How are BNDD 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 BNDD butterfly priced from the November 13, 2026 end-of-day chain at a 30-day expiry (ATM IV the current ATM IV), the computed maximum profit is $322.27 per contract and the computed maximum loss is -$130.50 per contract. Live intraday quotes will differ as the chain moves through the trading session.

What is the breakeven for a BNDD butterfly?

The breakeven for the BNDD butterfly priced on this page is roughly $93.31 and $100.70 at expiration, derived from the November 13, 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.

How does current BNDD implied volatility affect this butterfly?

Current BNDD ATM IV is the current ATM IV; IV rank context is unavailable in the current snapshot.

BNDD Butterfly Strategy

BNDD (Quadratic Deflation ETF), in the Financial Services sector, (Asset Management industry), listed on AMEX.

KraneShares Trust - Quadratic Deflation ETF is an exchange traded fund launched and managed by Krane Funds Advisors, LLC. The fund is co-managed by Quadratic Capital Management LLC. It invests directly, through derivatives and through other funds in the fixed income markets of the United States. The fund primarily invests in a mix of U.S. Treasury securities and option strategies tied to the shape of the U.S. interest rate swap curve. It seeks to invest in securities of any maturity.

BNDD (Quadratic Deflation ETF) trades in the Financial Services sector, specifically Asset Management, with a market capitalization of approximately $6.3M, a beta of 1.24 versus the broader market, a 52-week range of 93.76-102.01, average daily share volume of 20K, a public-listing history dating back to 2021. These structural characteristics shape how BNDD etf options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.

A beta of 1.24 places BNDD roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline. BNDD pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.

What is a butterfly on BNDD?

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.

BNDD snapshot

As of November 13, 2026, spot at $96.98. The butterfly on BNDD below is built from the November 13, 2026 end-of-day chain, with strikes snapped to listed contracts and premiums pulled from the bid/ask midpoint at a 35-day expiry.

Why this butterfly structure on BNDD specifically: IV rank is unavailable in the current snapshot, so regime-based timing for BNDD is inferred from ATM IV alone. The 35-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated BNDD expiries trade a higher absolute premium for lower per-day decay. Position sizing on BNDD should anchor to the underlying notional of $96.98 per share and to the trader's directional view on BNDD etf.

BNDD butterfly setup

The BNDD butterfly below is built from the November 13, 2026 end-of-day chain, with each option leg priced at the bid/ask midpoint of its listed strike. With BNDD at $96.98 on that close, the first option leg uses a $92.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed BNDD chain at a 35-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 BNDD shares for the stock leg in covered calls and collars).

Action	Type	Strike / Basis	Premium (est)
Buy 1	Call	$92.00	$5.08
Sell 2	Call	$97.00	$2.19
Buy 1	Call	$102.00	$0.61

BNDD butterfly risk and reward

Net Premium / Debit: -$130.50
Max Profit (per contract): $322.27
Max Loss (per contract): -$130.50
Breakeven(s): $93.31, $100.70
Risk / Reward Ratio: 2.469

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.

BNDD butterfly payoff curve

Modeled P&L at expiration across a range of underlying prices for the butterfly on BNDD. 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%	-$130.50
$21.45	-77.9%	-$130.50
$42.89	-55.8%	-$130.50
$64.34	-33.7%	-$130.50
$85.78	-11.6%	-$130.50
$107.22	+10.6%	-$130.50
$128.66	+32.7%	-$130.50
$150.10	+54.8%	-$130.50
$171.54	+76.9%	-$130.50
$192.99	+99.0%	-$130.50

When traders use butterfly on BNDD

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

BNDD thesis for this butterfly

A BNDD long call butterfly is a pinning play: it pays maximum at the middle strike if BNDD settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. As a Financial Services name, BNDD options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to BNDD-specific events.

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

Frequently asked questions

What is a butterfly on BNDD?: A butterfly on BNDD is the butterfly strategy applied to BNDD (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 BNDD etf at $96.98 on the November 13, 2026 close, the strikes shown on this page are snapped to the nearest listed BNDD chain strike and the premiums come straight from that session's bid/ask midpoint.
How are BNDD 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 BNDD butterfly priced from the November 13, 2026 end-of-day chain at a 30-day expiry (ATM IV the current ATM IV), the computed maximum profit is $322.27 per contract and the computed maximum loss is -$130.50 per contract. Live intraday quotes will differ as the chain moves through the trading session.
What is the breakeven for a BNDD butterfly?: The breakeven for the BNDD butterfly priced on this page is roughly $93.31 and $100.70 at expiration, derived from the November 13, 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.
When should you consider a butterfly on BNDD?: Butterflies on BNDD are pinning bets - traders use them when they expect BNDD 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 BNDD implied volatility affect this butterfly?: Current BNDD ATM IV is the current ATM IV; IV rank context is unavailable in the current snapshot.