BAY Butterfly Strategy
BAY (Corgi ETF Trust I - Corgi Bay Area Based ETF), in the Financial Services sector, (Asset Management industry), listed on CBOE.
BAY actively manages a portfolio of equity securities that are significantly involved in the operating and business ecosystem of the San Francisco Bay Area, USA. This area generally refers to the nine-county San Francisco-Oakland-Berkeley metropolitan area (Alameda, Contra Costa, Marin, Napa, San Francisco, San Mateo, Santa Clara, Solano, and Sonoma). The fund evaluates stocks using a bottom-up security selection process that combines fundamental and thematic quant screening. The Adviser identifies companies with exposure to the San Francisco Bay Area innovation and operating base theme, evaluating factors such as revenue exposure, capital intensity, and strategic positioning within the relevant supply chain. Up to 15% may be invested in illiquid investments. These can include interests in special purpose vehicles (SPVs), securities that are subject to legal or contractual restrictions on resale, or SPAC-related investments.
BAY (Corgi ETF Trust I - Corgi Bay Area Based ETF) trades in the Financial Services sector, specifically Asset Management, with a market capitalization of approximately $1.7M, a beta of 1.52 versus the broader market, a 52-week range of 26.33-30.71, average daily share volume of 0K, a public-listing history dating back to 2026. These structural characteristics shape how BAY stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 1.52 indicates BAY has historically moved more than the broader market, amplifying both the directional payoff and the realized volatility relative to an index-equivalent position.
What is a butterfly on BAY?
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.
BAY snapshot
As of September 29, 2026, spot at $29.60, ATM IV 14.50%, IV rank 3.98%, expected move 4.16%. The butterfly on BAY below is built from the end-of-day chain, with strikes snapped to listed contracts and premiums pulled from the bid/ask midpoint at a 17-day expiry.
Why this butterfly structure on BAY specifically: BAY IV at 14.50% is on the cheap side of its 1-year range, which favors premium-buying structures like a BAY butterfly, with a market-implied 1-standard-deviation move of approximately 4.16% (roughly $1.23 on the underlying). The 17-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated BAY expiries trade a higher absolute premium for lower per-day decay. Position sizing on BAY should anchor to the underlying notional of $29.60 per share and to the trader's directional view on BAY stock.
BAY butterfly setup
The BAY 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 BAY at $29.60 on that close, the first option leg uses a $28.12 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed BAY chain at a 17-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 BAY shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $28.12 | N/A |
| Sell 2 | Call | $29.60 | N/A |
| Buy 1 | Call | $31.08 | N/A |
BAY butterfly risk and reward
- Net Premium / Debit
- N/A
- Max Profit (per contract)
- Unbounded
- Max Loss (per contract)
- Unbounded
- Breakeven(s)
- None on modeled curve
- Risk / Reward Ratio
- N/A
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.
BAY butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on BAY. 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.
When traders use butterfly on BAY
Butterflies on BAY are pinning bets - traders use them when they expect BAY 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.
BAY thesis for this butterfly
The market-implied 1-standard-deviation range for BAY extends from approximately $28.37 on the downside to $30.83 on the upside. A BAY long call butterfly is a pinning play: it pays maximum at the middle strike if BAY settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current BAY IV rank near 3.98% 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 BAY at 14.50%. As a Financial Services name, BAY options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to BAY-specific events.
BAY 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. BAY positions also carry Financial Services sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move BAY alongside the broader basket even when BAY-specific fundamentals are unchanged. Always rebuild the position from current BAY chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on BAY?
- A butterfly on BAY is the butterfly strategy applied to BAY (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 BAY stock at $29.60 on the most recent close, the strikes shown on this page are snapped to the nearest listed BAY chain strike and the premiums come straight from that session's bid/ask midpoint.
- How are BAY 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 BAY butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 14.50%), the computed maximum profit is unbounded per contract and the computed maximum loss is unbounded per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a BAY butterfly?
- The breakeven for the BAY butterfly priced on this page is no defined breakeven on the modeled curve at expiration, derived from the end-of-day chain's premiums. Breakeven is the underlying price at which the strategy's P&L crosses zero ignoring transaction costs and assignment risk. The BAY market-implied 1-standard-deviation expected move in the same options snapshot is approximately 4.16%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on BAY?
- Butterflies on BAY are pinning bets - traders use them when they expect BAY 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 BAY implied volatility affect this butterfly?
- BAY ATM IV is at 14.50% with IV rank near 3.98%, 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.