KGRN Butterfly Strategy
KGRN (KraneShares MSCI China Clean Technology Index ETF), in the Financial Services sector, (Asset Management industry), listed on AMEX.
The fund will invest at least 80% of its net assets in instruments in its index or in instruments that have economic characteristics similar to those in the index. The underlying index is a free-float adjusted market capitalization weighted index modified per the 10/40 Constraint designed to measure the equity market performance of Chinese companies in the industrial, utility, real estate and technology sectors that contribute to a more environmentally sustainable economy. It is non-diversified.
KGRN (KraneShares MSCI China Clean Technology Index ETF) trades in the Financial Services sector, specifically Asset Management, with a market capitalization of approximately $63.5M, a beta of 0.67 versus the broader market, a 52-week range of 25.26-32.949, average daily share volume of 17K, a public-listing history dating back to 2017. These structural characteristics shape how KGRN etf options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 0.67 indicates KGRN has historically moved less than the broader market, dampening realized volatility and producing tighter expected-move bands per unit of dollar exposure. KGRN pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.
What is a butterfly on KGRN?
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 KGRN snapshot
As of May 12, 2026, spot at $28.95, ATM IV 27.70%, IV rank 3.34%, expected move 7.94%. The butterfly on KGRN 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 KGRN specifically: KGRN IV at 27.70% is on the cheap side of its 1-year range, which favors premium-buying structures like a KGRN butterfly, with a market-implied 1-standard-deviation move of approximately 7.94% (roughly $2.30 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 KGRN expiries trade a higher absolute premium for lower per-day decay. Position sizing on KGRN should anchor to the underlying notional of $28.95 per share and to the trader's directional view on KGRN etf.
KGRN butterfly setup
The KGRN 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 KGRN near $28.95, the first option leg uses a $28.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed KGRN 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 KGRN shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $28.00 | $1.18 |
| Sell 2 | Call | $29.00 | $0.83 |
| Buy 1 | Call | $30.00 | $0.73 |
KGRN butterfly risk and reward
- Net Premium / Debit
- -$25.00
- Max Profit (per contract)
- $64.95
- Max Loss (per contract)
- -$25.00
- Breakeven(s)
- $28.25, $29.75
- Risk / Reward Ratio
- 2.598
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.
KGRN butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on KGRN. 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% | -$25.00 |
| $6.41 | -77.9% | -$25.00 |
| $12.81 | -55.8% | -$25.00 |
| $19.21 | -33.6% | -$25.00 |
| $25.61 | -11.5% | -$25.00 |
| $32.01 | +10.6% | -$25.00 |
| $38.41 | +32.7% | -$25.00 |
| $44.81 | +54.8% | -$25.00 |
| $51.21 | +76.9% | -$25.00 |
| $57.61 | +99.0% | -$25.00 |
When traders use butterfly on KGRN
Butterflies on KGRN are pinning bets - traders use them when they expect KGRN 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.
KGRN thesis for this butterfly
The market-implied 1-standard-deviation range for KGRN extends from approximately $26.65 on the downside to $31.25 on the upside. A KGRN long call butterfly is a pinning play: it pays maximum at the middle strike if KGRN settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current KGRN IV rank near 3.34% 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 KGRN at 27.70%. As a Financial Services name, KGRN options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to KGRN-specific events.
KGRN 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. KGRN positions also carry Financial Services sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move KGRN alongside the broader basket even when KGRN-specific fundamentals are unchanged. Always rebuild the position from current KGRN chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on KGRN?
- A butterfly on KGRN is the butterfly strategy applied to KGRN (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 KGRN etf trading near $28.95, the strikes shown on this page are snapped to the nearest listed KGRN chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are KGRN 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 KGRN butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 27.70%), the computed maximum profit is $64.95 per contract and the computed maximum loss is -$25.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a KGRN butterfly?
- The breakeven for the KGRN butterfly priced on this page is roughly $28.25 and $29.75 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 KGRN market-implied 1-standard-deviation expected move is approximately 7.94%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on KGRN?
- Butterflies on KGRN are pinning bets - traders use them when they expect KGRN 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 KGRN implied volatility affect this butterfly?
- KGRN ATM IV is at 27.70% with IV rank near 3.34%, 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.