CHAU Butterfly Strategy
CHAU (Direxion Daily CSI 300 China A Share Bull 2X Shares), in the Financial Services sector, (Asset Management industry), listed on AMEX.
The index is a modified free-float market capitalization weighted index comprised of the largest and most liquid stocks in the Chinese A-share market. The fund, under normal circumstances, invests at least 80% of its net assets in financial instruments, such as swap agreements, securities of the index, and ETFs that track the index, that, in combination, provide 2X daily leveraged exposure to the index, consistent with the fund's investment objective. It is non-diversified.
CHAU (Direxion Daily CSI 300 China A Share Bull 2X Shares) trades in the Financial Services sector, specifically Asset Management, with a market capitalization of approximately $194.4M, a beta of 0.88 versus the broader market, a 52-week range of 14.68-26.1, average daily share volume of 122K, a public-listing history dating back to 2015. These structural characteristics shape how CHAU etf options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 0.88 places CHAU roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline. CHAU pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.
What is a butterfly on CHAU?
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 CHAU snapshot
As of June 30, 2026, spot at $24.96, ATM IV 53.70%, IV rank 76.22%, expected move 15.40%. The butterfly on CHAU 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 17-day expiry.
Why this butterfly structure on CHAU specifically: CHAU IV at 53.70% is rich versus its 1-year range, which makes a premium-buying CHAU butterfly relatively expensive in absolute-cost terms, with a market-implied 1-standard-deviation move of approximately 15.40% (roughly $3.84 on the underlying). The 17-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated CHAU expiries trade a higher absolute premium for lower per-day decay. Position sizing on CHAU should anchor to the underlying notional of $24.96 per share and to the trader's directional view on CHAU etf.
CHAU butterfly setup
The CHAU 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 CHAU near $24.96, the first option leg uses a $24.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed CHAU chain at a 17-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 CHAU shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $24.00 | $1.68 |
| Sell 2 | Call | $25.00 | $1.08 |
| Buy 1 | Call | $26.00 | $0.70 |
CHAU butterfly risk and reward
- Net Premium / Debit
- -$22.50
- Max Profit (per contract)
- $68.46
- Max Loss (per contract)
- -$22.50
- Breakeven(s)
- $24.23, $25.78
- Risk / Reward Ratio
- 3.043
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.
CHAU butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on CHAU. 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% | -$22.50 |
| $5.53 | -77.9% | -$22.50 |
| $11.05 | -55.7% | -$22.50 |
| $16.56 | -33.6% | -$22.50 |
| $22.08 | -11.5% | -$22.50 |
| $27.60 | +10.6% | -$22.50 |
| $33.12 | +32.7% | -$22.50 |
| $38.63 | +54.8% | -$22.50 |
| $44.15 | +76.9% | -$22.50 |
| $49.67 | +99.0% | -$22.50 |
When traders use butterfly on CHAU
Butterflies on CHAU are pinning bets - traders use them when they expect CHAU 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.
CHAU thesis for this butterfly
The market-implied 1-standard-deviation range for CHAU extends from approximately $21.12 on the downside to $28.80 on the upside. A CHAU long call butterfly is a pinning play: it pays maximum at the middle strike if CHAU settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current CHAU IV rank near 76.22% sits in the upper third of its 1-year distribution, which historically reverts; this raises the bar for premium-buying structures and lowers it for premium-selling structures on CHAU at 53.70%. As a Financial Services name, CHAU options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to CHAU-specific events.
CHAU 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. CHAU positions also carry Financial Services sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move CHAU alongside the broader basket even when CHAU-specific fundamentals are unchanged. Always rebuild the position from current CHAU chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on CHAU?
- A butterfly on CHAU is the butterfly strategy applied to CHAU (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 CHAU etf trading near $24.96, the strikes shown on this page are snapped to the nearest listed CHAU chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are CHAU 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 CHAU butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 53.70%), the computed maximum profit is $68.46 per contract and the computed maximum loss is -$22.50 per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a CHAU butterfly?
- The breakeven for the CHAU butterfly priced on this page is roughly $24.23 and $25.78 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 CHAU market-implied 1-standard-deviation expected move is approximately 15.40%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on CHAU?
- Butterflies on CHAU are pinning bets - traders use them when they expect CHAU 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 CHAU implied volatility affect this butterfly?
- CHAU ATM IV is at 53.70% with IV rank near 76.22%, which is elevated relative to its 1-year range. Premium-selling structures (covered call, cash-secured put, iron condor) generally look more attractive when IV rank is high; premium-buying structures (long call, long put, debit spreads) are more expensive in that regime.