EDV Butterfly Strategy
EDV (Vanguard Extended Duration Treasury ETF), in the Financial Services sector, (Asset Management industry), listed on AMEX.
Seeks to track the performance of the Bloomberg U.S. Treasury STRIPS 20–30 Year Equal Par Bond Index. Passively managed using index sampling. Broad exposure to the long-term Treasury STRIPS market. Provides current income with high credit quality.
EDV (Vanguard Extended Duration Treasury ETF) trades in the Financial Services sector, specifically Asset Management, with a market capitalization of approximately $4.36B, a beta of 3.39 versus the broader market, a 52-week range of 61.56-71.31, average daily share volume of 1.3M, a public-listing history dating back to 2008. These structural characteristics shape how EDV etf options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 3.39 indicates EDV has historically moved more than the broader market, amplifying both the directional payoff and the realized volatility relative to an index-equivalent position. EDV pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.
What is a butterfly on EDV?
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 EDV snapshot
As of May 15, 2026, spot at $61.42, ATM IV 13.10%, IV rank 36.65%, expected move 3.76%. The butterfly on EDV 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 EDV specifically: EDV IV at 13.10% is mid-range versus its 1-year history, so strategy selection should anchor more to the directional thesis than to the IV regime, with a market-implied 1-standard-deviation move of approximately 3.76% (roughly $2.31 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 EDV expiries trade a higher absolute premium for lower per-day decay. Position sizing on EDV should anchor to the underlying notional of $61.42 per share and to the trader's directional view on EDV etf.
EDV butterfly setup
The EDV 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 EDV near $61.42, the first option leg uses a $58.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed EDV 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 EDV shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $58.00 | $3.85 |
| Sell 2 | Call | $61.00 | $1.33 |
| Buy 1 | Call | $64.00 | $0.28 |
EDV butterfly risk and reward
- Net Premium / Debit
- -$147.50
- Max Profit (per contract)
- $140.86
- Max Loss (per contract)
- -$147.50
- Breakeven(s)
- $59.48, $62.53
- Risk / Reward Ratio
- 0.955
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.
EDV butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on EDV. 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% | -$147.50 |
| $13.59 | -77.9% | -$147.50 |
| $27.17 | -55.8% | -$147.50 |
| $40.75 | -33.7% | -$147.50 |
| $54.33 | -11.5% | -$147.50 |
| $67.91 | +10.6% | -$147.50 |
| $81.49 | +32.7% | -$147.50 |
| $95.06 | +54.8% | -$147.50 |
| $108.64 | +76.9% | -$147.50 |
| $122.22 | +99.0% | -$147.50 |
When traders use butterfly on EDV
Butterflies on EDV are pinning bets - traders use them when they expect EDV 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.
EDV thesis for this butterfly
The market-implied 1-standard-deviation range for EDV extends from approximately $59.11 on the downside to $63.73 on the upside. A EDV long call butterfly is a pinning play: it pays maximum at the middle strike if EDV settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current EDV IV rank near 36.65% is mid-range against its 1-year distribution, so the IV signal is neutral; the butterfly thesis on EDV should anchor more to the directional view and the expected-move geometry. As a Financial Services name, EDV options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to EDV-specific events.
EDV 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. EDV positions also carry Financial Services sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move EDV alongside the broader basket even when EDV-specific fundamentals are unchanged. Always rebuild the position from current EDV chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on EDV?
- A butterfly on EDV is the butterfly strategy applied to EDV (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 EDV etf trading near $61.42, the strikes shown on this page are snapped to the nearest listed EDV chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are EDV 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 EDV butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 13.10%), the computed maximum profit is $140.86 per contract and the computed maximum loss is -$147.50 per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a EDV butterfly?
- The breakeven for the EDV butterfly priced on this page is roughly $59.48 and $62.53 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 EDV market-implied 1-standard-deviation expected move is approximately 3.76%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on EDV?
- Butterflies on EDV are pinning bets - traders use them when they expect EDV 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 EDV implied volatility affect this butterfly?
- EDV ATM IV is at 13.10% with IV rank near 36.65%, which is mid-range against its 1-year history. Strategy selection depends more on directional thesis and expected move than on a strong IV signal.