DNLI Collar Strategy
DNLI (Denali Therapeutics Inc.), in the Healthcare sector, (Biotechnology industry), listed on NASDAQ.
Denali Therapeutics Inc. is a biopharmaceutical firm, founded in 2013 and based in South San Francisco, California, which focuses on identifying and advancing treatments for neurodegenerative conditions within the United States. The company, initially known as SPR Pharma Inc. until its renaming in March 2015, possesses a robust development pipeline. This includes BIIB122/DNL151, a small molecule inhibitor targeting leucine-rich repeat kinase 2 (LRRK2), currently in Phase 1 and Phase 1b clinical trials for Parkinson's disease. Another candidate, DNL310, is progressing through Phase 1/2 clinical studies for Hunter syndrome. For amyotrophic lateral sclerosis (ALS), DNL343 is in Phase 1 trials, while AR443820/DNL788 has successfully concluded its Phase 1 clinical trial for ALS, multiple sclerosis (MS), and Alzheimer's disease. Furthermore, SAR443122/DNL758 is undergoing Phase 2 clinical trials for cutaneous lupus erythematosus.
DNLI (Denali Therapeutics Inc.) trades in the Healthcare sector, specifically Biotechnology, with a market capitalization of approximately $4.06B, a beta of 1.01 versus the broader market, a 52-week range of 12.58-25.965, average daily share volume of 1.7M, a public-listing history dating back to 2017, approximately 443 full-time employees. These structural characteristics shape how DNLI stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 1.01 places DNLI roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline.
What is a collar on DNLI?
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 DNLI snapshot
As of June 30, 2026, spot at $25.72, ATM IV 104.10%, IV rank 23.35%, expected move 29.84%. The collar on DNLI 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 17-day expiry.
Why this collar structure on DNLI specifically: IV regime affects collar pricing on both sides; compressed DNLI IV at 104.10% typically pushes the short call premium to roughly offset the long put cost, with a market-implied 1-standard-deviation move of approximately 29.84% (roughly $7.68 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 DNLI expiries trade a higher absolute premium for lower per-day decay. Position sizing on DNLI should anchor to the underlying notional of $25.72 per share and to the trader's directional view on DNLI stock.
DNLI collar setup
The DNLI 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 DNLI near $25.72, the first option leg uses a $27.01 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed DNLI 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 DNLI shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 100 shares | Stock | $25.72 | long |
| Sell 1 | Call | $27.01 | N/A |
| Buy 1 | Put | $24.43 | N/A |
DNLI collar 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 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.
DNLI collar payoff curve
Modeled P&L at expiration across a range of underlying prices for the collar on DNLI. 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 collar on DNLI
Collars on DNLI hedge an existing long DNLI 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.
DNLI thesis for this collar
The market-implied 1-standard-deviation range for DNLI extends from approximately $18.04 on the downside to $33.40 on the upside. A DNLI collar hedges an existing long DNLI 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 DNLI IV rank near 23.35% 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 DNLI at 104.10%. As a Healthcare name, DNLI options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to DNLI-specific events.
DNLI 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. DNLI positions also carry Healthcare sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move DNLI alongside the broader basket even when DNLI-specific fundamentals are unchanged. Always rebuild the position from current DNLI chain quotes before placing a trade.
Frequently asked questions
- What is a collar on DNLI?
- A collar on DNLI is the collar strategy applied to DNLI (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 DNLI stock trading near $25.72, the strikes shown on this page are snapped to the nearest listed DNLI chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are DNLI 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 DNLI collar priced from the end-of-day chain at a 30-day expiry (ATM IV 104.10%), 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 DNLI collar?
- The breakeven for the DNLI collar 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 DNLI market-implied 1-standard-deviation expected move is approximately 29.84%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a collar on DNLI?
- Collars on DNLI hedge an existing long DNLI 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 DNLI implied volatility affect this collar?
- DNLI ATM IV is at 104.10% with IV rank near 23.35%, 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.