BPRE Butterfly Strategy
BPRE (Bluerock Private Real Estate Fund), in the Financial Services sector, (Asset Management industry), listed on NYSE.
Bluerock Private Real Estate Fund is a closed-end fund that is traded on the New York Stock Exchange. The firm seeks to deliver consistent current income while also pursuing long-term capital appreciation. The company was founded on May 25, 2012 and is headquartered in New York, NY.
BPRE (Bluerock Private Real Estate Fund) trades in the Financial Services sector, specifically Asset Management, with a market capitalization of approximately $1.77B, a beta of 0.23 versus the broader market, a 52-week range of 11.67-18.265, average daily share volume of 855K, a public-listing history dating back to 2025. These structural characteristics shape how BPRE stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 0.23 indicates BPRE has historically moved less than the broader market, dampening realized volatility and producing tighter expected-move bands per unit of dollar exposure. BPRE pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.
What is a butterfly on BPRE?
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.
BPRE snapshot
As of September 29, 2026, spot at $12.55, ATM IV 71.80%, expected move 20.58%. The butterfly on BPRE 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 BPRE specifically: IV rank is unavailable in the current snapshot, so regime-based timing for BPRE is inferred from ATM IV at 71.80% alone, with a market-implied 1-standard-deviation move of approximately 20.58% (roughly $2.58 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 BPRE expiries trade a higher absolute premium for lower per-day decay. Position sizing on BPRE should anchor to the underlying notional of $12.55 per share and to the trader's directional view on BPRE stock.
BPRE butterfly setup
The BPRE 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 BPRE at $12.55 on that close, the first option leg uses a $11.92 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed BPRE 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 BPRE shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $11.92 | N/A |
| Sell 2 | Call | $12.55 | N/A |
| Buy 1 | Call | $13.18 | N/A |
BPRE 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.
BPRE butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on BPRE. 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 BPRE
Butterflies on BPRE are pinning bets - traders use them when they expect BPRE 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.
BPRE thesis for this butterfly
The market-implied 1-standard-deviation range for BPRE extends from approximately $9.97 on the downside to $15.13 on the upside. A BPRE long call butterfly is a pinning play: it pays maximum at the middle strike if BPRE settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. As a Financial Services name, BPRE options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to BPRE-specific events.
BPRE 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. BPRE positions also carry Financial Services sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move BPRE alongside the broader basket even when BPRE-specific fundamentals are unchanged. Always rebuild the position from current BPRE chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on BPRE?
- A butterfly on BPRE is the butterfly strategy applied to BPRE (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 BPRE stock at $12.55 on the most recent close, the strikes shown on this page are snapped to the nearest listed BPRE chain strike and the premiums come straight from that session's bid/ask midpoint.
- How are BPRE 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 BPRE butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 71.80%), 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 BPRE butterfly?
- The breakeven for the BPRE 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 BPRE market-implied 1-standard-deviation expected move in the same options snapshot is approximately 20.58%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on BPRE?
- Butterflies on BPRE are pinning bets - traders use them when they expect BPRE 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 BPRE implied volatility affect this butterfly?
- Current BPRE ATM IV is 71.80%; IV rank context is unavailable in the current snapshot.