BAP Butterfly Strategy
BAP (Credicorp Ltd.), in the Financial Services sector, (Banks industry), listed on NYSE.
Credicorp Ltd., together with its subsidiaries, provides various banking services and products in Peru, Bermuda, Colombia, Bolivia, Panama, Chile, the United States, the Cayman Islands, and Mexico. It operates through Universal Banking; Insurance, Medical Services, and Pensions; Microfinance; and Investment Management and Advisory segments. The company grants various credits and financial instruments to individuals and legal entities; and various deposits and current accounts. It also issues insurance policies to cover losses in commercial property, transport, marine vessels, automobiles, life, health, and pensions; provides medical and health services, as well as management services of private pension funds to the affiliates. In addition, the company is involved in the management of loans, credits, and deposits and checking accounts of the small and microenterprises; provision of brokerage service and investment management services to corporations, institutional investors, governments, and foundations; structuring and placement of issues in the primary market; execution and negotiation of transactions in the secondary market; structures securitization processes for corporate customers; and manages mutual funds. Further, it engages in the provision of custody, trustee, capital markets, asset management, and payment processing services; operates digital platform for e commerce; management and development of digital businesses; and acts as a private pension fund administrator.
BAP (Credicorp Ltd.) trades in the Financial Services sector, specifically Banks, with a market capitalization of approximately $30.52B, a trailing P/E of 14.43, a beta of 0.86 versus the broader market, a 52-week range of 216.87-398.52, average daily share volume of 496K, a public-listing history dating back to 1995, approximately 49K full-time employees. These structural characteristics shape how BAP stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 0.86 places BAP roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline. BAP pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.
What is a butterfly on BAP?
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 BAP snapshot
As of June 29, 2026, spot at $384.61, ATM IV 39.00%, IV rank 37.26%, expected move 11.18%. The butterfly on BAP 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 18-day expiry.
Why this butterfly structure on BAP specifically: BAP IV at 39.00% 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 11.18% (roughly $43.00 on the underlying). The 18-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated BAP expiries trade a higher absolute premium for lower per-day decay. Position sizing on BAP should anchor to the underlying notional of $384.61 per share and to the trader's directional view on BAP stock.
BAP butterfly setup
The BAP 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 BAP near $384.61, the first option leg uses a $370.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed BAP chain at a 18-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 BAP shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $370.00 | $22.65 |
| Sell 2 | Call | $380.00 | $16.70 |
| Buy 1 | Call | $400.00 | $7.90 |
BAP butterfly risk and reward
- Net Premium / Debit
- +$285.00
- Max Profit (per contract)
- $1,166.69
- Max Loss (per contract)
- -$715.00
- Breakeven(s)
- $392.85
- Risk / Reward Ratio
- 1.632
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.
BAP butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on BAP. 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% | +$285.00 |
| $85.05 | -77.9% | +$285.00 |
| $170.09 | -55.8% | +$285.00 |
| $255.12 | -33.7% | +$285.00 |
| $340.16 | -11.6% | +$285.00 |
| $425.20 | +10.6% | -$715.00 |
| $510.24 | +32.7% | -$715.00 |
| $595.28 | +54.8% | -$715.00 |
| $680.32 | +76.9% | -$715.00 |
| $765.35 | +99.0% | -$715.00 |
When traders use butterfly on BAP
Butterflies on BAP are pinning bets - traders use them when they expect BAP 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.
BAP thesis for this butterfly
The market-implied 1-standard-deviation range for BAP extends from approximately $341.61 on the downside to $427.61 on the upside. A BAP long call butterfly is a pinning play: it pays maximum at the middle strike if BAP settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current BAP IV rank near 37.26% is mid-range against its 1-year distribution, so the IV signal is neutral; the butterfly thesis on BAP should anchor more to the directional view and the expected-move geometry. As a Financial Services name, BAP options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to BAP-specific events.
BAP 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. BAP positions also carry Financial Services sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move BAP alongside the broader basket even when BAP-specific fundamentals are unchanged. Always rebuild the position from current BAP chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on BAP?
- A butterfly on BAP is the butterfly strategy applied to BAP (stock). 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 BAP stock trading near $384.61, the strikes shown on this page are snapped to the nearest listed BAP chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are BAP 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 BAP butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 39.00%), the computed maximum profit is $1,166.69 per contract and the computed maximum loss is -$715.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a BAP butterfly?
- The breakeven for the BAP butterfly priced on this page is roughly $392.85 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 BAP market-implied 1-standard-deviation expected move is approximately 11.18%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on BAP?
- Butterflies on BAP are pinning bets - traders use them when they expect BAP 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 BAP implied volatility affect this butterfly?
- BAP ATM IV is at 39.00% with IV rank near 37.26%, 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.