BTCI Butterfly Strategy
BTCI (NEOS Bitcoin High Income ETF), in the Financial Services sector, (Asset Management - Cryptocurrency industry), listed on CBOE.
The NEOS Bitcoin High Income ETF (the “Fund”) seeks to generate high monthly income with the potential for appreciation based on exposure to exchange-traded products (“ETP”) that have direct exposure to Bitcoin.
BTCI (NEOS Bitcoin High Income ETF) trades in the Financial Services sector, specifically Asset Management - Cryptocurrency, with a market capitalization of approximately $596.1M, a beta of 1.42 versus the broader market, a 52-week range of 30.89-65.97, average daily share volume of 600K, a public-listing history dating back to 2024. These structural characteristics shape how BTCI etf options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 1.42 indicates BTCI has historically moved more than the broader market, amplifying both the directional payoff and the realized volatility relative to an index-equivalent position. BTCI pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.
What is a butterfly on BTCI?
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 BTCI snapshot
As of May 15, 2026, spot at $36.99, ATM IV 27.40%, IV rank 15.88%, expected move 7.86%. The butterfly on BTCI 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 BTCI specifically: BTCI IV at 27.40% is on the cheap side of its 1-year range, which favors premium-buying structures like a BTCI butterfly, with a market-implied 1-standard-deviation move of approximately 7.86% (roughly $2.91 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 BTCI expiries trade a higher absolute premium for lower per-day decay. Position sizing on BTCI should anchor to the underlying notional of $36.99 per share and to the trader's directional view on BTCI etf.
BTCI butterfly setup
The BTCI 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 BTCI near $36.99, the first option leg uses a $35.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed BTCI 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 BTCI shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $35.00 | $2.10 |
| Sell 2 | Call | $37.00 | $1.13 |
| Buy 1 | Call | $39.00 | $0.18 |
BTCI butterfly risk and reward
- Net Premium / Debit
- -$2.50
- Max Profit (per contract)
- $179.41
- Max Loss (per contract)
- -$2.50
- Breakeven(s)
- $34.98, $39.01
- Risk / Reward Ratio
- 71.766
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.
BTCI butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on BTCI. 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% | -$2.50 |
| $8.19 | -77.9% | -$2.50 |
| $16.37 | -55.8% | -$2.50 |
| $24.54 | -33.7% | -$2.50 |
| $32.72 | -11.5% | -$2.50 |
| $40.90 | +10.6% | -$2.50 |
| $49.08 | +32.7% | -$2.50 |
| $57.25 | +54.8% | -$2.50 |
| $65.43 | +76.9% | -$2.50 |
| $73.61 | +99.0% | -$2.50 |
When traders use butterfly on BTCI
Butterflies on BTCI are pinning bets - traders use them when they expect BTCI 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.
BTCI thesis for this butterfly
The market-implied 1-standard-deviation range for BTCI extends from approximately $34.08 on the downside to $39.90 on the upside. A BTCI long call butterfly is a pinning play: it pays maximum at the middle strike if BTCI settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current BTCI IV rank near 15.88% 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 BTCI at 27.40%. As a Financial Services name, BTCI options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to BTCI-specific events.
BTCI 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. BTCI positions also carry Financial Services sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move BTCI alongside the broader basket even when BTCI-specific fundamentals are unchanged. Always rebuild the position from current BTCI chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on BTCI?
- A butterfly on BTCI is the butterfly strategy applied to BTCI (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 BTCI etf trading near $36.99, the strikes shown on this page are snapped to the nearest listed BTCI chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are BTCI 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 BTCI butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 27.40%), the computed maximum profit is $179.41 per contract and the computed maximum loss is -$2.50 per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a BTCI butterfly?
- The breakeven for the BTCI butterfly priced on this page is roughly $34.98 and $39.01 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 BTCI market-implied 1-standard-deviation expected move is approximately 7.86%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on BTCI?
- Butterflies on BTCI are pinning bets - traders use them when they expect BTCI 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 BTCI implied volatility affect this butterfly?
- BTCI ATM IV is at 27.40% with IV rank near 15.88%, 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.