ICVT Collar Strategy
ICVT (iShares Convertible Bond ETF), in the Financial Services sector, (Asset Management - Bonds industry), listed on CBOE.
The iShares Convertible Bond ETF seeks to track the investment results of an index composed of U.S. dollar-denominated convertible securities, specifically cash pay bonds, with outstanding issue sizes greater than $250 million.
ICVT (iShares Convertible Bond ETF) trades in the Financial Services sector, specifically Asset Management - Bonds, with a market capitalization of approximately $3.44B, a beta of 1.01 versus the broader market, a 52-week range of 86.315-119.04, average daily share volume of 798K, a public-listing history dating back to 2015. These structural characteristics shape how ICVT etf options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 1.01 places ICVT roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline. ICVT pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.
What is a collar on ICVT?
A collar pairs long stock with a protective out-of-the-money put financed by a short out-of-the-money call, capping both tails of the position around the current spot.
Current ICVT snapshot
As of May 15, 2026, spot at $117.47, ATM IV 19.20%, IV rank 16.45%, expected move 5.50%. The collar on ICVT 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 collar structure on ICVT specifically: IV regime affects collar pricing on both sides; compressed ICVT IV at 19.20% typically pushes the short call premium to roughly offset the long put cost, with a market-implied 1-standard-deviation move of approximately 5.50% (roughly $6.47 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 ICVT expiries trade a higher absolute premium for lower per-day decay. Position sizing on ICVT should anchor to the underlying notional of $117.47 per share and to the trader's directional view on ICVT etf.
ICVT collar setup
The ICVT collar below is built from the end-of-day chain, with each option leg priced at the bid/ask midpoint of its listed strike. With ICVT near $117.47, the first option leg uses a $122.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed ICVT 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 ICVT shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 100 shares | Stock | $117.47 | long |
| Sell 1 | Call | $122.00 | $1.14 |
| Buy 1 | Put | $112.00 | $0.85 |
ICVT collar risk and reward
- Net Premium / Debit
- -$11,718.00
- Max Profit (per contract)
- $482.00
- Max Loss (per contract)
- -$518.00
- Breakeven(s)
- $117.18
- Risk / Reward Ratio
- 0.931
Max profit roughly equals short-call strike minus cost basis plus net premium; max loss roughly equals cost basis minus long-put strike minus net premium. Breakeven shifts by the net premium.
ICVT collar payoff curve
Modeled P&L at expiration across a range of underlying prices for the collar on ICVT. 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% | -$518.00 |
| $25.98 | -77.9% | -$518.00 |
| $51.95 | -55.8% | -$518.00 |
| $77.93 | -33.7% | -$518.00 |
| $103.90 | -11.6% | -$518.00 |
| $129.87 | +10.6% | +$482.00 |
| $155.84 | +32.7% | +$482.00 |
| $181.82 | +54.8% | +$482.00 |
| $207.79 | +76.9% | +$482.00 |
| $233.76 | +99.0% | +$482.00 |
When traders use collar on ICVT
Collars on ICVT hedge an existing long ICVT etf position; the long put sets a floor while the short call finances it, often run as a near-zero-cost hedge during expected volatility windows.
ICVT thesis for this collar
The market-implied 1-standard-deviation range for ICVT extends from approximately $111.00 on the downside to $123.94 on the upside. A ICVT collar hedges an existing long ICVT position with a protective put while financing the put cost via a short call; when the premiums roughly offset, the collar acts as a near-zero-cost insurance band around the current spot. Current ICVT IV rank near 16.45% 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 ICVT at 19.20%. As a Financial Services name, ICVT options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to ICVT-specific events.
ICVT collar positions are structurally neutral (protective); 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. ICVT positions also carry Financial Services sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move ICVT alongside the broader basket even when ICVT-specific fundamentals are unchanged. Always rebuild the position from current ICVT chain quotes before placing a trade.
Frequently asked questions
- What is a collar on ICVT?
- A collar on ICVT is the collar strategy applied to ICVT (etf). The strategy is structurally neutral (protective): A collar pairs long stock with a protective out-of-the-money put financed by a short out-of-the-money call, capping both tails of the position around the current spot. With ICVT etf trading near $117.47, the strikes shown on this page are snapped to the nearest listed ICVT chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are ICVT collar max profit and max loss calculated?
- Max profit roughly equals short-call strike minus cost basis plus net premium; max loss roughly equals cost basis minus long-put strike minus net premium. Breakeven shifts by the net premium. For the ICVT collar priced from the end-of-day chain at a 30-day expiry (ATM IV 19.20%), the computed maximum profit is $482.00 per contract and the computed maximum loss is -$518.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a ICVT collar?
- The breakeven for the ICVT collar priced on this page is roughly $117.18 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 ICVT market-implied 1-standard-deviation expected move is approximately 5.50%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a collar on ICVT?
- Collars on ICVT hedge an existing long ICVT etf position; the long put sets a floor while the short call finances it, often run as a near-zero-cost hedge during expected volatility windows.
- How does current ICVT implied volatility affect this collar?
- ICVT ATM IV is at 19.20% with IV rank near 16.45%, 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.