CRBN Butterfly Strategy
CRBN (iShares Low Carbon Optimized MSCI ACWI ETF), in the Financial Services sector, (Asset Management industry), listed on AMEX.
The iShares Low Carbon Optimized MSCI ACWI ETF seeks to track the investment results of an index composed of large and mid-capitalization developed and emerging market equities with a lower carbon exposure than that of the broad market.
CRBN (iShares Low Carbon Optimized MSCI ACWI ETF) trades in the Financial Services sector, specifically Asset Management, with a market capitalization of approximately $1.08B, a beta of 1.00 versus the broader market, a 52-week range of 200.401-251.48, average daily share volume of 9K, a public-listing history dating back to 2014. These structural characteristics shape how CRBN etf options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 1.00 places CRBN roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline. CRBN pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.
What is a butterfly on CRBN?
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 CRBN snapshot
As of May 15, 2026, spot at $248.91, ATM IV 12.80%, IV rank 1.21%, expected move 3.67%. The butterfly on CRBN 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 CRBN specifically: CRBN IV at 12.80% is on the cheap side of its 1-year range, which favors premium-buying structures like a CRBN butterfly, with a market-implied 1-standard-deviation move of approximately 3.67% (roughly $9.13 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 CRBN expiries trade a higher absolute premium for lower per-day decay. Position sizing on CRBN should anchor to the underlying notional of $248.91 per share and to the trader's directional view on CRBN etf.
CRBN butterfly setup
The CRBN 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 CRBN near $248.91, the first option leg uses a $235.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed CRBN 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 CRBN shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $235.00 | $15.80 |
| Sell 2 | Call | $250.00 | $3.40 |
| Buy 1 | Call | $260.00 | $0.43 |
CRBN butterfly risk and reward
- Net Premium / Debit
- -$943.00
- Max Profit (per contract)
- $540.42
- Max Loss (per contract)
- -$943.00
- Breakeven(s)
- $244.43, $255.57
- Risk / Reward Ratio
- 0.573
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.
CRBN butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on CRBN. 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% | -$943.00 |
| $55.04 | -77.9% | -$943.00 |
| $110.08 | -55.8% | -$943.00 |
| $165.11 | -33.7% | -$943.00 |
| $220.15 | -11.6% | -$943.00 |
| $275.18 | +10.6% | -$443.00 |
| $330.22 | +32.7% | -$443.00 |
| $385.25 | +54.8% | -$443.00 |
| $440.28 | +76.9% | -$443.00 |
| $495.32 | +99.0% | -$443.00 |
When traders use butterfly on CRBN
Butterflies on CRBN are pinning bets - traders use them when they expect CRBN 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.
CRBN thesis for this butterfly
The market-implied 1-standard-deviation range for CRBN extends from approximately $239.78 on the downside to $258.04 on the upside. A CRBN long call butterfly is a pinning play: it pays maximum at the middle strike if CRBN settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current CRBN IV rank near 1.21% 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 CRBN at 12.80%. As a Financial Services name, CRBN options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to CRBN-specific events.
CRBN 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. CRBN positions also carry Financial Services sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move CRBN alongside the broader basket even when CRBN-specific fundamentals are unchanged. Always rebuild the position from current CRBN chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on CRBN?
- A butterfly on CRBN is the butterfly strategy applied to CRBN (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 CRBN etf trading near $248.91, the strikes shown on this page are snapped to the nearest listed CRBN chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are CRBN 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 CRBN butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 12.80%), the computed maximum profit is $540.42 per contract and the computed maximum loss is -$943.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a CRBN butterfly?
- The breakeven for the CRBN butterfly priced on this page is roughly $244.43 and $255.57 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 CRBN market-implied 1-standard-deviation expected move is approximately 3.67%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on CRBN?
- Butterflies on CRBN are pinning bets - traders use them when they expect CRBN 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 CRBN implied volatility affect this butterfly?
- CRBN ATM IV is at 12.80% with IV rank near 1.21%, 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.