BILS Butterfly Strategy
BILS (State Street SPDR Bloomberg 3-12 Month T-Bill ETF), in the Financial Services sector, (Asset Management industry), listed on AMEX.
The State Street SPDR Bloomberg 3-12 Month T-Bill ETF seeks to provide investment results that, before fees and expenses, correspond generally to the price and yield performance of the Bloomberg 3-12 Month U.S. Treasury Bill Index (the "Index")Seeks to provide exposure to publicly issued U.S. Treasury Bills that have remaining maturities between 3 and 12 monthsShort duration fixed income is less exposed to fluctuations in interest rates than longer duration securitiesRebalanced on the last business day of the month
BILS (State Street SPDR Bloomberg 3-12 Month T-Bill ETF) trades in the Financial Services sector, specifically Asset Management, with a market capitalization of approximately $3.99B, a beta of 0.02 versus the broader market, a 52-week range of 99.08-99.52, average daily share volume of 446K, a public-listing history dating back to 2020. These structural characteristics shape how BILS etf options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 0.02 indicates BILS has historically moved less than the broader market, dampening realized volatility and producing tighter expected-move bands per unit of dollar exposure. BILS pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.
What is a butterfly on BILS?
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 BILS snapshot
As of May 15, 2026, spot at $99.31, ATM IV 4.80%, IV rank 4.17%, expected move 1.38%. The butterfly on BILS 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 BILS specifically: BILS IV at 4.80% is on the cheap side of its 1-year range, which favors premium-buying structures like a BILS butterfly, with a market-implied 1-standard-deviation move of approximately 1.38% (roughly $1.37 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 BILS expiries trade a higher absolute premium for lower per-day decay. Position sizing on BILS should anchor to the underlying notional of $99.31 per share and to the trader's directional view on BILS etf.
BILS butterfly setup
The BILS 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 BILS near $99.31, the first option leg uses a $94.34 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed BILS 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 BILS shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $94.34 | N/A |
| Sell 2 | Call | $99.31 | N/A |
| Buy 1 | Call | $104.28 | N/A |
BILS 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.
BILS butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on BILS. 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 BILS
Butterflies on BILS are pinning bets - traders use them when they expect BILS 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.
BILS thesis for this butterfly
The market-implied 1-standard-deviation range for BILS extends from approximately $97.94 on the downside to $100.68 on the upside. A BILS long call butterfly is a pinning play: it pays maximum at the middle strike if BILS settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current BILS IV rank near 4.17% 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 BILS at 4.80%. As a Financial Services name, BILS options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to BILS-specific events.
BILS 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. BILS positions also carry Financial Services sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move BILS alongside the broader basket even when BILS-specific fundamentals are unchanged. Always rebuild the position from current BILS chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on BILS?
- A butterfly on BILS is the butterfly strategy applied to BILS (etf). 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 BILS etf trading near $99.31, the strikes shown on this page are snapped to the nearest listed BILS chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are BILS 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 BILS butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 4.80%), 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 BILS butterfly?
- The breakeven for the BILS 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 BILS market-implied 1-standard-deviation expected move is approximately 1.38%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on BILS?
- Butterflies on BILS are pinning bets - traders use them when they expect BILS 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 BILS implied volatility affect this butterfly?
- BILS ATM IV is at 4.80% with IV rank near 4.17%, 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.