EFZ Butterfly Strategy
EFZ (ProShares - Short MSCI EAFE), in the Financial Services sector, (Asset Management - Leveraged industry), listed on AMEX.
This ProShares fund is designed to generate daily returns that are precisely inverse (-1x) to the daily performance of the MSCI EAFE Index, prior to accounting for any charges and expenses.
EFZ (ProShares - Short MSCI EAFE) trades in the Financial Services sector, specifically Asset Management - Leveraged, with a market capitalization of approximately $6.7M, a beta of -0.62 versus the broader market, a 52-week range of 21.94-27.28, average daily share volume of 9K, a public-listing history dating back to 2007. These structural characteristics shape how EFZ etf options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of -0.62 indicates EFZ has historically moved less than the broader market, dampening realized volatility and producing tighter expected-move bands per unit of dollar exposure. EFZ pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.
What is a butterfly on EFZ?
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.
EFZ snapshot
As of November 13, 2026, spot at $23.04, ATM IV 15.60%, expected move 4.47%. The butterfly on EFZ below is built from the November 13, 2026 end-of-day chain, with strikes snapped to listed contracts and premiums pulled from the bid/ask midpoint at a 35-day expiry.
Why this butterfly structure on EFZ specifically: IV rank is unavailable in the current snapshot, so regime-based timing for EFZ is inferred from ATM IV at 15.60% alone, with a market-implied 1-standard-deviation move of approximately 4.47% (roughly $1.03 on the underlying). The 35-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated EFZ expiries trade a higher absolute premium for lower per-day decay. Position sizing on EFZ should anchor to the underlying notional of $23.04 per share and to the trader's directional view on EFZ etf.
EFZ butterfly setup
The EFZ butterfly below is built from the November 13, 2026 end-of-day chain, with each option leg priced at the bid/ask midpoint of its listed strike. With EFZ at $23.04 on that close, the first option leg uses a $22.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed EFZ chain at a 35-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 EFZ shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $22.00 | $1.13 |
| Sell 2 | Call | $23.00 | $0.48 |
| Buy 1 | Call | $24.00 | $0.13 |
EFZ butterfly risk and reward
- Net Premium / Debit
- -$30.50
- Max Profit (per contract)
- $62.42
- Max Loss (per contract)
- -$30.50
- Breakeven(s)
- $22.31, $23.70
- Risk / Reward Ratio
- 2.047
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.
EFZ butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on EFZ. 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% | -$30.50 |
| $5.10 | -77.9% | -$30.50 |
| $10.20 | -55.7% | -$30.50 |
| $15.29 | -33.6% | -$30.50 |
| $20.38 | -11.5% | -$30.50 |
| $25.48 | +10.6% | -$30.50 |
| $30.57 | +32.7% | -$30.50 |
| $35.66 | +54.8% | -$30.50 |
| $40.76 | +76.9% | -$30.50 |
| $45.85 | +99.0% | -$30.50 |
When traders use butterfly on EFZ
Butterflies on EFZ are pinning bets - traders use them when they expect EFZ 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.
EFZ thesis for this butterfly
The market-implied 1-standard-deviation range for EFZ extends from approximately $22.01 on the downside to $24.07 on the upside. A EFZ long call butterfly is a pinning play: it pays maximum at the middle strike if EFZ settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. As a Financial Services name, EFZ options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to EFZ-specific events.
EFZ 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. EFZ positions also carry Financial Services sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move EFZ alongside the broader basket even when EFZ-specific fundamentals are unchanged. Always rebuild the position from current EFZ chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on EFZ?
- A butterfly on EFZ is the butterfly strategy applied to EFZ (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 EFZ etf at $23.04 on the November 13, 2026 close, the strikes shown on this page are snapped to the nearest listed EFZ chain strike and the premiums come straight from that session's bid/ask midpoint.
- How are EFZ 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 EFZ butterfly priced from the November 13, 2026 end-of-day chain at a 30-day expiry (ATM IV 15.60%), the computed maximum profit is $62.42 per contract and the computed maximum loss is -$30.50 per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a EFZ butterfly?
- The breakeven for the EFZ butterfly priced on this page is roughly $22.31 and $23.70 at expiration, derived from the November 13, 2026 end-of-day chain's premiums. Breakeven is the underlying price at which the strategy's P&L crosses zero ignoring transaction costs and assignment risk. The EFZ market-implied 1-standard-deviation expected move in the same options snapshot is approximately 4.47%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on EFZ?
- Butterflies on EFZ are pinning bets - traders use them when they expect EFZ 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 EFZ implied volatility affect this butterfly?
- Current EFZ ATM IV is 15.60%; IV rank context is unavailable in the current snapshot.