UCO Butterfly Strategy
UCO (ProShares Ultra Bloomberg Crude Oil), in the Financial Services sector, (Asset Management industry), listed on AMEX.
ProShares Trust II - ProShares Ultra Bloomberg Crude Oil is an exchange traded fund launched by ProShare Capital Management LLC. The fund is co-managed by ProFund Advisors LLC and ProShare Advisors LLC. It invests in the commodity markets. The fund uses derivatives such as futures contracts to invest in WTI sweet, light crude oil. It seeks to track 2x the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index. ProShares Trust II - ProShares Ultra Bloomberg Crude Oil was formed on November 24, 2008 and is domiciled in the United States.
UCO (ProShares Ultra Bloomberg Crude Oil) trades in the Financial Services sector, specifically Asset Management, with a market capitalization of approximately $387.8M, a beta of 2.78 versus the broader market, a 52-week range of 18.12-52.94, average daily share volume of 5.3M, a public-listing history dating back to 2008. These structural characteristics shape how UCO etf options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 2.78 indicates UCO has historically moved more than the broader market, amplifying both the directional payoff and the realized volatility relative to an index-equivalent position.
What is a butterfly on UCO?
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 UCO snapshot
As of June 30, 2026, spot at $32.91, ATM IV 63.30%, IV rank 22.85%, expected move 18.15%. The butterfly on UCO 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 17-day expiry.
Why this butterfly structure on UCO specifically: UCO IV at 63.30% is on the cheap side of its 1-year range, which favors premium-buying structures like a UCO butterfly, with a market-implied 1-standard-deviation move of approximately 18.15% (roughly $5.97 on the underlying). The 17-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated UCO expiries trade a higher absolute premium for lower per-day decay. Position sizing on UCO should anchor to the underlying notional of $32.91 per share and to the trader's directional view on UCO etf.
UCO butterfly setup
The UCO 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 UCO near $32.91, 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 UCO chain at a 17-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 UCO shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $31.00 | $2.83 |
| Sell 2 | Call | $33.00 | $1.80 |
| Buy 1 | Call | $35.00 | $1.03 |
UCO butterfly risk and reward
- Net Premium / Debit
- -$25.00
- Max Profit (per contract)
- $166.96
- Max Loss (per contract)
- -$25.00
- Breakeven(s)
- $31.25, $34.75
- Risk / Reward Ratio
- 6.679
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.
UCO butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on UCO. 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% | -$25.00 |
| $7.29 | -77.9% | -$25.00 |
| $14.56 | -55.8% | -$25.00 |
| $21.84 | -33.6% | -$25.00 |
| $29.11 | -11.5% | -$25.00 |
| $36.39 | +10.6% | -$25.00 |
| $43.66 | +32.7% | -$25.00 |
| $50.94 | +54.8% | -$25.00 |
| $58.21 | +76.9% | -$25.00 |
| $65.49 | +99.0% | -$25.00 |
When traders use butterfly on UCO
Butterflies on UCO are pinning bets - traders use them when they expect UCO 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.
UCO thesis for this butterfly
The market-implied 1-standard-deviation range for UCO extends from approximately $26.94 on the downside to $38.88 on the upside. A UCO long call butterfly is a pinning play: it pays maximum at the middle strike if UCO settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current UCO IV rank near 22.85% 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 UCO at 63.30%. As a Financial Services name, UCO options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to UCO-specific events.
UCO 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. UCO positions also carry Financial Services sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move UCO alongside the broader basket even when UCO-specific fundamentals are unchanged. Always rebuild the position from current UCO chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on UCO?
- A butterfly on UCO is the butterfly strategy applied to UCO (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 UCO etf trading near $32.91, the strikes shown on this page are snapped to the nearest listed UCO chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are UCO 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 UCO butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 63.30%), the computed maximum profit is $166.96 per contract and the computed maximum loss is -$25.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a UCO butterfly?
- The breakeven for the UCO butterfly priced on this page is roughly $31.25 and $34.75 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 UCO market-implied 1-standard-deviation expected move is approximately 18.15%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on UCO?
- Butterflies on UCO are pinning bets - traders use them when they expect UCO 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 UCO implied volatility affect this butterfly?
- UCO ATM IV is at 63.30% with IV rank near 22.85%, 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.