SIJ Butterfly Strategy
SIJ (ProShares - UltraShort Industrials), in the Financial Services sector, (Asset Management - Leveraged industry), listed on AMEX.
ProShares UltraShort Industrials seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the S&P Industrials Select SectorSM Index.
SIJ (ProShares - UltraShort Industrials) trades in the Financial Services sector, specifically Asset Management - Leveraged, with a market capitalization of approximately $956,964, a beta of -2.03 versus the broader market, a 52-week range of 8.46-14.2, average daily share volume of 26K, a public-listing history dating back to 2007. These structural characteristics shape how SIJ etf options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of -2.03 indicates SIJ has historically moved less than the broader market, dampening realized volatility and producing tighter expected-move bands per unit of dollar exposure. SIJ pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.
What is a butterfly on SIJ?
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 SIJ snapshot
As of May 15, 2026, spot at $9.16, ATM IV 62.30%, IV rank 20.53%, expected move 17.86%. The butterfly on SIJ 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 SIJ specifically: SIJ IV at 62.30% is on the cheap side of its 1-year range, which favors premium-buying structures like a SIJ butterfly, with a market-implied 1-standard-deviation move of approximately 17.86% (roughly $1.64 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 SIJ expiries trade a higher absolute premium for lower per-day decay. Position sizing on SIJ should anchor to the underlying notional of $9.16 per share and to the trader's directional view on SIJ etf.
SIJ butterfly setup
The SIJ 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 SIJ near $9.16, the first option leg uses a $8.70 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed SIJ 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 SIJ shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $8.70 | N/A |
| Sell 2 | Call | $9.16 | N/A |
| Buy 1 | Call | $9.62 | N/A |
SIJ butterfly risk and reward
- Net Premium / Debit
- N/A
- Max Profit (per contract)
- Unbounded
- Max Loss (per contract)
- Unbounded
- Breakeven(s)
- None on modeled curve
- Risk / Reward Ratio
- N/A
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.
SIJ butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on SIJ. 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.
When traders use butterfly on SIJ
Butterflies on SIJ are pinning bets - traders use them when they expect SIJ 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.
SIJ thesis for this butterfly
The market-implied 1-standard-deviation range for SIJ extends from approximately $7.52 on the downside to $10.80 on the upside. A SIJ long call butterfly is a pinning play: it pays maximum at the middle strike if SIJ settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current SIJ IV rank near 20.53% 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 SIJ at 62.30%. As a Financial Services name, SIJ options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to SIJ-specific events.
SIJ 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. SIJ positions also carry Financial Services sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move SIJ alongside the broader basket even when SIJ-specific fundamentals are unchanged. Always rebuild the position from current SIJ chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on SIJ?
- A butterfly on SIJ is the butterfly strategy applied to SIJ (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 SIJ etf trading near $9.16, the strikes shown on this page are snapped to the nearest listed SIJ chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are SIJ 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 SIJ butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 62.30%), the computed maximum profit is unbounded per contract and the computed maximum loss is unbounded per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a SIJ butterfly?
- The breakeven for the SIJ butterfly priced on this page is no defined breakeven on the modeled curve 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 SIJ market-implied 1-standard-deviation expected move is approximately 17.86%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on SIJ?
- Butterflies on SIJ are pinning bets - traders use them when they expect SIJ 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 SIJ implied volatility affect this butterfly?
- SIJ ATM IV is at 62.30% with IV rank near 20.53%, 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.