IWMI Butterfly Strategy
IWMI (NEOS Russell 2000 High Income ETF), in the Financial Services sector, (Asset Management industry), listed on CBOE.
The NEOS Russell 2000 High Income ETF (the “Fund”) seeks to generate high monthly income in a tax efficient manner with the potential for equity appreciation.
IWMI (NEOS Russell 2000 High Income ETF) trades in the Financial Services sector, specifically Asset Management, with a market capitalization of approximately $275.6M, a beta of 0.97 versus the broader market, a 52-week range of 43.19-52.285, average daily share volume of 407K, a public-listing history dating back to 2024. These structural characteristics shape how IWMI etf options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 0.97 places IWMI roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline. IWMI pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.
What is a butterfly on IWMI?
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 IWMI snapshot
As of May 15, 2026, spot at $51.11, ATM IV 18.60%, IV rank 2.27%, expected move 5.33%. The butterfly on IWMI 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 IWMI specifically: IWMI IV at 18.60% is on the cheap side of its 1-year range, which favors premium-buying structures like a IWMI butterfly, with a market-implied 1-standard-deviation move of approximately 5.33% (roughly $2.73 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 IWMI expiries trade a higher absolute premium for lower per-day decay. Position sizing on IWMI should anchor to the underlying notional of $51.11 per share and to the trader's directional view on IWMI etf.
IWMI butterfly setup
The IWMI 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 IWMI near $51.11, the first option leg uses a $49.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed IWMI 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 IWMI shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $49.00 | $2.40 |
| Sell 2 | Call | $51.00 | $1.01 |
| Buy 1 | Call | $54.00 | $0.17 |
IWMI butterfly risk and reward
- Net Premium / Debit
- -$55.00
- Max Profit (per contract)
- $130.82
- Max Loss (per contract)
- -$155.00
- Breakeven(s)
- $49.55, $52.45
- Risk / Reward Ratio
- 0.844
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.
IWMI butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on IWMI. 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% | -$55.00 |
| $11.31 | -77.9% | -$55.00 |
| $22.61 | -55.8% | -$55.00 |
| $33.91 | -33.7% | -$55.00 |
| $45.21 | -11.5% | -$55.00 |
| $56.51 | +10.6% | -$155.00 |
| $67.81 | +32.7% | -$155.00 |
| $79.11 | +54.8% | -$155.00 |
| $90.41 | +76.9% | -$155.00 |
| $101.71 | +99.0% | -$155.00 |
When traders use butterfly on IWMI
Butterflies on IWMI are pinning bets - traders use them when they expect IWMI 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.
IWMI thesis for this butterfly
The market-implied 1-standard-deviation range for IWMI extends from approximately $48.38 on the downside to $53.84 on the upside. A IWMI long call butterfly is a pinning play: it pays maximum at the middle strike if IWMI settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current IWMI IV rank near 2.27% 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 IWMI at 18.60%. As a Financial Services name, IWMI options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to IWMI-specific events.
IWMI 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. IWMI positions also carry Financial Services sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move IWMI alongside the broader basket even when IWMI-specific fundamentals are unchanged. Always rebuild the position from current IWMI chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on IWMI?
- A butterfly on IWMI is the butterfly strategy applied to IWMI (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 IWMI etf trading near $51.11, the strikes shown on this page are snapped to the nearest listed IWMI chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are IWMI 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 IWMI butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 18.60%), the computed maximum profit is $130.82 per contract and the computed maximum loss is -$155.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a IWMI butterfly?
- The breakeven for the IWMI butterfly priced on this page is roughly $49.55 and $52.45 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 IWMI market-implied 1-standard-deviation expected move is approximately 5.33%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on IWMI?
- Butterflies on IWMI are pinning bets - traders use them when they expect IWMI 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 IWMI implied volatility affect this butterfly?
- IWMI ATM IV is at 18.60% with IV rank near 2.27%, 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.