How are ZS 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 ZS butterfly priced from the August 14, 2026 end-of-day chain at a 30-day expiry (ATM IV 71.07%), the computed maximum profit is $746.88 per contract and the computed maximum loss is -$230.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.

What is the breakeven for a ZS butterfly?

The breakeven for the ZS butterfly priced on this page is roughly $177.30 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 ZS market-implied 1-standard-deviation expected move in the same options snapshot is approximately 20.38%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.

How does current ZS implied volatility affect this butterfly?

ZS ATM IV is at 71.07% with IV rank near 72.64%, which is elevated relative to its 1-year range. Premium-selling structures (covered call, cash-secured put, iron condor) generally look more attractive when IV rank is high; premium-buying structures (long call, long put, debit spreads) are more expensive in that regime.

ZS Butterfly Strategy

ZS (Zscaler, Inc.), in the Technology sector, (Software - Infrastructure industry), listed on NASDAQ.

Globally recognized, Zscaler, Inc. functions as a leading provider of cloud-based security solutions. Its core offerings include Zscaler Internet Access (ZIA), which ensures secure connectivity for a diverse range of entities – including users, servers, operational technology (OT), and IoT devices – when accessing external resources like software-as-a-service (SaaS) applications and general internet destinations. Complementing this, the Zscaler Private Access (ZPA) solution facilitates secure entry to internal applications residing in private or public clouds and traditional data centers. Zscaler also delivers Zscaler Digital Experience (ZDX), a tool that assesses the complete user journey across various business applications. ZDX then generates a clear, digestible digital experience score for individual users, specific applications, and different locations within an organization. Furthermore, the company's portfolio extends to advanced workload segmentation solutions.

ZS (Zscaler, Inc.) trades in the Technology sector, specifically Software - Infrastructure, with a market capitalization of approximately $29.69B, a beta of 0.92 versus the broader market, a 52-week range of 114.625-336.99, average daily share volume of 4.0M, a public-listing history dating back to 2018, approximately 8K full-time employees. These structural characteristics shape how ZS stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.

A beta of 0.92 places ZS roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline.

What is a butterfly on ZS?

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.

ZS snapshot

As of August 14, 2026, spot at $183.84, ATM IV 71.07%, IV rank 72.64%, expected move 20.38%. The butterfly on ZS 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 28-day expiry.

Why this butterfly structure on ZS specifically: ZS IV at 71.07% is rich versus its 1-year range, which makes a premium-buying ZS butterfly relatively expensive in absolute-cost terms, with a market-implied 1-standard-deviation move of approximately 20.38% (roughly $37.46 on the underlying). The 28-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated ZS expiries trade a higher absolute premium for lower per-day decay. Position sizing on ZS should anchor to the underlying notional of $183.84 per share and to the trader's directional view on ZS stock.

ZS butterfly setup

The ZS 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 ZS at $183.84 on that close, the first option leg uses a $175.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed ZS chain at a 28-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 ZS shares for the stock leg in covered calls and collars).

Action	Type	Strike / Basis	Premium (est)
Buy 1	Call	$175.00	$19.75
Sell 2	Call	$185.00	$14.38
Buy 1	Call	$192.50	$11.30

ZS butterfly risk and reward

Net Premium / Debit: -$230.00
Max Profit (per contract): $746.88
Max Loss (per contract): -$230.00
Breakeven(s): $177.30
Risk / Reward Ratio: 3.247

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.

ZS butterfly payoff curve

Modeled P&L at expiration across a range of underlying prices for the butterfly on ZS. 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%	-$230.00
$40.66	-77.9%	-$230.00
$81.30	-55.8%	-$230.00
$121.95	-33.7%	-$230.00
$162.60	-11.6%	-$230.00
$203.24	+10.6%	+$20.00
$243.89	+32.7%	+$20.00
$284.54	+54.8%	+$20.00
$325.19	+76.9%	+$20.00
$365.83	+99.0%	+$20.00

When traders use butterfly on ZS

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

ZS thesis for this butterfly

The market-implied 1-standard-deviation range for ZS extends from approximately $146.38 on the downside to $221.30 on the upside. A ZS long call butterfly is a pinning play: it pays maximum at the middle strike if ZS settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current ZS IV rank near 72.64% sits in the upper third of its 1-year distribution, which historically reverts; this raises the bar for premium-buying structures and lowers it for premium-selling structures on ZS at 71.07%. As a Technology name, ZS options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to ZS-specific events.

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

Frequently asked questions

What is a butterfly on ZS?: A butterfly on ZS is the butterfly strategy applied to ZS (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 ZS stock at $183.84 on the August 14, 2026 close, the strikes shown on this page are snapped to the nearest listed ZS chain strike and the premiums come straight from that session's bid/ask midpoint.
How are ZS 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 ZS butterfly priced from the August 14, 2026 end-of-day chain at a 30-day expiry (ATM IV 71.07%), the computed maximum profit is $746.88 per contract and the computed maximum loss is -$230.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.
What is the breakeven for a ZS butterfly?: The breakeven for the ZS butterfly priced on this page is roughly $177.30 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 ZS market-implied 1-standard-deviation expected move in the same options snapshot is approximately 20.38%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
When should you consider a butterfly on ZS?: Butterflies on ZS are pinning bets - traders use them when they expect ZS 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 ZS implied volatility affect this butterfly?: ZS ATM IV is at 71.07% with IV rank near 72.64%, which is elevated relative to its 1-year range. Premium-selling structures (covered call, cash-secured put, iron condor) generally look more attractive when IV rank is high; premium-buying structures (long call, long put, debit spreads) are more expensive in that regime.