USCI Butterfly Strategy
USCI (United States Commodity Index Fund), in the Financial Services sector, (Asset Management industry), listed on AMEX.
The fund seeks to achieve its investment objective by investing to the fullest extent possible in the Benchmark Component Futures Contracts. The SDCI is designed to reflect the performance of a diversified group of commodities.
USCI (United States Commodity Index Fund) trades in the Financial Services sector, specifically Asset Management, with a market capitalization of approximately $378.4M, a beta of 0.88 versus the broader market, a 52-week range of 69.3-102.93, average daily share volume of 25K, a public-listing history dating back to 2010. These structural characteristics shape how USCI etf options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 0.88 places USCI roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline.
What is a butterfly on USCI?
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 USCI snapshot
As of May 15, 2026, spot at $101.13, ATM IV 31.90%, IV rank 27.95%, expected move 9.15%. The butterfly on USCI 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 USCI specifically: USCI IV at 31.90% is on the cheap side of its 1-year range, which favors premium-buying structures like a USCI butterfly, with a market-implied 1-standard-deviation move of approximately 9.15% (roughly $9.25 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 USCI expiries trade a higher absolute premium for lower per-day decay. Position sizing on USCI should anchor to the underlying notional of $101.13 per share and to the trader's directional view on USCI etf.
USCI butterfly setup
The USCI 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 USCI near $101.13, the first option leg uses a $96.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed USCI 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 USCI shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $96.00 | $7.15 |
| Sell 2 | Call | $101.00 | $4.15 |
| Buy 1 | Call | $106.00 | $2.20 |
USCI butterfly risk and reward
- Net Premium / Debit
- -$105.00
- Max Profit (per contract)
- $357.68
- Max Loss (per contract)
- -$105.00
- Breakeven(s)
- $97.05, $104.95
- Risk / Reward Ratio
- 3.407
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.
USCI butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on USCI. 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% | -$105.00 |
| $22.37 | -77.9% | -$105.00 |
| $44.73 | -55.8% | -$105.00 |
| $67.09 | -33.7% | -$105.00 |
| $89.45 | -11.6% | -$105.00 |
| $111.81 | +10.6% | -$105.00 |
| $134.17 | +32.7% | -$105.00 |
| $156.53 | +54.8% | -$105.00 |
| $178.88 | +76.9% | -$105.00 |
| $201.24 | +99.0% | -$105.00 |
When traders use butterfly on USCI
Butterflies on USCI are pinning bets - traders use them when they expect USCI 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.
USCI thesis for this butterfly
The market-implied 1-standard-deviation range for USCI extends from approximately $91.88 on the downside to $110.38 on the upside. A USCI long call butterfly is a pinning play: it pays maximum at the middle strike if USCI settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current USCI IV rank near 27.95% 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 USCI at 31.90%. As a Financial Services name, USCI options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to USCI-specific events.
USCI 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. USCI positions also carry Financial Services sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move USCI alongside the broader basket even when USCI-specific fundamentals are unchanged. Always rebuild the position from current USCI chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on USCI?
- A butterfly on USCI is the butterfly strategy applied to USCI (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 USCI etf trading near $101.13, the strikes shown on this page are snapped to the nearest listed USCI chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are USCI 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 USCI butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 31.90%), the computed maximum profit is $357.68 per contract and the computed maximum loss is -$105.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a USCI butterfly?
- The breakeven for the USCI butterfly priced on this page is roughly $97.05 and $104.95 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 USCI market-implied 1-standard-deviation expected move is approximately 9.15%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on USCI?
- Butterflies on USCI are pinning bets - traders use them when they expect USCI 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 USCI implied volatility affect this butterfly?
- USCI ATM IV is at 31.90% with IV rank near 27.95%, 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.