SCO Butterfly Strategy
SCO (ProShares - UltraShort Bloomberg Crude Oil), in the Financial Services sector, (Asset Management - Leveraged industry), listed on AMEX.
ProShares UltraShort Bloomberg Crude Oil is an investment vehicle engineered to deliver daily returns that are twice the inverse of the Bloomberg Commodity Balanced WTI Crude Oil Index's daily performance. This means that, before accounting for fees and expenses, the fund aims to move in the opposite direction of the index's daily changes, at a magnitude of 200%.
SCO (ProShares - UltraShort Bloomberg Crude Oil) trades in the Financial Services sector, specifically Asset Management - Leveraged, with a market capitalization of approximately $646.6M, a beta of -2.47 versus the broader market, a 52-week range of 22.84-84.16, average daily share volume of 10.1M, a public-listing history dating back to 2008. These structural characteristics shape how SCO etf options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of -2.47 indicates SCO has historically moved less than the broader market, dampening realized volatility and producing tighter expected-move bands per unit of dollar exposure.
What is a butterfly on SCO?
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.
SCO snapshot
As of August 14, 2026, spot at $26.09, ATM IV 72.23%, IV rank 23.51%, expected move 20.71%. The butterfly on SCO 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 28-day expiry.
Why this butterfly structure on SCO specifically: SCO IV at 72.23% is on the cheap side of its 1-year range, which favors premium-buying structures like a SCO butterfly, with a market-implied 1-standard-deviation move of approximately 20.71% (roughly $5.40 on the underlying). The 28-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated SCO expiries trade a higher absolute premium for lower per-day decay. Position sizing on SCO should anchor to the underlying notional of $26.09 per share and to the trader's directional view on SCO etf.
SCO butterfly setup
The SCO 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 SCO at $26.09 on that close, the first option leg uses a $25.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed SCO chain at a 28-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 SCO shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $25.00 | $3.10 |
| Sell 2 | Call | $26.00 | $2.50 |
| Buy 1 | Call | $27.50 | $1.63 |
SCO butterfly risk and reward
- Net Premium / Debit
- +$27.50
- Max Profit (per contract)
- $123.89
- Max Loss (per contract)
- -$22.50
- Breakeven(s)
- $27.28
- Risk / Reward Ratio
- 5.506
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.
SCO butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on SCO. 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% | +$27.50 |
| $5.78 | -77.9% | +$27.50 |
| $11.55 | -55.7% | +$27.50 |
| $17.31 | -33.6% | +$27.50 |
| $23.08 | -11.5% | +$27.50 |
| $28.85 | +10.6% | -$22.50 |
| $34.62 | +32.7% | -$22.50 |
| $40.38 | +54.8% | -$22.50 |
| $46.15 | +76.9% | -$22.50 |
| $51.92 | +99.0% | -$22.50 |
When traders use butterfly on SCO
Butterflies on SCO are pinning bets - traders use them when they expect SCO 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.
SCO thesis for this butterfly
The market-implied 1-standard-deviation range for SCO extends from approximately $20.69 on the downside to $31.49 on the upside. A SCO long call butterfly is a pinning play: it pays maximum at the middle strike if SCO settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current SCO IV rank near 23.51% 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 SCO at 72.23%. As a Financial Services name, SCO options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to SCO-specific events.
SCO 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. SCO positions also carry Financial Services sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move SCO alongside the broader basket even when SCO-specific fundamentals are unchanged. Always rebuild the position from current SCO chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on SCO?
- A butterfly on SCO is the butterfly strategy applied to SCO (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 SCO etf at $26.09 on the August 14, 2026 close, the strikes shown on this page are snapped to the nearest listed SCO chain strike and the premiums come straight from that session's bid/ask midpoint.
- How are SCO 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 SCO butterfly priced from the August 14, 2026 end-of-day chain at a 30-day expiry (ATM IV 72.23%), the computed maximum profit is $123.89 per contract and the computed maximum loss is -$22.50 per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a SCO butterfly?
- The breakeven for the SCO butterfly priced on this page is roughly $27.28 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 SCO market-implied 1-standard-deviation expected move in the same options snapshot is approximately 20.71%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on SCO?
- Butterflies on SCO are pinning bets - traders use them when they expect SCO 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 SCO implied volatility affect this butterfly?
- SCO ATM IV is at 72.23% with IV rank near 23.51%, 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.