ZROZ Butterfly Strategy
ZROZ (PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund), in the Financial Services sector, (Asset Management industry), listed on AMEX.
The Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of The BofA Merrill Lynch Long Treasury Principal STRIPS IndexSM
ZROZ (PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund) trades in the Financial Services sector, specifically Asset Management, with a market capitalization of approximately $1.34B, a beta of 3.62 versus the broader market, a 52-week range of 61-71.22, average daily share volume of 588K, a public-listing history dating back to 2009. These structural characteristics shape how ZROZ etf options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 3.62 indicates ZROZ has historically moved more than the broader market, amplifying both the directional payoff and the realized volatility relative to an index-equivalent position. ZROZ pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.
What is a butterfly on ZROZ?
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 ZROZ snapshot
As of May 15, 2026, spot at $60.23, ATM IV 16.20%, IV rank 35.86%, expected move 4.64%. The butterfly on ZROZ 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 ZROZ specifically: ZROZ IV at 16.20% is mid-range versus its 1-year history, so strategy selection should anchor more to the directional thesis than to the IV regime, with a market-implied 1-standard-deviation move of approximately 4.64% (roughly $2.80 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 ZROZ expiries trade a higher absolute premium for lower per-day decay. Position sizing on ZROZ should anchor to the underlying notional of $60.23 per share and to the trader's directional view on ZROZ etf.
ZROZ butterfly setup
The ZROZ 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 ZROZ near $60.23, the first option leg uses a $57.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed ZROZ 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 ZROZ shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $57.00 | $3.75 |
| Sell 2 | Call | $60.00 | $1.43 |
| Buy 1 | Call | $63.00 | $0.38 |
ZROZ butterfly risk and reward
- Net Premium / Debit
- -$127.50
- Max Profit (per contract)
- $165.74
- Max Loss (per contract)
- -$127.50
- Breakeven(s)
- $58.28, $61.73
- Risk / Reward Ratio
- 1.300
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.
ZROZ butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on ZROZ. 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% | -$127.50 |
| $13.33 | -77.9% | -$127.50 |
| $26.64 | -55.8% | -$127.50 |
| $39.96 | -33.7% | -$127.50 |
| $53.27 | -11.5% | -$127.50 |
| $66.59 | +10.6% | -$127.50 |
| $79.91 | +32.7% | -$127.50 |
| $93.22 | +54.8% | -$127.50 |
| $106.54 | +76.9% | -$127.50 |
| $119.85 | +99.0% | -$127.50 |
When traders use butterfly on ZROZ
Butterflies on ZROZ are pinning bets - traders use them when they expect ZROZ 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.
ZROZ thesis for this butterfly
The market-implied 1-standard-deviation range for ZROZ extends from approximately $57.43 on the downside to $63.03 on the upside. A ZROZ long call butterfly is a pinning play: it pays maximum at the middle strike if ZROZ settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current ZROZ IV rank near 35.86% is mid-range against its 1-year distribution, so the IV signal is neutral; the butterfly thesis on ZROZ should anchor more to the directional view and the expected-move geometry. As a Financial Services name, ZROZ options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to ZROZ-specific events.
ZROZ 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. ZROZ positions also carry Financial Services sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move ZROZ alongside the broader basket even when ZROZ-specific fundamentals are unchanged. Always rebuild the position from current ZROZ chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on ZROZ?
- A butterfly on ZROZ is the butterfly strategy applied to ZROZ (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 ZROZ etf trading near $60.23, the strikes shown on this page are snapped to the nearest listed ZROZ chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are ZROZ 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 ZROZ butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 16.20%), the computed maximum profit is $165.74 per contract and the computed maximum loss is -$127.50 per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a ZROZ butterfly?
- The breakeven for the ZROZ butterfly priced on this page is roughly $58.28 and $61.73 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 ZROZ market-implied 1-standard-deviation expected move is approximately 4.64%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on ZROZ?
- Butterflies on ZROZ are pinning bets - traders use them when they expect ZROZ 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 ZROZ implied volatility affect this butterfly?
- ZROZ ATM IV is at 16.20% with IV rank near 35.86%, which is mid-range against its 1-year history. Strategy selection depends more on directional thesis and expected move than on a strong IV signal.