BAP Collar Strategy
BAP (Credicorp Ltd.), in the Financial Services sector, (Banks - Regional industry), listed on NYSE.
Credicorp Ltd., a financial service holding company, provides various financial, insurance, and health services and products primarily in Peru and internationally. The company's Universal Banking segment offers deposits and current accounts, and various credits and financial instruments to individuals and legal entities. Its Insurance and Pensions segment issues insurance policies to cover losses in commercial property, transportation, marine vessels, automobile, life, health, and pensions, as well as provides private pension fund management services. The company's Microfinance segment manages loans, credits, deposits, and current accounts of the small and microenterprises. Its Investment Banking and Wealth Management segment offers its services to corporations, institutional investors, governments, and foundations; engages in structuring and placement of issues in the primary market, as well as the execution and negotiation of operations in the secondary market; and structures securitization processes for corporate customers and manages mutual funds. The company was founded in 1889 and is headquartered in Lima, Peru.
BAP (Credicorp Ltd.) trades in the Financial Services sector, specifically Banks - Regional, with a market capitalization of approximately $25.21B, a trailing P/E of 12.52, a beta of 0.84 versus the broader market, a 52-week range of 193.13-380.2, average daily share volume of 402K, a public-listing history dating back to 1995, approximately 39K 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 0.84 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 collar on BAP?
A collar pairs long stock with a protective out-of-the-money put financed by a short out-of-the-money call, capping both tails of the position around the current spot.
Current BAP snapshot
As of May 15, 2026, spot at $315.53, ATM IV 38.50%, IV rank 43.41%, expected move 11.04%. The collar 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 34-day expiry.
Why this collar structure on BAP specifically: IV regime affects collar pricing on both sides; mid-range BAP IV at 38.50% typically pushes the short call premium to roughly offset the long put cost, with a market-implied 1-standard-deviation move of approximately 11.04% (roughly $34.83 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 BAP expiries trade a higher absolute premium for lower per-day decay. Position sizing on BAP should anchor to the underlying notional of $315.53 per share and to the trader's directional view on BAP stock.
BAP collar setup
The BAP collar 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 $315.53, the first option leg uses a $330.00 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 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 BAP shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 100 shares | Stock | $315.53 | long |
| Sell 1 | Call | $330.00 | $5.60 |
| Buy 1 | Put | $300.00 | $12.65 |
BAP collar risk and reward
- Net Premium / Debit
- -$32,258.00
- Max Profit (per contract)
- $742.00
- Max Loss (per contract)
- -$2,258.00
- Breakeven(s)
- $322.58
- Risk / Reward Ratio
- 0.329
Max profit roughly equals short-call strike minus cost basis plus net premium; max loss roughly equals cost basis minus long-put strike minus net premium. Breakeven shifts by the net premium.
BAP collar payoff curve
Modeled P&L at expiration across a range of underlying prices for the collar 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% | -$2,258.00 |
| $69.77 | -77.9% | -$2,258.00 |
| $139.54 | -55.8% | -$2,258.00 |
| $209.30 | -33.7% | -$2,258.00 |
| $279.07 | -11.6% | -$2,258.00 |
| $348.83 | +10.6% | +$742.00 |
| $418.60 | +32.7% | +$742.00 |
| $488.36 | +54.8% | +$742.00 |
| $558.12 | +76.9% | +$742.00 |
| $627.89 | +99.0% | +$742.00 |
When traders use collar on BAP
Collars on BAP hedge an existing long BAP stock position; the long put sets a floor while the short call finances it, often run as a near-zero-cost hedge during expected volatility windows.
BAP thesis for this collar
The market-implied 1-standard-deviation range for BAP extends from approximately $280.70 on the downside to $350.36 on the upside. A BAP collar hedges an existing long BAP position with a protective put while financing the put cost via a short call; when the premiums roughly offset, the collar acts as a near-zero-cost insurance band around the current spot. Current BAP IV rank near 43.41% is mid-range against its 1-year distribution, so the IV signal is neutral; the collar 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 collar positions are structurally neutral (protective); 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 collar on BAP?
- A collar on BAP is the collar strategy applied to BAP (stock). The strategy is structurally neutral (protective): A collar pairs long stock with a protective out-of-the-money put financed by a short out-of-the-money call, capping both tails of the position around the current spot. With BAP stock trading near $315.53, 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 collar max profit and max loss calculated?
- Max profit roughly equals short-call strike minus cost basis plus net premium; max loss roughly equals cost basis minus long-put strike minus net premium. Breakeven shifts by the net premium. For the BAP collar priced from the end-of-day chain at a 30-day expiry (ATM IV 38.50%), the computed maximum profit is $742.00 per contract and the computed maximum loss is -$2,258.00 per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a BAP collar?
- The breakeven for the BAP collar priced on this page is roughly $322.58 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 11.04%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a collar on BAP?
- Collars on BAP hedge an existing long BAP stock position; the long put sets a floor while the short call finances it, often run as a near-zero-cost hedge during expected volatility windows.
- How does current BAP implied volatility affect this collar?
- BAP ATM IV is at 38.50% with IV rank near 43.41%, 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.