GII Butterfly Strategy
GII (State Street SPDR S&P Global Infrastructure ETF), in the Financial Services sector, (Asset Management - Global industry), listed on AMEX.
The State Street SPDR S&P Global Infrastructure ETF seeks to provide investment results that, before fees and expenses, correspond generally to the total return performance of the S&P Global Infrastructure Index (the "Index")Seeks to provide exposure to the 75 largest infrastructure-related stocks based on float-adjusted market cap and liquidityIndex is diversified across transportation, utilities, and energy infrastructure sub-industries
GII (State Street SPDR S&P Global Infrastructure ETF) trades in the Financial Services sector, specifically Asset Management - Global, with a market capitalization of approximately $990.6M, a beta of 0.68 versus the broader market, a 52-week range of 65.28-78.95, average daily share volume of 82K, a public-listing history dating back to 2007. These structural characteristics shape how GII etf options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 0.68 indicates GII has historically moved less than the broader market, dampening realized volatility and producing tighter expected-move bands per unit of dollar exposure. GII pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.
What is a butterfly on GII?
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 GII snapshot
As of May 15, 2026, spot at $74.95, ATM IV 17.50%, IV rank 2.95%, expected move 5.02%. The butterfly on GII 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 GII specifically: GII IV at 17.50% is on the cheap side of its 1-year range, which favors premium-buying structures like a GII butterfly, with a market-implied 1-standard-deviation move of approximately 5.02% (roughly $3.76 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 GII expiries trade a higher absolute premium for lower per-day decay. Position sizing on GII should anchor to the underlying notional of $74.95 per share and to the trader's directional view on GII etf.
GII butterfly setup
The GII 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 GII near $74.95, the first option leg uses a $71.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed GII 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 GII shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $71.00 | $4.10 |
| Sell 2 | Call | $75.00 | $1.35 |
| Buy 1 | Call | $79.00 | $0.30 |
GII butterfly risk and reward
- Net Premium / Debit
- -$170.00
- Max Profit (per contract)
- $196.84
- Max Loss (per contract)
- -$170.00
- Breakeven(s)
- $72.70, $77.30
- Risk / Reward Ratio
- 1.158
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.
GII butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on GII. 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% | -$170.00 |
| $16.58 | -77.9% | -$170.00 |
| $33.15 | -55.8% | -$170.00 |
| $49.72 | -33.7% | -$170.00 |
| $66.29 | -11.6% | -$170.00 |
| $82.86 | +10.6% | -$170.00 |
| $99.43 | +32.7% | -$170.00 |
| $116.01 | +54.8% | -$170.00 |
| $132.58 | +76.9% | -$170.00 |
| $149.15 | +99.0% | -$170.00 |
When traders use butterfly on GII
Butterflies on GII are pinning bets - traders use them when they expect GII 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.
GII thesis for this butterfly
The market-implied 1-standard-deviation range for GII extends from approximately $71.19 on the downside to $78.71 on the upside. A GII long call butterfly is a pinning play: it pays maximum at the middle strike if GII settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current GII IV rank near 2.95% 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 GII at 17.50%. As a Financial Services name, GII options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to GII-specific events.
GII 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. GII positions also carry Financial Services sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move GII alongside the broader basket even when GII-specific fundamentals are unchanged. Always rebuild the position from current GII chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on GII?
- A butterfly on GII is the butterfly strategy applied to GII (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 GII etf trading near $74.95, the strikes shown on this page are snapped to the nearest listed GII chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are GII 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 GII butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 17.50%), the computed maximum profit is $196.84 per contract and the computed maximum loss is -$170.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a GII butterfly?
- The breakeven for the GII butterfly priced on this page is roughly $72.70 and $77.30 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 GII market-implied 1-standard-deviation expected move is approximately 5.02%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on GII?
- Butterflies on GII are pinning bets - traders use them when they expect GII 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 GII implied volatility affect this butterfly?
- GII ATM IV is at 17.50% with IV rank near 2.95%, 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.