BNO Butterfly Strategy
BNO (United States Brent Oil Fund LP), in the Financial Services sector, (Asset Management industry), listed on AMEX.
The fund's primary benchmark is a specific Brent crude oil futures contract traded on the Ice Futures Europe Exchange. This typically refers to the contract closest to its expiry date. However, if this front-month contract is fewer than two weeks away from expiration, the fund will instead reference the futures contract scheduled to expire in the subsequent month.
BNO (United States Brent Oil Fund LP) trades in the Financial Services sector, specifically Asset Management, with a market capitalization of approximately $154.1M, a beta of 2.11 versus the broader market, a 52-week range of 27.14-60.81, average daily share volume of 4.5M, a public-listing history dating back to 2010. These structural characteristics shape how BNO etf options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 2.11 indicates BNO has historically moved more than the broader market, amplifying both the directional payoff and the realized volatility relative to an index-equivalent position.
What is a butterfly on BNO?
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 BNO snapshot
As of June 29, 2026, spot at $40.79, ATM IV 50.24%, IV rank 26.62%, expected move 14.40%. The butterfly on BNO 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 32-day expiry.
Why this butterfly structure on BNO specifically: BNO IV at 50.24% is on the cheap side of its 1-year range, which favors premium-buying structures like a BNO butterfly, with a market-implied 1-standard-deviation move of approximately 14.40% (roughly $5.87 on the underlying). The 32-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated BNO expiries trade a higher absolute premium for lower per-day decay. Position sizing on BNO should anchor to the underlying notional of $40.79 per share and to the trader's directional view on BNO etf.
BNO butterfly setup
The BNO 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 BNO near $40.79, the first option leg uses a $39.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed BNO chain at a 32-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 BNO shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $39.00 | $3.40 |
| Sell 2 | Call | $41.00 | $2.13 |
| Buy 1 | Call | $43.00 | $1.65 |
BNO butterfly risk and reward
- Net Premium / Debit
- -$80.00
- Max Profit (per contract)
- $119.99
- Max Loss (per contract)
- -$80.00
- Breakeven(s)
- $39.80, $42.20
- Risk / Reward Ratio
- 1.500
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.
BNO butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on BNO. 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% | -$80.00 |
| $9.03 | -77.9% | -$80.00 |
| $18.05 | -55.8% | -$80.00 |
| $27.06 | -33.7% | -$80.00 |
| $36.08 | -11.5% | -$80.00 |
| $45.10 | +10.6% | -$80.00 |
| $54.12 | +32.7% | -$80.00 |
| $63.13 | +54.8% | -$80.00 |
| $72.15 | +76.9% | -$80.00 |
| $81.17 | +99.0% | -$80.00 |
When traders use butterfly on BNO
Butterflies on BNO are pinning bets - traders use them when they expect BNO 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.
BNO thesis for this butterfly
The market-implied 1-standard-deviation range for BNO extends from approximately $34.92 on the downside to $46.66 on the upside. A BNO long call butterfly is a pinning play: it pays maximum at the middle strike if BNO settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current BNO IV rank near 26.62% 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 BNO at 50.24%. As a Financial Services name, BNO options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to BNO-specific events.
BNO 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. BNO positions also carry Financial Services sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move BNO alongside the broader basket even when BNO-specific fundamentals are unchanged. Always rebuild the position from current BNO chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on BNO?
- A butterfly on BNO is the butterfly strategy applied to BNO (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 BNO etf trading near $40.79, the strikes shown on this page are snapped to the nearest listed BNO chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are BNO 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 BNO butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 50.24%), the computed maximum profit is $119.99 per contract and the computed maximum loss is -$80.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a BNO butterfly?
- The breakeven for the BNO butterfly priced on this page is roughly $39.80 and $42.20 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 BNO market-implied 1-standard-deviation expected move is approximately 14.40%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on BNO?
- Butterflies on BNO are pinning bets - traders use them when they expect BNO 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 BNO implied volatility affect this butterfly?
- BNO ATM IV is at 50.24% with IV rank near 26.62%, 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.