CIM Butterfly Strategy
CIM (Chimera Investment Corporation), in the Real Estate sector, (REIT - Mortgage industry), listed on NYSE.
Chimera Investment Corporation operates as a real estate investment trust (REIT) in the United States. The company, through its subsidiaries, invests in a portfolio of mortgage assets, including residential mortgage loans, agency and non-agency residential mortgage-backed securities, agency mortgage-backed securities secured by pools of residential, commercial mortgage loans, and other real estate related securities. It has elected to be taxed as a REIT. In addition, the company invests in investment, non-investment grade, and non-rated classes. The company was incorporated in 2007 and is based in New York, New York.
CIM (Chimera Investment Corporation) trades in the Real Estate sector, specifically REIT - Mortgage, with a market capitalization of approximately $1.11B, a trailing P/E of 57.76, a beta of 1.79 versus the broader market, a 52-week range of 11.67-14.88, average daily share volume of 805K, a public-listing history dating back to 2007, approximately 77 full-time employees. These structural characteristics shape how CIM stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 1.79 indicates CIM has historically moved more than the broader market, amplifying both the directional payoff and the realized volatility relative to an index-equivalent position. The trailing P/E of 57.76 is on the rich side, which tends to correlate with higher earnings-window IV expansion as the market debates whether forward growth supports the multiple. CIM pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.
What is a butterfly on CIM?
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 CIM snapshot
As of May 15, 2026, spot at $13.07, ATM IV 25.00%, IV rank 3.40%, expected move 7.17%. The butterfly on CIM 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 CIM specifically: CIM IV at 25.00% is on the cheap side of its 1-year range, which favors premium-buying structures like a CIM butterfly, with a market-implied 1-standard-deviation move of approximately 7.17% (roughly $0.94 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 CIM expiries trade a higher absolute premium for lower per-day decay. Position sizing on CIM should anchor to the underlying notional of $13.07 per share and to the trader's directional view on CIM stock.
CIM butterfly setup
The CIM 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 CIM near $13.07, the first option leg uses a $12.42 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed CIM 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 CIM shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $12.42 | N/A |
| Sell 2 | Call | $13.07 | N/A |
| Buy 1 | Call | $13.72 | N/A |
CIM 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.
CIM butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on CIM. 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 CIM
Butterflies on CIM are pinning bets - traders use them when they expect CIM 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.
CIM thesis for this butterfly
The market-implied 1-standard-deviation range for CIM extends from approximately $12.13 on the downside to $14.01 on the upside. A CIM long call butterfly is a pinning play: it pays maximum at the middle strike if CIM settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current CIM IV rank near 3.40% 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 CIM at 25.00%. As a Real Estate name, CIM options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to CIM-specific events.
CIM 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. CIM positions also carry Real Estate sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move CIM alongside the broader basket even when CIM-specific fundamentals are unchanged. Always rebuild the position from current CIM chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on CIM?
- A butterfly on CIM is the butterfly strategy applied to CIM (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 CIM stock trading near $13.07, the strikes shown on this page are snapped to the nearest listed CIM chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are CIM 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 CIM butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 25.00%), 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 CIM butterfly?
- The breakeven for the CIM 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 CIM market-implied 1-standard-deviation expected move is approximately 7.17%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on CIM?
- Butterflies on CIM are pinning bets - traders use them when they expect CIM 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 CIM implied volatility affect this butterfly?
- CIM ATM IV is at 25.00% with IV rank near 3.40%, 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.