SWAN Butterfly Strategy
SWAN (Amplify BlackSwan Growth & Treasury Core ETF), in the Financial Services sector, (Asset Management industry), listed on AMEX.
The BlackSwan ETF seeks investment results that correspond to the S-Network BlackSwan Core Index (the Index). The Index’s investment strategy seeks uncapped exposure to the S&P 500, while buffering against the possibility of significant losses. Approximately 90% of the ETF will be invested in U.S. Treasury securities, while approximately 10% will be invested in SPY Options in the form of in-the-money calls.
SWAN (Amplify BlackSwan Growth & Treasury Core ETF) trades in the Financial Services sector, specifically Asset Management, with a market capitalization of approximately $273.9M, a beta of 0.84 versus the broader market, a 52-week range of 28.93-33.64, average daily share volume of 83K, a public-listing history dating back to 2018. These structural characteristics shape how SWAN etf options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 0.84 places SWAN roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline. SWAN pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.
What is a butterfly on SWAN?
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 SWAN snapshot
As of May 15, 2026, spot at $33.27, ATM IV 25.10%, IV rank 3.66%, expected move 7.20%. The butterfly on SWAN 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 SWAN specifically: SWAN IV at 25.10% is on the cheap side of its 1-year range, which favors premium-buying structures like a SWAN butterfly, with a market-implied 1-standard-deviation move of approximately 7.20% (roughly $2.39 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 SWAN expiries trade a higher absolute premium for lower per-day decay. Position sizing on SWAN should anchor to the underlying notional of $33.27 per share and to the trader's directional view on SWAN etf.
SWAN butterfly setup
The SWAN 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 SWAN near $33.27, the first option leg uses a $32.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed SWAN 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 SWAN shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $32.00 | $1.84 |
| Sell 2 | Call | $33.00 | $1.22 |
| Buy 1 | Call | $35.00 | $0.43 |
SWAN butterfly risk and reward
- Net Premium / Debit
- +$17.00
- Max Profit (per contract)
- $106.22
- Max Loss (per contract)
- -$83.00
- Breakeven(s)
- $34.17
- Risk / Reward Ratio
- 1.280
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.
SWAN butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on SWAN. 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% | +$17.00 |
| $7.37 | -77.9% | +$17.00 |
| $14.72 | -55.8% | +$17.00 |
| $22.08 | -33.6% | +$17.00 |
| $29.43 | -11.5% | +$17.00 |
| $36.79 | +10.6% | -$83.00 |
| $44.14 | +32.7% | -$83.00 |
| $51.50 | +54.8% | -$83.00 |
| $58.85 | +76.9% | -$83.00 |
| $66.21 | +99.0% | -$83.00 |
When traders use butterfly on SWAN
Butterflies on SWAN are pinning bets - traders use them when they expect SWAN 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.
SWAN thesis for this butterfly
The market-implied 1-standard-deviation range for SWAN extends from approximately $30.88 on the downside to $35.66 on the upside. A SWAN long call butterfly is a pinning play: it pays maximum at the middle strike if SWAN settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current SWAN IV rank near 3.66% 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 SWAN at 25.10%. As a Financial Services name, SWAN options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to SWAN-specific events.
SWAN 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. SWAN positions also carry Financial Services sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move SWAN alongside the broader basket even when SWAN-specific fundamentals are unchanged. Always rebuild the position from current SWAN chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on SWAN?
- A butterfly on SWAN is the butterfly strategy applied to SWAN (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 SWAN etf trading near $33.27, the strikes shown on this page are snapped to the nearest listed SWAN chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are SWAN 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 SWAN butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 25.10%), the computed maximum profit is $106.22 per contract and the computed maximum loss is -$83.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a SWAN butterfly?
- The breakeven for the SWAN butterfly priced on this page is roughly $34.17 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 SWAN market-implied 1-standard-deviation expected move is approximately 7.20%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on SWAN?
- Butterflies on SWAN are pinning bets - traders use them when they expect SWAN 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 SWAN implied volatility affect this butterfly?
- SWAN ATM IV is at 25.10% with IV rank near 3.66%, 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.