TMF Butterfly Strategy
TMF (Direxion Daily 20+ Year Treasury Bull 3X ETF), in the Financial Services sector, (Asset Management - Leveraged industry), listed on AMEX.
The Direxion Daily 20+ Year Treasury Bull & Bear 3X ETFs seek daily investment results, before fees and expenses, of 300%, or 300% of the inverse (or opposite), of the performance of the ICE U.S. Treasury 20+ Year Bond Index. There is no guarantee the funds will achieve their stated investment objectives.
TMF (Direxion Daily 20+ Year Treasury Bull 3X ETF) trades in the Financial Services sector, specifically Asset Management - Leveraged, with a market capitalization of approximately $2.58B, a beta of 7.15 versus the broader market, a 52-week range of 33.51-44.24, average daily share volume of 4.9M, a public-listing history dating back to 2009. These structural characteristics shape how TMF etf options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 7.15 indicates TMF has historically moved more than the broader market, amplifying both the directional payoff and the realized volatility relative to an index-equivalent position. TMF pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.
What is a butterfly on TMF?
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 TMF snapshot
As of May 15, 2026, spot at $32.61, ATM IV 32.01%, IV rank 26.13%, expected move 9.18%. The butterfly on TMF 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 28-day expiry.
Why this butterfly structure on TMF specifically: TMF IV at 32.01% is on the cheap side of its 1-year range, which favors premium-buying structures like a TMF butterfly, with a market-implied 1-standard-deviation move of approximately 9.18% (roughly $2.99 on the underlying). The 28-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated TMF expiries trade a higher absolute premium for lower per-day decay. Position sizing on TMF should anchor to the underlying notional of $32.61 per share and to the trader's directional view on TMF etf.
TMF butterfly setup
The TMF 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 TMF near $32.61, the first option leg uses a $31.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed TMF chain at a 28-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 TMF shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $31.00 | $2.19 |
| Sell 2 | Call | $32.50 | $1.23 |
| Buy 1 | Call | $34.00 | $0.61 |
TMF butterfly risk and reward
- Net Premium / Debit
- -$33.50
- Max Profit (per contract)
- $111.62
- Max Loss (per contract)
- -$33.50
- Breakeven(s)
- $31.34, $33.67
- Risk / Reward Ratio
- 3.332
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.
TMF butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on TMF. 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% | -$33.50 |
| $7.22 | -77.9% | -$33.50 |
| $14.43 | -55.8% | -$33.50 |
| $21.64 | -33.6% | -$33.50 |
| $28.85 | -11.5% | -$33.50 |
| $36.06 | +10.6% | -$33.50 |
| $43.26 | +32.7% | -$33.50 |
| $50.47 | +54.8% | -$33.50 |
| $57.68 | +76.9% | -$33.50 |
| $64.89 | +99.0% | -$33.50 |
When traders use butterfly on TMF
Butterflies on TMF are pinning bets - traders use them when they expect TMF 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.
TMF thesis for this butterfly
The market-implied 1-standard-deviation range for TMF extends from approximately $29.62 on the downside to $35.60 on the upside. A TMF long call butterfly is a pinning play: it pays maximum at the middle strike if TMF settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current TMF IV rank near 26.13% 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 TMF at 32.01%. As a Financial Services name, TMF options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to TMF-specific events.
TMF 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. TMF positions also carry Financial Services sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move TMF alongside the broader basket even when TMF-specific fundamentals are unchanged. Always rebuild the position from current TMF chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on TMF?
- A butterfly on TMF is the butterfly strategy applied to TMF (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 TMF etf trading near $32.61, the strikes shown on this page are snapped to the nearest listed TMF chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are TMF 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 TMF butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 32.01%), the computed maximum profit is $111.62 per contract and the computed maximum loss is -$33.50 per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a TMF butterfly?
- The breakeven for the TMF butterfly priced on this page is roughly $31.34 and $33.67 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 TMF market-implied 1-standard-deviation expected move is approximately 9.18%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on TMF?
- Butterflies on TMF are pinning bets - traders use them when they expect TMF 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 TMF implied volatility affect this butterfly?
- TMF ATM IV is at 32.01% with IV rank near 26.13%, 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.