YBTC Butterfly Strategy
YBTC (Roundhill Investments - Bitcoin Covered Call Strategy ETF), in the Financial Services sector, (Asset Management - Cryptocurrency industry), listed on CBOE.
The Roundhill Bitcoin Covered Call Strategy ETF (YBTC) is notable as the pioneering U.S.-listed ETF to offer a bitcoin covered call strategy. This actively managed fund provides access to bitcoin through investments in exchange-traded products (ETPs) that hold the cryptocurrency directly, albeit with an imposed limit. A core objective of YBTC is to generate potential current income for its investors.
YBTC (Roundhill Investments - Bitcoin Covered Call Strategy ETF) trades in the Financial Services sector, specifically Asset Management - Cryptocurrency, with a market capitalization of approximately $150.2M, a beta of 0.98 versus the broader market, a 52-week range of 16.3-49.8, average daily share volume of 99K, a public-listing history dating back to 2024. These structural characteristics shape how YBTC etf options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 0.98 places YBTC roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline. YBTC pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.
What is a butterfly on YBTC?
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 YBTC snapshot
As of June 30, 2026, spot at $16.50, ATM IV 73.00%, IV rank 14.61%, expected move 20.93%. The butterfly on YBTC 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 80-day expiry.
Why this butterfly structure on YBTC specifically: YBTC IV at 73.00% is on the cheap side of its 1-year range, which favors premium-buying structures like a YBTC butterfly, with a market-implied 1-standard-deviation move of approximately 20.93% (roughly $3.45 on the underlying). The 80-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated YBTC expiries trade a higher absolute premium for lower per-day decay. Position sizing on YBTC should anchor to the underlying notional of $16.50 per share and to the trader's directional view on YBTC etf.
YBTC butterfly setup
The YBTC 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 YBTC near $16.50, the first option leg uses a $16.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed YBTC chain at a 80-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 YBTC shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $16.00 | $1.53 |
| Sell 2 | Call | $16.00 | $1.53 |
| Buy 1 | Call | $17.00 | $0.89 |
YBTC butterfly risk and reward
- Net Premium / Debit
- +$63.50
- Max Profit (per contract)
- $63.50
- Max Loss (per contract)
- -$36.50
- Breakeven(s)
- $16.64
- Risk / Reward Ratio
- 1.740
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.
YBTC butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on YBTC. 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 | -99.9% | +$63.50 |
| $3.66 | -77.8% | +$63.50 |
| $7.30 | -55.7% | +$63.50 |
| $10.95 | -33.6% | +$63.50 |
| $14.60 | -11.5% | +$63.50 |
| $18.25 | +10.6% | -$36.50 |
| $21.89 | +32.7% | -$36.50 |
| $25.54 | +54.8% | -$36.50 |
| $29.19 | +76.9% | -$36.50 |
| $32.83 | +99.0% | -$36.50 |
When traders use butterfly on YBTC
Butterflies on YBTC are pinning bets - traders use them when they expect YBTC 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.
YBTC thesis for this butterfly
The market-implied 1-standard-deviation range for YBTC extends from approximately $13.05 on the downside to $19.95 on the upside. A YBTC long call butterfly is a pinning play: it pays maximum at the middle strike if YBTC settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current YBTC IV rank near 14.61% 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 YBTC at 73.00%. As a Financial Services name, YBTC options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to YBTC-specific events.
YBTC 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. YBTC positions also carry Financial Services sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move YBTC alongside the broader basket even when YBTC-specific fundamentals are unchanged. Always rebuild the position from current YBTC chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on YBTC?
- A butterfly on YBTC is the butterfly strategy applied to YBTC (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 YBTC etf trading near $16.50, the strikes shown on this page are snapped to the nearest listed YBTC chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are YBTC 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 YBTC butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 73.00%), the computed maximum profit is $63.50 per contract and the computed maximum loss is -$36.50 per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a YBTC butterfly?
- The breakeven for the YBTC butterfly priced on this page is roughly $16.64 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 YBTC market-implied 1-standard-deviation expected move is approximately 20.93%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on YBTC?
- Butterflies on YBTC are pinning bets - traders use them when they expect YBTC 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 YBTC implied volatility affect this butterfly?
- YBTC ATM IV is at 73.00% with IV rank near 14.61%, 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.