SUSA Butterfly Strategy
SUSA (iShares ESG Optimized MSCI USA ETF), in the Financial Services sector, (Asset Management industry), listed on AMEX.
The iShares ESG Optimized MSCI USA ETF seeks to track the investment results of an index composed of U.S. companies that have positive environmental, social and governance characteristics as identified by the index provider.
SUSA (iShares ESG Optimized MSCI USA ETF) trades in the Financial Services sector, specifically Asset Management, with a market capitalization of approximately $3.83B, a beta of 1.05 versus the broader market, a 52-week range of 119.5-150.21, average daily share volume of 46K, a public-listing history dating back to 2005. These structural characteristics shape how SUSA etf options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 1.05 places SUSA roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline. SUSA pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.
What is a butterfly on SUSA?
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 SUSA snapshot
As of May 15, 2026, spot at $149.90, ATM IV 15.60%, IV rank 1.21%, expected move 4.47%. The butterfly on SUSA 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 SUSA specifically: SUSA IV at 15.60% is on the cheap side of its 1-year range, which favors premium-buying structures like a SUSA butterfly, with a market-implied 1-standard-deviation move of approximately 4.47% (roughly $6.70 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 SUSA expiries trade a higher absolute premium for lower per-day decay. Position sizing on SUSA should anchor to the underlying notional of $149.90 per share and to the trader's directional view on SUSA etf.
SUSA butterfly setup
The SUSA 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 SUSA near $149.90, the first option leg uses a $142.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed SUSA 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 SUSA shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $142.00 | $9.25 |
| Sell 2 | Call | $150.00 | $3.00 |
| Buy 1 | Call | $154.00 | $1.17 |
SUSA butterfly risk and reward
- Net Premium / Debit
- -$442.00
- Max Profit (per contract)
- $292.18
- Max Loss (per contract)
- -$442.00
- Breakeven(s)
- $146.42, $153.58
- Risk / Reward Ratio
- 0.661
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.
SUSA butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on SUSA. 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% | -$442.00 |
| $33.15 | -77.9% | -$442.00 |
| $66.30 | -55.8% | -$442.00 |
| $99.44 | -33.7% | -$442.00 |
| $132.58 | -11.6% | -$442.00 |
| $165.72 | +10.6% | -$42.00 |
| $198.87 | +32.7% | -$42.00 |
| $232.01 | +54.8% | -$42.00 |
| $265.15 | +76.9% | -$42.00 |
| $298.29 | +99.0% | -$42.00 |
When traders use butterfly on SUSA
Butterflies on SUSA are pinning bets - traders use them when they expect SUSA 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.
SUSA thesis for this butterfly
The market-implied 1-standard-deviation range for SUSA extends from approximately $143.20 on the downside to $156.60 on the upside. A SUSA long call butterfly is a pinning play: it pays maximum at the middle strike if SUSA settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current SUSA IV rank near 1.21% 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 SUSA at 15.60%. As a Financial Services name, SUSA options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to SUSA-specific events.
SUSA 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. SUSA positions also carry Financial Services sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move SUSA alongside the broader basket even when SUSA-specific fundamentals are unchanged. Always rebuild the position from current SUSA chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on SUSA?
- A butterfly on SUSA is the butterfly strategy applied to SUSA (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 SUSA etf trading near $149.90, the strikes shown on this page are snapped to the nearest listed SUSA chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are SUSA 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 SUSA butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 15.60%), the computed maximum profit is $292.18 per contract and the computed maximum loss is -$442.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a SUSA butterfly?
- The breakeven for the SUSA butterfly priced on this page is roughly $146.42 and $153.58 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 SUSA market-implied 1-standard-deviation expected move is approximately 4.47%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on SUSA?
- Butterflies on SUSA are pinning bets - traders use them when they expect SUSA 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 SUSA implied volatility affect this butterfly?
- SUSA ATM IV is at 15.60% with IV rank near 1.21%, 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.