CDP Butterfly Strategy
CDP (COPT Defense Properties), in the Real Estate sector, (REIT - Office industry), listed on NYSE.
COPT is a REIT that owns, manages, leases, develops and selectively acquires office and data center properties. The majority of its portfolio is in locations that support the United States Government and its contractors, most of whom are engaged in national security, defense and information technology (IT) related activities servicing what the Company believes are growing, durable, priority missions (Defense/IT Locations). The Company also owns a portfolio of office properties located in select urban submarkets in the Greater Washington, DC/Baltimore region with durable Class-A office fundamentals and characteristics (Regional Office Properties). As of June 30, 2023, the Company derived 90% of its core portfolio annualized rental revenue from Defense/IT Locations and 10% from its Regional Office Properties. As of the same date and including 24 properties owned through unconsolidated joint ventures, COPT's core portfolio of 192 properties encompassed 22.9 million square feet and was 95% leased.
CDP (COPT Defense Properties) trades in the Real Estate sector, specifically REIT - Office, with a market capitalization of approximately $3.59B, a trailing P/E of 22.89, a beta of 0.82 versus the broader market, a 52-week range of 26.44-33.29, average daily share volume of 1.0M, a public-listing history dating back to 1991, approximately 427 full-time employees. These structural characteristics shape how CDP stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 0.82 places CDP roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline. CDP pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.
What is a butterfly on CDP?
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 CDP snapshot
As of May 15, 2026, spot at $31.69, ATM IV 32.20%, IV rank 9.13%, expected move 9.23%. The butterfly on CDP 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 CDP specifically: CDP IV at 32.20% is on the cheap side of its 1-year range, which favors premium-buying structures like a CDP butterfly, with a market-implied 1-standard-deviation move of approximately 9.23% (roughly $2.93 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 CDP expiries trade a higher absolute premium for lower per-day decay. Position sizing on CDP should anchor to the underlying notional of $31.69 per share and to the trader's directional view on CDP stock.
CDP butterfly setup
The CDP 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 CDP near $31.69, the first option leg uses a $30.11 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed CDP 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 CDP shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $30.11 | N/A |
| Sell 2 | Call | $31.69 | N/A |
| Buy 1 | Call | $33.27 | N/A |
CDP 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.
CDP butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on CDP. 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 CDP
Butterflies on CDP are pinning bets - traders use them when they expect CDP 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.
CDP thesis for this butterfly
The market-implied 1-standard-deviation range for CDP extends from approximately $28.76 on the downside to $34.62 on the upside. A CDP long call butterfly is a pinning play: it pays maximum at the middle strike if CDP settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current CDP IV rank near 9.13% 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 CDP at 32.20%. As a Real Estate name, CDP options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to CDP-specific events.
CDP 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. CDP positions also carry Real Estate sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move CDP alongside the broader basket even when CDP-specific fundamentals are unchanged. Always rebuild the position from current CDP chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on CDP?
- A butterfly on CDP is the butterfly strategy applied to CDP (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 CDP stock trading near $31.69, the strikes shown on this page are snapped to the nearest listed CDP chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are CDP 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 CDP butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 32.20%), 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 CDP butterfly?
- The breakeven for the CDP butterfly priced on this page is no defined breakeven on the modeled curve 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 CDP market-implied 1-standard-deviation expected move is approximately 9.23%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on CDP?
- Butterflies on CDP are pinning bets - traders use them when they expect CDP 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 CDP implied volatility affect this butterfly?
- CDP ATM IV is at 32.20% with IV rank near 9.13%, 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.