BITY Strangle Strategy
BITY (Amplify Bitcoin 2% Monthly Option Income ETF), in the Financial Services sector, (Asset Management industry), listed on CBOE.
BITY does not directly invest in Bitcoin but employs a covered call strategy on the price return of Bitcoin. The actively managed fund-of-funds targets 24% annualized option premium. A portion of the funds long exposure comprises of holding ETP shares, as well as buying call options and selling put options with maturities of less than one year. The synthetic covered call strategy via standardized exchange-traded and FLEX options consists of synthetic long exposure, covered call writing, and US Treasurys and cash. The fund writes about 5-10% out-of-the-money call options with maturities of one week or less. The amount varies based on each underlying funds NAV to meet the 24% target.
BITY (Amplify Bitcoin 2% Monthly Option Income ETF) trades in the Financial Services sector, specifically Asset Management, with a market capitalization of approximately $13.5M, a beta of 1.45 versus the broader market, a 52-week range of 23.749-59, average daily share volume of 5K, a public-listing history dating back to 2025. These structural characteristics shape how BITY etf options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 1.45 indicates BITY has historically moved more than the broader market, amplifying both the directional payoff and the realized volatility relative to an index-equivalent position. BITY pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.
What is a strangle on BITY?
A long strangle buys an OTM call and an OTM put at offset strikes, cheaper than a straddle but requiring a larger underlying move to profit since both wings start out-of-the-money.
BITY snapshot
As of September 29, 2026, spot at $28.04, ATM IV 13.80%, IV rank 0.33%, expected move 3.96%. The strangle on BITY below is built from the September 29, 2026 end-of-day chain, with strikes snapped to listed contracts and premiums pulled from the bid/ask midpoint at a 80-day expiry.
Why this strangle structure on BITY specifically: BITY IV at 13.80% is on the cheap side of its 1-year range, which favors premium-buying structures like a BITY strangle, with a market-implied 1-standard-deviation move of approximately 3.96% (roughly $1.11 on the underlying). The 80-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated BITY expiries trade a higher absolute premium for lower per-day decay. Position sizing on BITY should anchor to the underlying notional of $28.04 per share and to the trader's directional view on BITY etf.
BITY strangle setup
The BITY strangle below is built from the September 29, 2026 end-of-day chain, with each option leg priced at the bid/ask midpoint of its listed strike. With BITY at $28.04 on that close, the first option leg uses a $29.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed BITY chain at a 80-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 BITY shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $29.00 | $0.74 |
| Buy 1 | Put | $27.00 | $1.73 |
BITY strangle risk and reward
- Net Premium / Debit
- -$246.50
- Max Profit (per contract)
- Unbounded
- Max Loss (per contract)
- -$246.50
- Breakeven(s)
- $24.54, $31.47
- Risk / Reward Ratio
- Unbounded
Upside max profit is unbounded; downside max profit is bounded at the put strike minus the combined debit (reached at zero). Max loss equals the combined debit times 100 (reached anywhere between the two OTM strikes). Two breakevens at call-strike plus debit and put-strike minus debit.
BITY strangle payoff curve
Modeled P&L at expiration across a range of underlying prices for the strangle on BITY. 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.
| Underlying Price | % From Spot | P&L at Expiration |
|---|---|---|
| $0.01 | -100.0% | +$2,452.50 |
| $6.21 | -77.9% | +$1,832.63 |
| $12.41 | -55.8% | +$1,212.76 |
| $18.61 | -33.6% | +$592.89 |
| $24.80 | -11.5% | -$26.98 |
| $31.00 | +10.6% | -$46.15 |
| $37.20 | +32.7% | +$573.72 |
| $43.40 | +54.8% | +$1,193.59 |
| $49.60 | +76.9% | +$1,813.45 |
| $55.80 | +99.0% | +$2,433.32 |
When traders use strangle on BITY
Strangles on BITY are the cheaper cousin of the straddle - traders use them when they want a large directional move but are willing to give up the inner-strike sensitivity in exchange for a lower up-front debit on the BITY chain.
BITY thesis for this strangle
The market-implied 1-standard-deviation range for BITY extends from approximately $26.93 on the downside to $29.15 on the upside. A BITY long strangle is the OTM cousin of the straddle: lower up-front cost but the underlying has to travel further past either OTM strike before the position turns profitable at expiration. Current BITY IV rank near 0.33% 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 BITY at 13.80%. As a Financial Services name, BITY options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to BITY-specific events.
BITY strangle positions are structurally neutral / high-volatility (long premium, OTM); 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. BITY positions also carry Financial Services sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move BITY alongside the broader basket even when BITY-specific fundamentals are unchanged. Always rebuild the position from current BITY chain quotes before placing a trade.
Frequently asked questions
- What is a strangle on BITY?
- A strangle on BITY is the strangle strategy applied to BITY (etf). The strategy is structurally neutral / high-volatility (long premium, OTM): A long strangle buys an OTM call and an OTM put at offset strikes, cheaper than a straddle but requiring a larger underlying move to profit since both wings start out-of-the-money. With BITY etf at $28.04 on the September 29, 2026 close, the strikes shown on this page are snapped to the nearest listed BITY chain strike and the premiums come straight from that session's bid/ask midpoint.
- How are BITY strangle max profit and max loss calculated?
- Upside max profit is unbounded; downside max profit is bounded at the put strike minus the combined debit (reached at zero). Max loss equals the combined debit times 100 (reached anywhere between the two OTM strikes). Two breakevens at call-strike plus debit and put-strike minus debit. For the BITY strangle priced from the September 29, 2026 end-of-day chain at a 30-day expiry (ATM IV 13.80%), the computed maximum profit is unbounded per contract and the computed maximum loss is -$246.50 per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a BITY strangle?
- The breakeven for the BITY strangle priced on this page is roughly $24.54 and $31.47 at expiration, derived from the September 29, 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 BITY market-implied 1-standard-deviation expected move in the same options snapshot is approximately 3.96%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a strangle on BITY?
- Strangles on BITY are the cheaper cousin of the straddle - traders use them when they want a large directional move but are willing to give up the inner-strike sensitivity in exchange for a lower up-front debit on the BITY chain.
- How does current BITY implied volatility affect this strangle?
- BITY ATM IV is at 13.80% with IV rank near 0.33%, 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.