VLUE Butterfly Strategy
VLUE (iShares MSCI USA Value Factor ETF), in the Financial Services sector, (Asset Management industry), listed on CBOE.
The iShares MSCI USA Value Factor ETF seeks to track the investment results of an index composed of U.S. large- and mid-capitalization stocks with value characteristics and relatively lower valuations.
VLUE (iShares MSCI USA Value Factor ETF) trades in the Financial Services sector, specifically Asset Management, with a market capitalization of approximately $12.15B, a beta of 1.12 versus the broader market, a 52-week range of 105.25-186.95, average daily share volume of 1.3M, a public-listing history dating back to 2013. These structural characteristics shape how VLUE etf options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 1.12 places VLUE roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline. VLUE pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.
What is a butterfly on VLUE?
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 VLUE snapshot
As of May 15, 2026, spot at $180.15, ATM IV 18.00%, IV rank 14.25%, expected move 5.16%. The butterfly on VLUE 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 VLUE specifically: VLUE IV at 18.00% is on the cheap side of its 1-year range, which favors premium-buying structures like a VLUE butterfly, with a market-implied 1-standard-deviation move of approximately 5.16% (roughly $9.30 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 VLUE expiries trade a higher absolute premium for lower per-day decay. Position sizing on VLUE should anchor to the underlying notional of $180.15 per share and to the trader's directional view on VLUE etf.
VLUE butterfly setup
The VLUE 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 VLUE near $180.15, the first option leg uses a $171.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed VLUE 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 VLUE shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $171.00 | $11.35 |
| Sell 2 | Call | $180.00 | $4.48 |
| Buy 1 | Call | $190.00 | $0.74 |
VLUE butterfly risk and reward
- Net Premium / Debit
- -$314.00
- Max Profit (per contract)
- $510.97
- Max Loss (per contract)
- -$414.00
- Breakeven(s)
- $174.14, $185.86
- Risk / Reward Ratio
- 1.234
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.
VLUE butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on VLUE. 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% | -$314.00 |
| $39.84 | -77.9% | -$314.00 |
| $79.67 | -55.8% | -$314.00 |
| $119.50 | -33.7% | -$314.00 |
| $159.33 | -11.6% | -$314.00 |
| $199.17 | +10.6% | -$414.00 |
| $239.00 | +32.7% | -$414.00 |
| $278.83 | +54.8% | -$414.00 |
| $318.66 | +76.9% | -$414.00 |
| $358.49 | +99.0% | -$414.00 |
When traders use butterfly on VLUE
Butterflies on VLUE are pinning bets - traders use them when they expect VLUE 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.
VLUE thesis for this butterfly
The market-implied 1-standard-deviation range for VLUE extends from approximately $170.85 on the downside to $189.45 on the upside. A VLUE long call butterfly is a pinning play: it pays maximum at the middle strike if VLUE settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current VLUE IV rank near 14.25% 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 VLUE at 18.00%. As a Financial Services name, VLUE options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to VLUE-specific events.
VLUE 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. VLUE positions also carry Financial Services sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move VLUE alongside the broader basket even when VLUE-specific fundamentals are unchanged. Always rebuild the position from current VLUE chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on VLUE?
- A butterfly on VLUE is the butterfly strategy applied to VLUE (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 VLUE etf trading near $180.15, the strikes shown on this page are snapped to the nearest listed VLUE chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are VLUE 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 VLUE butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 18.00%), the computed maximum profit is $510.97 per contract and the computed maximum loss is -$414.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a VLUE butterfly?
- The breakeven for the VLUE butterfly priced on this page is roughly $174.14 and $185.86 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 VLUE market-implied 1-standard-deviation expected move is approximately 5.16%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on VLUE?
- Butterflies on VLUE are pinning bets - traders use them when they expect VLUE 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 VLUE implied volatility affect this butterfly?
- VLUE ATM IV is at 18.00% with IV rank near 14.25%, 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.