With an implied vol about 80% And with an April butterfly, the prob of touching over 20.5 is about 50% while touching below 16 is about 80%.
There is a 21% chance of finishing between 16 and 20. Seems unlikely that it stays in that range the entire time until expiration.
For 1 contract
Loss for below 16 would be -$25 (price paid) max loss between 16-20 -$205, more likely loss about -100 and the max gain (over 22) would be $200 while gain at about 20.5 is $100. Initial investment is about $25.
In highly volatile environments such as now it seems more likely to have a wider range than what is predicted by the std deviation.
Just wondering if it's worth backtesting