How are SMZ 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 SMZ butterfly priced from the September 29, 2026 end-of-day chain at a 30-day expiry (ATM IV 139.30%), the computed maximum profit is $83.17 per contract and the computed maximum loss is -$12.50 per contract. Live intraday quotes will differ as the chain moves through the trading session.

What is the breakeven for a SMZ butterfly?

The breakeven for the SMZ butterfly priced on this page is roughly $18.12 and $19.88 at expiration, derived from the September 29, 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 SMZ market-implied 1-standard-deviation expected move in the same options snapshot is approximately 39.94%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.

How does current SMZ implied volatility affect this butterfly?

SMZ ATM IV is at 139.30% with IV rank near 0.44%, 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.

SMZ Butterfly Strategy

SMZ (Investment Managers Series Trust II - Tradr 2X Short SMR Daily ETF), in the Financial Services sector, (Asset Management industry), listed on CBOE.

SMZ is a short-term tactical tool that aims to deliver -2x the price return, less fees and expenses, for a single day of Nuscale Power Corp. (NYSE: SMR) stock. Purchasers holding shares for longer than a day will need to monitor and rebalance their position frequently to attempt to achieve the -2x multiple. Aside from the inverse exposure, the shares take on added volatility due to the lack of diversification. Purchasers should conduct their own individual stock research prior to initiating a position and trade with conviction. Due to the complexities of the product, shares tend to perform as anticipated only when the underlying shares are trending and holders are on the positive corresponding side of that trade. However, the shares provide the advantage of capping the maximum loss to the full amount invested.

SMZ (Investment Managers Series Trust II - Tradr 2X Short SMR Daily ETF) trades in the Financial Services sector, specifically Asset Management, with a market capitalization of approximately $6.0M, a beta of -5.52 versus the broader market, a 52-week range of 10.6-67.83, average daily share volume of 83K, a public-listing history dating back to 2026. These structural characteristics shape how SMZ etf options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.

A beta of -5.52 indicates SMZ 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 SMZ?

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.

SMZ snapshot

As of September 29, 2026, spot at $19.44, ATM IV 139.30%, IV rank 0.44%, expected move 39.94%. The butterfly on SMZ below is built from the September 29, 2026 end-of-day chain, with strikes snapped to listed contracts and premiums pulled from the bid/ask midpoint at a 17-day expiry.

Why this butterfly structure on SMZ specifically: SMZ IV at 139.30% is on the cheap side of its 1-year range, which favors premium-buying structures like a SMZ butterfly, with a market-implied 1-standard-deviation move of approximately 39.94% (roughly $7.76 on the underlying). The 17-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated SMZ expiries trade a higher absolute premium for lower per-day decay. Position sizing on SMZ should anchor to the underlying notional of $19.44 per share and to the trader's directional view on SMZ etf.

SMZ butterfly setup

The SMZ butterfly below is built from the September 29, 2026 end-of-day chain, with each option leg priced at the bid/ask midpoint of its listed strike. With SMZ at $19.44 on that close, the first option leg uses a $18.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed SMZ chain at a 17-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 SMZ shares for the stock leg in covered calls and collars).

Action	Type	Strike / Basis	Premium (est)
Buy 1	Call	$18.00	$2.85
Sell 2	Call	$19.00	$2.33
Buy 1	Call	$20.00	$1.93

SMZ butterfly risk and reward

Net Premium / Debit: -$12.50
Max Profit (per contract): $83.17
Max Loss (per contract): -$12.50
Breakeven(s): $18.12, $19.88
Risk / Reward Ratio: 6.653

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.

SMZ butterfly payoff curve

Modeled P&L at expiration across a range of underlying prices for the butterfly on SMZ. 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.

P&L at expiration across the modeled underlying-price range. Green shading marks profitable regions, red shading marks loss regions. Dotted purple verticals mark breakevens; the solid dark vertical marks current spot.

Underlying Price	% From Spot	P&L at Expiration
$0.01	-99.9%	-$12.50
$4.31	-77.8%	-$12.50
$8.60	-55.7%	-$12.50
$12.90	-33.6%	-$12.50
$17.20	-11.5%	-$12.50
$21.50	+10.6%	-$12.50
$25.79	+32.7%	-$12.50
$30.09	+54.8%	-$12.50
$34.39	+76.9%	-$12.50
$38.68	+99.0%	-$12.50

When traders use butterfly on SMZ

Butterflies on SMZ are pinning bets - traders use them when they expect SMZ 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.

SMZ thesis for this butterfly

The market-implied 1-standard-deviation range for SMZ extends from approximately $11.68 on the downside to $27.20 on the upside. A SMZ long call butterfly is a pinning play: it pays maximum at the middle strike if SMZ settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current SMZ IV rank near 0.44% 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 SMZ at 139.30%. As a Financial Services name, SMZ options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to SMZ-specific events.

SMZ 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. SMZ positions also carry Financial Services sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move SMZ alongside the broader basket even when SMZ-specific fundamentals are unchanged. Always rebuild the position from current SMZ chain quotes before placing a trade.

Frequently asked questions

What is a butterfly on SMZ?: A butterfly on SMZ is the butterfly strategy applied to SMZ (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 SMZ etf at $19.44 on the September 29, 2026 close, the strikes shown on this page are snapped to the nearest listed SMZ chain strike and the premiums come straight from that session's bid/ask midpoint.
How are SMZ 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 SMZ butterfly priced from the September 29, 2026 end-of-day chain at a 30-day expiry (ATM IV 139.30%), the computed maximum profit is $83.17 per contract and the computed maximum loss is -$12.50 per contract. Live intraday quotes will differ as the chain moves through the trading session.
What is the breakeven for a SMZ butterfly?: The breakeven for the SMZ butterfly priced on this page is roughly $18.12 and $19.88 at expiration, derived from the September 29, 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 SMZ market-implied 1-standard-deviation expected move in the same options snapshot is approximately 39.94%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
When should you consider a butterfly on SMZ?: Butterflies on SMZ are pinning bets - traders use them when they expect SMZ 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 SMZ implied volatility affect this butterfly?: SMZ ATM IV is at 139.30% with IV rank near 0.44%, 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.