IVR Butterfly Strategy
IVR (Invesco Mortgage Capital Inc.), in the Real Estate sector, (REIT - Mortgage industry), listed on NYSE.
Invesco Mortgage Capital Inc. operates as a real estate investment trust (REIT) that primarily focuses on investing in, financing, and managing mortgage-backed securities and other mortgage-related assets. It invests in residential mortgage-backed securities (RMBS) and commercial mortgage-backed securities (CMBS) that are guaranteed by a U.S. government agency or federally chartered corporation; RMBS and CMBS that are not issued or guaranteed by a U.S. government agency or federally chartered corporation; credit risk transfer securities that are unsecured obligations issued by government-sponsored enterprises; residential and commercial mortgage loans; and other real estate-related financing arrangements. Invesco Mortgage Capital Inc. has elected to be taxed as a REIT and would be subject to federal corporate income taxes if it distributes at least 90% of its taxable income to its stockholders. The company was incorporated in 2008 and is headquartered in Atlanta, Georgia.
IVR (Invesco Mortgage Capital Inc.) trades in the Real Estate sector, specifically REIT - Mortgage, with a market capitalization of approximately $586.0M, a trailing P/E of 11.59, a beta of 1.60 versus the broader market, a 52-week range of 7.1-9.5, average daily share volume of 2.6M, a public-listing history dating back to 2009. These structural characteristics shape how IVR stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 1.60 indicates IVR 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 11.59 is on the value side, where IV often compresses outside event windows because forward growth expectations are already discounted into the share price. IVR pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.
What is a butterfly on IVR?
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 IVR snapshot
As of May 15, 2026, spot at $7.97, ATM IV 77.00%, IV rank 15.74%, expected move 7.99%. The butterfly on IVR 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 IVR specifically: IVR IV at 77.00% is on the cheap side of its 1-year range, which favors premium-buying structures like a IVR butterfly, with a market-implied 1-standard-deviation move of approximately 7.99% (roughly $0.64 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 IVR expiries trade a higher absolute premium for lower per-day decay. Position sizing on IVR should anchor to the underlying notional of $7.97 per share and to the trader's directional view on IVR stock.
IVR butterfly setup
The IVR 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 IVR near $7.97, the first option leg uses a $7.57 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed IVR 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 IVR shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 1 | Call | $7.57 | N/A |
| Sell 2 | Call | $7.97 | N/A |
| Buy 1 | Call | $8.37 | N/A |
IVR 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.
IVR butterfly payoff curve
Modeled P&L at expiration across a range of underlying prices for the butterfly on IVR. 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 IVR
Butterflies on IVR are pinning bets - traders use them when they expect IVR 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.
IVR thesis for this butterfly
The market-implied 1-standard-deviation range for IVR extends from approximately $7.33 on the downside to $8.61 on the upside. A IVR long call butterfly is a pinning play: it pays maximum at the middle strike if IVR settles there at expiration, with the wing legs capping both the cost and the maximum loss to the net debit. Current IVR IV rank near 15.74% 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 IVR at 77.00%. As a Real Estate name, IVR options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to IVR-specific events.
IVR 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. IVR positions also carry Real Estate sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move IVR alongside the broader basket even when IVR-specific fundamentals are unchanged. Always rebuild the position from current IVR chain quotes before placing a trade.
Frequently asked questions
- What is a butterfly on IVR?
- A butterfly on IVR is the butterfly strategy applied to IVR (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 IVR stock trading near $7.97, the strikes shown on this page are snapped to the nearest listed IVR chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are IVR 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 IVR butterfly priced from the end-of-day chain at a 30-day expiry (ATM IV 77.00%), 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 IVR butterfly?
- The breakeven for the IVR 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 IVR market-implied 1-standard-deviation expected move is approximately 7.99%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a butterfly on IVR?
- Butterflies on IVR are pinning bets - traders use them when they expect IVR 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 IVR implied volatility affect this butterfly?
- IVR ATM IV is at 77.00% with IV rank near 15.74%, 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.