FR Butterfly Strategy
FR (First Industrial Realty Trust, Inc.), in the Real Estate sector, (REIT - Industrial industry), listed on NYSE.
First Industrial Realty Trust, Inc. (NYSE: FR) is a leading fully integrated owner, operator, and developer of industrial real estate with a track record of providing industry-leading customer service to multinational corporations and regional customers. Across major markets in the United States, our local market experts manage, lease, buy, (re)develop, and sell bulk and regional distribution centers, light industrial, and other industrial facility types. In total, we own and have under development approximately 64.1 million square feet of industrial space as of September 30, 2020.
FR (First Industrial Realty Trust, Inc.) trades in the Real Estate sector, specifically REIT - Industrial, with a market capitalization of approximately $8.20B, a trailing P/E of 23.93, a beta of 1.09 versus the broader market, a 52-week range of 47.36-64.66, average daily share volume of 1.0M, a public-listing history dating back to 1994, approximately 151 full-time employees. These structural characteristics shape how FR stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 1.09 places FR roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline. FR pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.
What is a butterfly on FR?
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 FR snapshot
As of May 15, 2026, spot at $60.86, ATM IV 21.70%, IV rank 13.23%, expected move 6.22%. The butterfly on FR 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 FR specifically: FR IV at 21.70% is on the cheap side of its 1-year range, which favors premium-buying structures like a FR butterfly, with a market-implied 1-standard-deviation move of approximately 6.22% (roughly $3.79 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 FR expiries trade a higher absolute premium for lower per-day decay. Position sizing on FR should anchor to the underlying notional of $60.86 per share and to the trader's directional view on FR stock.
FR butterfly setup
The FR 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 FR near $60.86, the first option leg uses a $57.82 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed FR 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 FR shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $57.82 | N/A |
| Sell 2 | Call | $60.86 | N/A |
| Buy 1 | Call | $63.90 | N/A |
FR 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.
FR butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on FR. 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 FR
Butterflies on FR are pinning bets - traders use them when they expect FR 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.
FR thesis for this butterfly
The market-implied 1-standard-deviation range for FR extends from approximately $57.07 on the downside to $64.65 on the upside. A FR long call butterfly is a pinning play: it pays maximum at the middle strike if FR settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current FR IV rank near 13.23% 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 FR at 21.70%. As a Real Estate name, FR options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to FR-specific events.
FR 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. FR positions also carry Real Estate sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move FR alongside the broader basket even when FR-specific fundamentals are unchanged. Always rebuild the position from current FR chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on FR?
- A butterfly on FR is the butterfly strategy applied to FR (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 FR stock trading near $60.86, the strikes shown on this page are snapped to the nearest listed FR chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are FR 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 FR butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 21.70%), 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 FR butterfly?
- The breakeven for the FR 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 FR market-implied 1-standard-deviation expected move is approximately 6.22%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on FR?
- Butterflies on FR are pinning bets - traders use them when they expect FR 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 FR implied volatility affect this butterfly?
- FR ATM IV is at 21.70% with IV rank near 13.23%, 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.