TLH Butterfly Strategy
TLH (iShares 10-20 Year Treasury Bond ETF), in the Financial Services sector, (Asset Management - Bonds industry), listed on AMEX.
The iShares 10-20 Year Treasury Bond ETF seeks to track the investment results of an index composed of U.S. Treasury bonds with remaining maturities between ten and twenty years.
TLH (iShares 10-20 Year Treasury Bond ETF) trades in the Financial Services sector, specifically Asset Management - Bonds, with a market capitalization of approximately $12.08B, a beta of 1.99 versus the broader market, a 52-week range of 96.74-105.47, average daily share volume of 1.4M, a public-listing history dating back to 2007. These structural characteristics shape how TLH etf options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 1.99 indicates TLH has historically moved more than the broader market, amplifying both the directional payoff and the realized volatility relative to an index-equivalent position. TLH pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.
What is a butterfly on TLH?
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 TLH snapshot
As of May 15, 2026, spot at $97.77, ATM IV 9.20%, IV rank 30.88%, expected move 2.64%. The butterfly on TLH 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 TLH specifically: TLH IV at 9.20% is mid-range versus its 1-year history, so strategy selection should anchor more to the directional thesis than to the IV regime, with a market-implied 1-standard-deviation move of approximately 2.64% (roughly $2.58 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 TLH expiries trade a higher absolute premium for lower per-day decay. Position sizing on TLH should anchor to the underlying notional of $97.77 per share and to the trader's directional view on TLH etf.
TLH butterfly setup
The TLH 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 TLH near $97.77, the first option leg uses a $94.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed TLH 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 TLH shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $94.00 | $4.00 |
| Sell 2 | Call | $98.00 | $0.95 |
| Buy 1 | Call | $103.00 | $0.08 |
TLH butterfly risk and reward
- Net Premium / Debit
- -$217.50
- Max Profit (per contract)
- $155.87
- Max Loss (per contract)
- -$317.50
- Breakeven(s)
- $96.18, $99.83
- Risk / Reward Ratio
- 0.491
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.
TLH butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on TLH. 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% | -$217.50 |
| $21.63 | -77.9% | -$217.50 |
| $43.24 | -55.8% | -$217.50 |
| $64.86 | -33.7% | -$217.50 |
| $86.48 | -11.6% | -$217.50 |
| $108.09 | +10.6% | -$317.50 |
| $129.71 | +32.7% | -$317.50 |
| $151.32 | +54.8% | -$317.50 |
| $172.94 | +76.9% | -$317.50 |
| $194.56 | +99.0% | -$317.50 |
When traders use butterfly on TLH
Butterflies on TLH are pinning bets - traders use them when they expect TLH 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.
TLH thesis for this butterfly
The market-implied 1-standard-deviation range for TLH extends from approximately $95.19 on the downside to $100.35 on the upside. A TLH long call butterfly is a pinning play: it pays maximum at the middle strike if TLH settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current TLH IV rank near 30.88% is mid-range against its 1-year distribution, so the IV signal is neutral; the butterfly thesis on TLH should anchor more to the directional view and the expected-move geometry. As a Financial Services name, TLH options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to TLH-specific events.
TLH 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. TLH positions also carry Financial Services sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move TLH alongside the broader basket even when TLH-specific fundamentals are unchanged. Always rebuild the position from current TLH chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on TLH?
- A butterfly on TLH is the butterfly strategy applied to TLH (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 TLH etf trading near $97.77, the strikes shown on this page are snapped to the nearest listed TLH chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are TLH 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 TLH butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 9.20%), the computed maximum profit is $155.87 per contract and the computed maximum loss is -$317.50 per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a TLH butterfly?
- The breakeven for the TLH butterfly priced on this page is roughly $96.18 and $99.83 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 TLH market-implied 1-standard-deviation expected move is approximately 2.64%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on TLH?
- Butterflies on TLH are pinning bets - traders use them when they expect TLH 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 TLH implied volatility affect this butterfly?
- TLH ATM IV is at 9.20% with IV rank near 30.88%, which is mid-range against its 1-year history. Strategy selection depends more on directional thesis and expected move than on a strong IV signal.