeration equipment, and related parts and supplies. The company distributes equipment comprising residential ducted and ductless air conditioners, such as gas, electric, and oil furnaces; commercial air conditioning and heating equipment systems; and other specialized equipment. It also offers parts, including replacement compressors, evaporator coils, motors, and other component parts; and supplies, such as thermostats, insulation materials, refrigerants, ductworks, grills, registers, sheet metals, tools, copper tubing, concrete pads, tapes, adhesives, and other ancillary supplies, as well as plumbing and bathroom remodeling supplies. The company serves contractors and dealers that service the replacement and new construction markets for residential and light commercial central air conditioning, heating, and refrigeration systems. As of December 31, 2021, it operated from 671 locations in the United States, Canada, Mexico, and Puerto Rico, as well as exports its products to Latin America and the Caribbean Basin. Watsco, Inc. was founded in 1945 and is headquartered in Miami, Florida.

WSO (Watsco, Inc.) trades in the Industrials sector, specifically Industrial - Distribution, with a market capitalization of approximately $16.99B, a trailing P/E of 31.99, a beta of 1.10 versus the broader market, a 52-week range of 323.05-494.94, average daily share volume of 468K, a public-listing history dating back to 1984, approximately 7K full-time employees. These structural characteristics shape how WSO stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.

A beta of 1.10 places WSO roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline. WSO pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.

What is a butterfly on WSO?

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 WSO snapshot

As of May 15, 2026, spot at $404.73, ATM IV 35.90%, IV rank 35.45%, expected move 10.29%. The butterfly on WSO 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 WSO specifically: WSO IV at 35.90% 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 10.29% (roughly $41.66 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 WSO expiries trade a higher absolute premium for lower per-day decay. Position sizing on WSO should anchor to the underlying notional of $404.73 per share and to the trader's directional view on WSO stock.

WSO butterfly setup

The WSO 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 WSO near $404.73, the first option leg uses a $380.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed WSO 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 WSO shares for the stock leg in covered calls and collars).

Action	Type	Strike / Basis	Premium (est)
Buy 1	Call	$380.00	$33.95
Sell 2	Call	$400.00	$20.65
Buy 1	Call	$420.00	$10.80

WSO butterfly risk and reward

Net Premium / Debit: -$345.00
Max Profit (per contract): $1,518.36
Max Loss (per contract): -$345.00
Breakeven(s): $383.45, $416.55
Risk / Reward Ratio: 4.401

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.

WSO butterfly payoff curve

Modeled P&L at expiration across a range of underlying prices for the butterfly on WSO. 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.

Underlying Price	% From Spot	P&L at Expiration
$0.01	-100.0%	-$345.00
$89.50	-77.9%	-$345.00
$178.98	-55.8%	-$345.00
$268.47	-33.7%	-$345.00
$357.96	-11.6%	-$345.00
$447.44	+10.6%	-$345.00
$536.93	+32.7%	-$345.00
$626.42	+54.8%	-$345.00
$715.91	+76.9%	-$345.00
$805.39	+99.0%	-$345.00

When traders use butterfly on WSO

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

WSO thesis for this butterfly

The market-implied 1-standard-deviation range for WSO extends from approximately $363.07 on the downside to $446.39 on the upside. A WSO long call butterfly is a pinning play: it pays maximum at the middle strike if WSO settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current WSO IV rank near 35.45% is mid-range against its 1-year distribution, so the IV signal is neutral; the butterfly thesis on WSO should anchor more to the directional view and the expected-move geometry. As a Industrials name, WSO options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to WSO-specific events.

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

Frequently asked questions

What is a butterfly on WSO?: A butterfly on WSO is the butterfly strategy applied to WSO (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 WSO stock trading near $404.73, the strikes shown on this page are snapped to the nearest listed WSO chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
How are WSO 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 WSO butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 35.90%), the computed maximum profit is $1,518.36 per contract and the computed maximum loss is -$345.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.
What is the breakeven for a WSO butterfly?: The breakeven for the WSO butterfly priced on this page is roughly $383.45 and $416.55 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 WSO market-implied 1-standard-deviation expected move is approximately 10.29%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
When should you consider a butterfly on WSO?: Butterflies on WSO are pinning bets - traders use them when they expect WSO 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 WSO implied volatility affect this butterfly?: WSO ATM IV is at 35.90% with IV rank near 35.45%, 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.