COLO Butterfly Strategy
COLO (Global X - MSCI Colombia ETF), in the Financial Services sector, (Asset Management industry), listed on AMEX.
The Global X MSCI Colombia ETF (COLO) seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses, of the MSCI All Colombia Select 25/50 Index.
COLO (Global X - MSCI Colombia ETF) trades in the Financial Services sector, specifically Asset Management, with a market capitalization of approximately $133.0M, a beta of 0.56 versus the broader market, a 52-week range of 27.91-43.74, average daily share volume of 158K, a public-listing history dating back to 2008. These structural characteristics shape how COLO etf options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 0.56 indicates COLO has historically moved less than the broader market, dampening realized volatility and producing tighter expected-move bands per unit of dollar exposure. COLO pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.
What is a butterfly on COLO?
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 COLO snapshot
As of May 15, 2026, spot at $36.00, ATM IV 46.80%, IV rank 8.00%, expected move 13.42%. The butterfly on COLO 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 COLO specifically: COLO IV at 46.80% is on the cheap side of its 1-year range, which favors premium-buying structures like a COLO butterfly, with a market-implied 1-standard-deviation move of approximately 13.42% (roughly $4.83 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 COLO expiries trade a higher absolute premium for lower per-day decay. Position sizing on COLO should anchor to the underlying notional of $36.00 per share and to the trader's directional view on COLO etf.
COLO butterfly setup
The COLO 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 COLO near $36.00, the first option leg uses a $34.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed COLO 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 COLO shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $34.00 | $3.30 |
| Sell 2 | Call | $36.00 | $2.30 |
| Buy 1 | Call | $38.00 | $1.43 |
COLO butterfly risk and reward
- Net Premium / Debit
- -$12.50
- Max Profit (per contract)
- $169.91
- Max Loss (per contract)
- -$12.50
- Breakeven(s)
- $34.13, $37.88
- Risk / Reward Ratio
- 13.593
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.
COLO butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on COLO. 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% | -$12.50 |
| $7.97 | -77.9% | -$12.50 |
| $15.93 | -55.8% | -$12.50 |
| $23.89 | -33.6% | -$12.50 |
| $31.84 | -11.5% | -$12.50 |
| $39.80 | +10.6% | -$12.50 |
| $47.76 | +32.7% | -$12.50 |
| $55.72 | +54.8% | -$12.50 |
| $63.68 | +76.9% | -$12.50 |
| $71.64 | +99.0% | -$12.50 |
When traders use butterfly on COLO
Butterflies on COLO are pinning bets - traders use them when they expect COLO 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.
COLO thesis for this butterfly
The market-implied 1-standard-deviation range for COLO extends from approximately $31.17 on the downside to $40.83 on the upside. A COLO long call butterfly is a pinning play: it pays maximum at the middle strike if COLO settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current COLO IV rank near 8.00% 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 COLO at 46.80%. As a Financial Services name, COLO options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to COLO-specific events.
COLO 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. COLO positions also carry Financial Services sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move COLO alongside the broader basket even when COLO-specific fundamentals are unchanged. Always rebuild the position from current COLO chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on COLO?
- A butterfly on COLO is the butterfly strategy applied to COLO (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 COLO etf trading near $36.00, the strikes shown on this page are snapped to the nearest listed COLO chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are COLO 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 COLO butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 46.80%), the computed maximum profit is $169.91 per contract and the computed maximum loss is -$12.50 per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a COLO butterfly?
- The breakeven for the COLO butterfly priced on this page is roughly $34.13 and $37.88 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 COLO market-implied 1-standard-deviation expected move is approximately 13.42%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on COLO?
- Butterflies on COLO are pinning bets - traders use them when they expect COLO 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 COLO implied volatility affect this butterfly?
- COLO ATM IV is at 46.80% with IV rank near 8.00%, 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.