BIS Butterfly Strategy
BIS (ProShares - UltraShort Nasdaq Biotechnology), in the Financial Services sector, (Asset Management industry), listed on NASDAQ.
ProShares UltraShort Nasdaq Biotechnology seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Nasdaq Biotechnology Index.
BIS (ProShares - UltraShort Nasdaq Biotechnology) trades in the Financial Services sector, specifically Asset Management, with a market capitalization of approximately $2.4M, a beta of -1.20 versus the broader market, a 52-week range of 7.95-20.81, average daily share volume of 16K, a public-listing history dating back to 2010. These structural characteristics shape how BIS etf options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of -1.20 indicates BIS has historically moved less than the broader market, dampening realized volatility and producing tighter expected-move bands per unit of dollar exposure. BIS pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.
What is a butterfly on BIS?
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 BIS snapshot
As of May 15, 2026, spot at $8.76, ATM IV 50.00%, IV rank 10.94%, expected move 14.33%. The butterfly on BIS 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 BIS specifically: BIS IV at 50.00% is on the cheap side of its 1-year range, which favors premium-buying structures like a BIS butterfly, with a market-implied 1-standard-deviation move of approximately 14.33% (roughly $1.26 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 BIS expiries trade a higher absolute premium for lower per-day decay. Position sizing on BIS should anchor to the underlying notional of $8.76 per share and to the trader's directional view on BIS etf.
BIS butterfly setup
The BIS 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 BIS near $8.76, the first option leg uses a $8.32 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed BIS 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 BIS shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $8.32 | N/A |
| Sell 2 | Call | $8.76 | N/A |
| Buy 1 | Call | $9.20 | N/A |
BIS 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.
BIS butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on BIS. 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 BIS
Butterflies on BIS are pinning bets - traders use them when they expect BIS 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.
BIS thesis for this butterfly
The market-implied 1-standard-deviation range for BIS extends from approximately $7.50 on the downside to $10.02 on the upside. A BIS long call butterfly is a pinning play: it pays maximum at the middle strike if BIS settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current BIS IV rank near 10.94% 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 BIS at 50.00%. As a Financial Services name, BIS options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to BIS-specific events.
BIS 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. BIS positions also carry Financial Services sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move BIS alongside the broader basket even when BIS-specific fundamentals are unchanged. Always rebuild the position from current BIS chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on BIS?
- A butterfly on BIS is the butterfly strategy applied to BIS (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 BIS etf trading near $8.76, the strikes shown on this page are snapped to the nearest listed BIS chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are BIS 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 BIS butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 50.00%), 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 BIS butterfly?
- The breakeven for the BIS 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 BIS market-implied 1-standard-deviation expected move is approximately 14.33%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on BIS?
- Butterflies on BIS are pinning bets - traders use them when they expect BIS 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 BIS implied volatility affect this butterfly?
- BIS ATM IV is at 50.00% with IV rank near 10.94%, 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.