UVXY Butterfly Strategy
UVXY (ProShares - Ultra VIX Short-Term Futures ETF), in the Financial Services sector, (Asset Management - Leveraged industry), listed on CBOE.
ProShares Ultra VIX Short-Term Futures ETF seeks daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index.
UVXY (ProShares - Ultra VIX Short-Term Futures ETF) trades in the Financial Services sector, specifically Asset Management - Leveraged, with a market capitalization of approximately $219.4M, a beta of -3.31 versus the broader market, a 52-week range of 33.95-131, average daily share volume of 8.1M, a public-listing history dating back to 2011. These structural characteristics shape how UVXY etf options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of -3.31 indicates UVXY has historically moved less than the broader market, dampening realized volatility and producing tighter expected-move bands per unit of dollar exposure.
What is a butterfly on UVXY?
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 UVXY snapshot
As of May 15, 2026, spot at $35.89, ATM IV 85.55%, IV rank 13.10%, expected move 24.53%. The butterfly on UVXY 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 UVXY specifically: UVXY IV at 85.55% is on the cheap side of its 1-year range, which favors premium-buying structures like a UVXY butterfly, with a market-implied 1-standard-deviation move of approximately 24.53% (roughly $8.80 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 UVXY expiries trade a higher absolute premium for lower per-day decay. Position sizing on UVXY should anchor to the underlying notional of $35.89 per share and to the trader's directional view on UVXY etf.
UVXY butterfly setup
The UVXY 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 UVXY near $35.89, the first option leg uses a $34.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed UVXY 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 UVXY shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $34.00 | $4.68 |
| Sell 2 | Call | $36.00 | $3.43 |
| Buy 1 | Call | $37.50 | $2.84 |
UVXY butterfly risk and reward
- Net Premium / Debit
- -$66.50
- Max Profit (per contract)
- $125.97
- Max Loss (per contract)
- -$66.50
- Breakeven(s)
- $34.67, $37.34
- Risk / Reward Ratio
- 1.894
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.
UVXY butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on UVXY. 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% | -$66.50 |
| $7.94 | -77.9% | -$66.50 |
| $15.88 | -55.8% | -$66.50 |
| $23.81 | -33.6% | -$66.50 |
| $31.75 | -11.5% | -$66.50 |
| $39.68 | +10.6% | -$16.50 |
| $47.62 | +32.7% | -$16.50 |
| $55.55 | +54.8% | -$16.50 |
| $63.48 | +76.9% | -$16.50 |
| $71.42 | +99.0% | -$16.50 |
When traders use butterfly on UVXY
Butterflies on UVXY are pinning bets - traders use them when they expect UVXY 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.
UVXY thesis for this butterfly
The market-implied 1-standard-deviation range for UVXY extends from approximately $27.09 on the downside to $44.69 on the upside. A UVXY long call butterfly is a pinning play: it pays maximum at the middle strike if UVXY settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current UVXY IV rank near 13.10% 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 UVXY at 85.55%. As a Financial Services name, UVXY options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to UVXY-specific events.
UVXY 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. UVXY positions also carry Financial Services sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move UVXY alongside the broader basket even when UVXY-specific fundamentals are unchanged. Always rebuild the position from current UVXY chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on UVXY?
- A butterfly on UVXY is the butterfly strategy applied to UVXY (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 UVXY etf trading near $35.89, the strikes shown on this page are snapped to the nearest listed UVXY chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are UVXY 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 UVXY butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 85.55%), the computed maximum profit is $125.97 per contract and the computed maximum loss is -$66.50 per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a UVXY butterfly?
- The breakeven for the UVXY butterfly priced on this page is roughly $34.67 and $37.34 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 UVXY market-implied 1-standard-deviation expected move is approximately 24.53%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on UVXY?
- Butterflies on UVXY are pinning bets - traders use them when they expect UVXY 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 UVXY implied volatility affect this butterfly?
- UVXY ATM IV is at 85.55% with IV rank near 13.10%, 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.