OBOR Butterfly Strategy
OBOR (KraneShares MSCI One Belt One Road Index ETF), in the Financial Services sector, (Asset Management industry), listed on AMEX.
This exchange-traded fund allocates at least 80% of its total assets, including any capital leveraged for investment, to securities that are either direct constituents of its benchmark index or possess similar economic characteristics. The index itself aims to gauge the stock market performance of publicly traded corporations that derive a significant portion of their revenue from projects connected to the Chinese government's "One Belt, One Road" initiative, with this revenue exposure being determined by the index's administrator.
OBOR (KraneShares MSCI One Belt One Road Index ETF) trades in the Financial Services sector, specifically Asset Management, with a market capitalization of approximately $4.0M, a beta of 0.71 versus the broader market, a 52-week range of 24.27-30.07, average daily share volume of 1K, a public-listing history dating back to 2017. These structural characteristics shape how OBOR etf options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 0.71 places OBOR roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline. OBOR pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.
What is a butterfly on OBOR?
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.
OBOR snapshot
As of August 14, 2026, spot at $27.52, ATM IV 44.90%, IV rank 6.16%, expected move 12.87%. The butterfly on OBOR below is built from the August 14, 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 OBOR specifically: OBOR IV at 44.90% is on the cheap side of its 1-year range, which favors premium-buying structures like a OBOR butterfly, with a market-implied 1-standard-deviation move of approximately 12.87% (roughly $3.54 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 OBOR expiries trade a higher absolute premium for lower per-day decay. Position sizing on OBOR should anchor to the underlying notional of $27.52 per share and to the trader's directional view on OBOR etf.
OBOR butterfly setup
The OBOR butterfly below is built from the August 14, 2026 end-of-day chain, with each option leg priced at the bid/ask midpoint of its listed strike. With OBOR at $27.52 on that close, the first option leg uses a $26.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed OBOR 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 OBOR shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $26.00 | $2.53 |
| Sell 2 | Call | $28.00 | $1.33 |
| Buy 1 | Call | $29.00 | $0.88 |
OBOR butterfly risk and reward
- Net Premium / Debit
- -$75.00
- Max Profit (per contract)
- $118.98
- Max Loss (per contract)
- -$75.00
- Breakeven(s)
- $26.75
- Risk / Reward Ratio
- 1.586
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.
OBOR butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on OBOR. 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% | -$75.00 |
| $6.09 | -77.9% | -$75.00 |
| $12.18 | -55.8% | -$75.00 |
| $18.26 | -33.6% | -$75.00 |
| $24.34 | -11.5% | -$75.00 |
| $30.43 | +10.6% | +$25.00 |
| $36.51 | +32.7% | +$25.00 |
| $42.60 | +54.8% | +$25.00 |
| $48.68 | +76.9% | +$25.00 |
| $54.76 | +99.0% | +$25.00 |
When traders use butterfly on OBOR
Butterflies on OBOR are pinning bets - traders use them when they expect OBOR 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.
OBOR thesis for this butterfly
The market-implied 1-standard-deviation range for OBOR extends from approximately $23.98 on the downside to $31.06 on the upside. A OBOR long call butterfly is a pinning play: it pays maximum at the middle strike if OBOR settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current OBOR IV rank near 6.16% 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 OBOR at 44.90%. As a Financial Services name, OBOR options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to OBOR-specific events.
OBOR 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. OBOR positions also carry Financial Services sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move OBOR alongside the broader basket even when OBOR-specific fundamentals are unchanged. Always rebuild the position from current OBOR chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on OBOR?
- A butterfly on OBOR is the butterfly strategy applied to OBOR (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 OBOR etf at $27.52 on the August 14, 2026 close, the strikes shown on this page are snapped to the nearest listed OBOR chain strike and the premiums come straight from that session's bid/ask midpoint.
- How are OBOR 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 OBOR butterfly priced from the August 14, 2026 end-of-day chain at a 30-day expiry (ATM IV 44.90%), the computed maximum profit is $118.98 per contract and the computed maximum loss is -$75.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a OBOR butterfly?
- The breakeven for the OBOR butterfly priced on this page is roughly $26.75 at expiration, derived from the August 14, 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 OBOR market-implied 1-standard-deviation expected move in the same options snapshot is approximately 12.87%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on OBOR?
- Butterflies on OBOR are pinning bets - traders use them when they expect OBOR 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 OBOR implied volatility affect this butterfly?
- OBOR ATM IV is at 44.90% with IV rank near 6.16%, 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.