GLRE Butterfly Strategy
GLRE (Greenlight Capital Re, Ltd.), in the Financial Services sector, (Insurance - Reinsurance industry), listed on NASDAQ.
Greenlight Capital Re, Ltd., through its subsidiaries, operates as a property and casualty reinsurance company worldwide. The company offers various property reinsurance products and services, including automobile physical damage, personal lines, and commercial lines. It also provides casualty reinsurance products and services comprising general liability, motor liability, professional liability, and worker's compensation; and accident and health, transactional liability, mortgage insurance, surety, trade credit, marine, energy, aviation, crop, cyber, political, and terrorism products. The company markets its products through reinsurance brokers. Greenlight Capital Re, Ltd. was incorporated in 2004 and is headquartered in Grand Cayman, the Cayman Islands.
GLRE (Greenlight Capital Re, Ltd.) trades in the Financial Services sector, specifically Insurance - Reinsurance, with a market capitalization of approximately $578.1M, a trailing P/E of 7.24, a beta of 0.38 versus the broader market, a 52-week range of 11.57-19.39, average daily share volume of 202K, a public-listing history dating back to 2007, approximately 75 full-time employees. These structural characteristics shape how GLRE stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 0.38 indicates GLRE has historically moved less than the broader market, dampening realized volatility and producing tighter expected-move bands per unit of dollar exposure. The trailing P/E of 7.24 is on the value side, where IV often compresses outside event windows because forward growth expectations are already discounted into the share price.
What is a butterfly on GLRE?
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 GLRE snapshot
As of May 15, 2026, spot at $17.51, ATM IV 59.40%, IV rank 17.62%, expected move 17.03%. The butterfly on GLRE 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 GLRE specifically: GLRE IV at 59.40% is on the cheap side of its 1-year range, which favors premium-buying structures like a GLRE butterfly, with a market-implied 1-standard-deviation move of approximately 17.03% (roughly $2.98 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 GLRE expiries trade a higher absolute premium for lower per-day decay. Position sizing on GLRE should anchor to the underlying notional of $17.51 per share and to the trader's directional view on GLRE stock.
GLRE butterfly setup
The GLRE 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 GLRE near $17.51, the first option leg uses a $16.63 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed GLRE 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 GLRE shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $16.63 | N/A |
| Sell 2 | Call | $17.51 | N/A |
| Buy 1 | Call | $18.39 | N/A |
GLRE 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.
GLRE butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on GLRE. 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 GLRE
Butterflies on GLRE are pinning bets - traders use them when they expect GLRE 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.
GLRE thesis for this butterfly
The market-implied 1-standard-deviation range for GLRE extends from approximately $14.53 on the downside to $20.49 on the upside. A GLRE long call butterfly is a pinning play: it pays maximum at the middle strike if GLRE settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current GLRE IV rank near 17.62% 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 GLRE at 59.40%. As a Financial Services name, GLRE options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to GLRE-specific events.
GLRE 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. GLRE positions also carry Financial Services sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move GLRE alongside the broader basket even when GLRE-specific fundamentals are unchanged. Always rebuild the position from current GLRE chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on GLRE?
- A butterfly on GLRE is the butterfly strategy applied to GLRE (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 GLRE stock trading near $17.51, the strikes shown on this page are snapped to the nearest listed GLRE chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are GLRE 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 GLRE butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 59.40%), 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 GLRE butterfly?
- The breakeven for the GLRE 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 GLRE market-implied 1-standard-deviation expected move is approximately 17.03%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on GLRE?
- Butterflies on GLRE are pinning bets - traders use them when they expect GLRE 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 GLRE implied volatility affect this butterfly?
- GLRE ATM IV is at 59.40% with IV rank near 17.62%, 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.