SRS Butterfly Strategy
SRS (ProShares - UltraShort Real Estate), in the Financial Services sector, (Asset Management - Leveraged industry), listed on AMEX.
ProShares UltraShort Real Estate seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the S&P Real Estate Select SectorSM Index.
SRS (ProShares - UltraShort Real Estate) trades in the Financial Services sector, specifically Asset Management - Leveraged, with a market capitalization of approximately $17.0M, a beta of -1.89 versus the broader market, a 52-week range of 39.58-51.32, average daily share volume of 12K, a public-listing history dating back to 2007. These structural characteristics shape how SRS etf options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of -1.89 indicates SRS has historically moved less than the broader market, dampening realized volatility and producing tighter expected-move bands per unit of dollar exposure. SRS pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.
What is a butterfly on SRS?
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 SRS snapshot
As of May 15, 2026, spot at $42.67, ATM IV 34.80%, IV rank 18.49%, expected move 9.98%. The butterfly on SRS 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 SRS specifically: SRS IV at 34.80% is on the cheap side of its 1-year range, which favors premium-buying structures like a SRS butterfly, with a market-implied 1-standard-deviation move of approximately 9.98% (roughly $4.26 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 SRS expiries trade a higher absolute premium for lower per-day decay. Position sizing on SRS should anchor to the underlying notional of $42.67 per share and to the trader's directional view on SRS etf.
SRS butterfly setup
The SRS 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 SRS near $42.67, the first option leg uses a $41.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed SRS 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 SRS shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $41.00 | $2.35 |
| Sell 2 | Call | $43.00 | $1.40 |
| Buy 1 | Call | $45.00 | $0.88 |
SRS butterfly risk and reward
- Net Premium / Debit
- -$42.50
- Max Profit (per contract)
- $146.44
- Max Loss (per contract)
- -$42.50
- Breakeven(s)
- $41.43, $44.58
- Risk / Reward Ratio
- 3.446
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.
SRS butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on SRS. 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% | -$42.50 |
| $9.44 | -77.9% | -$42.50 |
| $18.88 | -55.8% | -$42.50 |
| $28.31 | -33.7% | -$42.50 |
| $37.74 | -11.5% | -$42.50 |
| $47.18 | +10.6% | -$42.50 |
| $56.61 | +32.7% | -$42.50 |
| $66.04 | +54.8% | -$42.50 |
| $75.48 | +76.9% | -$42.50 |
| $84.91 | +99.0% | -$42.50 |
When traders use butterfly on SRS
Butterflies on SRS are pinning bets - traders use them when they expect SRS 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.
SRS thesis for this butterfly
The market-implied 1-standard-deviation range for SRS extends from approximately $38.41 on the downside to $46.93 on the upside. A SRS long call butterfly is a pinning play: it pays maximum at the middle strike if SRS settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current SRS IV rank near 18.49% 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 SRS at 34.80%. As a Financial Services name, SRS options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to SRS-specific events.
SRS 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. SRS positions also carry Financial Services sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move SRS alongside the broader basket even when SRS-specific fundamentals are unchanged. Always rebuild the position from current SRS chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on SRS?
- A butterfly on SRS is the butterfly strategy applied to SRS (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 SRS etf trading near $42.67, the strikes shown on this page are snapped to the nearest listed SRS chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are SRS 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 SRS butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 34.80%), the computed maximum profit is $146.44 per contract and the computed maximum loss is -$42.50 per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a SRS butterfly?
- The breakeven for the SRS butterfly priced on this page is roughly $41.43 and $44.58 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 SRS market-implied 1-standard-deviation expected move is approximately 9.98%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on SRS?
- Butterflies on SRS are pinning bets - traders use them when they expect SRS 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 SRS implied volatility affect this butterfly?
- SRS ATM IV is at 34.80% with IV rank near 18.49%, 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.