How are WTW 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 WTW butterfly priced from the August 14, 2026 end-of-day chain at a 30-day expiry (ATM IV 23.10%), the computed maximum profit is $970.15 per contract and the computed maximum loss is -$932.50 per contract. Live intraday quotes will differ as the chain moves through the trading session.

What is the breakeven for a WTW butterfly?

The breakeven for the WTW butterfly priced on this page is roughly $340.68 at expiration, derived from the August 14, 2026 end-of-day chain's premiums. Breakeven is the underlying price at which the strategy's P&L crosses zero ignoring transaction costs and assignment risk. The WTW market-implied 1-standard-deviation expected move in the same options snapshot is approximately 6.62%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.

How does current WTW implied volatility affect this butterfly?

WTW ATM IV is at 23.10% with IV rank near 25.61%, 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.

WTW Butterfly Strategy

WTW (Willis Towers Watson Public Limited Company), in the Financial Services sector, (Insurance - Brokers industry), listed on NASDAQ.

Willis Towers Watson Public Limited Company (WTW) functions as a global provider of comprehensive consulting, brokerage, and solutions services. Its operations are structured across two primary divisions: Health, Wealth and Career, and Risk and Broking. Within the Health, Wealth and Career segment, WTW furnishes actuarial guidance, plan development, and administrative assistance for conventional pension and retirement savings schemes. It also delivers consulting, brokerage, and management services for health and group employee benefit programs, along with outsourced benefits administration. Furthermore, the company offers strategic counsel, analytical data, specialized software, and various products designed to help clients effectively manage their overall compensation and human capital challenges. The Risk and Broking division extends expertise in risk management, insurance placement, and advisory services, covering sectors such as property and casualty, aerospace, construction, and marine.

WTW (Willis Towers Watson Public Limited Company) trades in the Financial Services sector, specifically Insurance - Brokers, with a market capitalization of approximately $31.60B, a trailing P/E of 20.44, a beta of 0.42 versus the broader market, a 52-week range of 240.61-352.79, average daily share volume of 705K, a public-listing history dating back to 2001, approximately 48K full-time employees. These structural characteristics shape how WTW stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.

A beta of 0.42 indicates WTW has historically moved less than the broader market, dampening realized volatility and producing tighter expected-move bands per unit of dollar exposure. WTW pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.

What is a butterfly on WTW?

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.

WTW snapshot

As of August 14, 2026, spot at $332.64, ATM IV 23.10%, IV rank 25.61%, expected move 6.62%. The butterfly on WTW below is built from the August 14, 2026 end-of-day chain, with strikes snapped to listed contracts and premiums pulled from the bid/ask midpoint at a 35-day expiry.

Why this butterfly structure on WTW specifically: WTW IV at 23.10% is on the cheap side of its 1-year range, which favors premium-buying structures like a WTW butterfly, with a market-implied 1-standard-deviation move of approximately 6.62% (roughly $22.03 on the underlying). The 35-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated WTW expiries trade a higher absolute premium for lower per-day decay. Position sizing on WTW should anchor to the underlying notional of $332.64 per share and to the trader's directional view on WTW stock.

WTW butterfly setup

The WTW butterfly below is built from the August 14, 2026 end-of-day chain, with each option leg priced at the bid/ask midpoint of its listed strike. With WTW at $332.64 on that close, the first option leg uses a $320.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed WTW chain at a 35-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 WTW shares for the stock leg in covered calls and collars).

Action	Type	Strike / Basis	Premium (est)
Buy 1	Call	$320.00	$17.95
Sell 2	Call	$330.00	$11.05
Buy 1	Call	$350.00	$3.48

WTW butterfly risk and reward

Net Premium / Debit: +$67.50
Max Profit (per contract): $970.15
Max Loss (per contract): -$932.50
Breakeven(s): $340.68
Risk / Reward Ratio: 1.040

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.

WTW butterfly payoff curve

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

P&L at expiration across the modeled underlying-price range. Green shading marks profitable regions, red shading marks loss regions. Dotted purple verticals mark breakevens; the solid dark vertical marks current spot.

Underlying Price	% From Spot	P&L at Expiration
$0.01	-100.0%	+$67.50
$73.56	-77.9%	+$67.50
$147.10	-55.8%	+$67.50
$220.65	-33.7%	+$67.50
$294.20	-11.6%	+$67.50
$367.75	+10.6%	-$932.50
$441.29	+32.7%	-$932.50
$514.84	+54.8%	-$932.50
$588.39	+76.9%	-$932.50
$661.94	+99.0%	-$932.50

When traders use butterfly on WTW

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

WTW thesis for this butterfly

The market-implied 1-standard-deviation range for WTW extends from approximately $310.61 on the downside to $354.67 on the upside. A WTW long call butterfly is a pinning play: it pays maximum at the middle strike if WTW settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current WTW IV rank near 25.61% 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 WTW at 23.10%. As a Financial Services name, WTW options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to WTW-specific events.

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

Frequently asked questions

What is a butterfly on WTW?: A butterfly on WTW is the butterfly strategy applied to WTW (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 WTW stock at $332.64 on the August 14, 2026 close, the strikes shown on this page are snapped to the nearest listed WTW chain strike and the premiums come straight from that session's bid/ask midpoint.
How are WTW 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 WTW butterfly priced from the August 14, 2026 end-of-day chain at a 30-day expiry (ATM IV 23.10%), the computed maximum profit is $970.15 per contract and the computed maximum loss is -$932.50 per contract. Live intraday quotes will differ as the chain moves through the trading session.
What is the breakeven for a WTW butterfly?: The breakeven for the WTW butterfly priced on this page is roughly $340.68 at expiration, derived from the August 14, 2026 end-of-day chain's premiums. Breakeven is the underlying price at which the strategy's P&L crosses zero ignoring transaction costs and assignment risk. The WTW market-implied 1-standard-deviation expected move in the same options snapshot is approximately 6.62%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
When should you consider a butterfly on WTW?: Butterflies on WTW are pinning bets - traders use them when they expect WTW 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 WTW implied volatility affect this butterfly?: WTW ATM IV is at 23.10% with IV rank near 25.61%, 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.