BNDD Butterfly Strategy
BNDD (Quadratic Deflation ETF), in the Financial Services sector, (Asset Management industry), listed on AMEX.
It invests in Treasuries of various maturities directly or through other ETFs that invest in Treasuries. The fund is non-diversified.
BNDD (Quadratic Deflation ETF) trades in the Financial Services sector, specifically Asset Management, with a market capitalization of approximately $7.3M, a beta of 1.18 versus the broader market, a 52-week range of 94.64-102.28, average daily share volume of 0K, 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 1.18 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.
Current BNDD snapshot
As of May 15, 2026, spot at $106.58, ATM IV 74.50%, IV rank 13.65%, expected move 21.36%. The butterfly on BNDD 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 BNDD specifically: BNDD IV at 74.50% is on the cheap side of its 1-year range, which favors premium-buying structures like a BNDD butterfly, with a market-implied 1-standard-deviation move of approximately 21.36% (roughly $22.76 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 BNDD expiries trade a higher absolute premium for lower per-day decay. Position sizing on BNDD should anchor to the underlying notional of $106.58 per share and to the trader's directional view on BNDD etf.
BNDD butterfly setup
The BNDD 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 BNDD near $106.58, the first option leg uses a $101.00 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 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 BNDD shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $101.00 | $2.15 |
| Sell 2 | Call | $107.00 | $0.75 |
| Buy 1 | Call | $109.00 | $0.75 |
BNDD butterfly risk and reward
- Net Premium / Debit
- -$140.00
- Max Profit (per contract)
- $447.94
- Max Loss (per contract)
- -$140.00
- Breakeven(s)
- $102.40
- Risk / Reward Ratio
- 3.200
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.
| Underlying Price | % From Spot | P&L at Expiration |
|---|---|---|
| $0.01 | -100.0% | -$140.00 |
| $23.57 | -77.9% | -$140.00 |
| $47.14 | -55.8% | -$140.00 |
| $70.70 | -33.7% | -$140.00 |
| $94.27 | -11.6% | -$140.00 |
| $117.83 | +10.6% | +$260.00 |
| $141.40 | +32.7% | +$260.00 |
| $164.96 | +54.8% | +$260.00 |
| $188.52 | +76.9% | +$260.00 |
| $212.09 | +99.0% | +$260.00 |
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
The market-implied 1-standard-deviation range for BNDD extends from approximately $83.82 on the downside to $129.34 on the upside. 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. Current BNDD IV rank near 13.65% 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 BNDD at 74.50%. 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 trading near $106.58, the strikes shown on this page are snapped to the nearest listed BNDD chain strike and the premiums come straight from the end-of-day 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 end-of-day chain at a 30-day expiry (ATM IV 74.50%), the computed maximum profit is $447.94 per contract and the computed maximum loss is -$140.00 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 $102.40 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 BNDD market-implied 1-standard-deviation expected move is approximately 21.36%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- 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?
- BNDD ATM IV is at 74.50% with IV rank near 13.65%, 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.